Backtest trade by strategy, check fees vs coin value update about pgportfolio HOT 7 CLOSED

shouldn't it check at least whether any coin qty adjustment would cost more transaction fees than the expected value adjustment

I think it's a good suggestion, especially for the live-trading. What do you think @ZhengyaoJiang

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I could suggest an implementation but I don't understand the logic of calculate_pv_after_commission and especially: mu1 = (1 - commission_rate * w0[0] - (2 * commission_rate - commission_rate ** 2) * np.sum(np.maximum(w0[1:] - mu1*w1[1:], 0))) / (1 - commission_rate * w1[0]).

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@doxav The function is based on our paper.

More details are on 2.3 transaction cost

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I could suggest an implementation

Glad to hear your suggestion.

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Therefore, could you clarify the basis of this function:

In function (12): considering that factor u_t should already include all transaction fees, why do we multiply by (1 - Cs).

Same on function (13).

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Therefore, could you clarify the basis of this function:

For (12), let's consider only one asset that needs to sell. Before reallocation, you have total fund p', and p'.u after.
So the value of the asset in consideration is p'.w' before reallocation and p'.u.w after. You can think of p'.u.w as the target value want to achieve after selling.
Expression (12) without the (1-c) factor is then the difference between that asset's initial and target values. By performing this selling, we will get cash of an amount (1-c) times this difference.

If you do get (12), (13) follows the same logic.

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On further consideration, it really depends on RL behavior. There is no transaction on which fees would exceed per coin adjustment but the matter is on movements between coins. It is difficult to arbitrate among coins movements (the 2 lowest adjustment?), an obvious case is when the total portfolio adjustment costs more in fees than in expected gains. It would mean just to cancel adjustment when it lowers the capital at date ? On forecasted capital ? Still RL reco might anticipate a future capital growth with fees included. This is obviously what the loss function is doing.

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