Senpai
Senpai
I was curious about the execution mechanism so I run the buy and hold example. I found the commission in calculate_ib_commission() seems not in accordance with https://www.interactivebrokers.co.uk/en/index.php?f=1590&p=stocks1: ` commission =...
def calc_top_down_cumulative_returns(self, period=None, demeaned=False, group_adjust=False): if period is None: period = self._periods[0] period_col = convert_to_forward_returns_columns(period) mean_returns, _ = self.calc_mean_return_by_quantile( by_date=True, by_group=False, demeaned=demeaned, group_adjust=group_adjust, ) mean_returns = mean_returns.apply(rate_of_return, axis=0) # period>1时，这里重复计算了。rate_of_return取了一次(1/N)次幂...