使用基于百分比的佣金进行Python回测

Question

I'm writing a script to backtest some strategies for a set of stocks using the bt framework for python. In the bt documentation ( backtest module ) it says:

commission (fn(quantity)): The commission function to be used.

So when I run my code

result = bt.Backtest(strategy, data, initial_capital= 100000.00, commissions=)

I want to pass a function that returns a percentage based commission eg 0.5 % of the transaction. Since I don't know the size of the transactions, is this even possible? How would it otherwise be solved, using a set commission?

Answer 1

Solved it by creating a function with parameters for quantity and price. Thus it was easy returning a percentage based on the transaction cost as follows:

def my_comm(q, p):
    return abs(q)*p*0.0025