Commission fees differ significantly.

[MrDenfish]

Thanks for posting this problem, I am having a similar issue when comparing backtesting.py with TV , commission fees differ significantly. After considerable digging I have a theory that backtesting.py is not computing fees on the Exit Price (at least the math points in that direction). This may be my settings or something deeper. Hopefully @kernc will comment...

I have attached two screen shots one of trade results for TV and the other stats _trades. backtesting.py & TV are using coinbases' stupid high fee of .004% no slippage and the data uploaded in backtesting.py is the same data downloaded from TV chart using 1m time frame.

self.buy(size=1500, sl=(1 - self.stoploss) * self.data.Close, tp=(1+self.takeprofit)*self.data.Close)

bt = Backtest(data, scalp, cash=500, commission=.004,trade_on_close=True, exclusive_orders=True)

My observations: TV Entry Price is the same as close and reflects no fee. .2166 BT.py Entry Price shows the purchase with fee applied .2166* 1.004 = .217466 which is correct. TV Exit Price shows .2183 BT.py Exit Price is also .2183 TV shows a profit on this trade of -.06 while BT.py shows a profit of 1.2504

TV math:

• Entry .21660*1500 = 324.9 *.004 = 1.296
• Exit .21830*1500 = 327.45 * .004 = 1.3098
• fees 2.6058
• profit 327.45-324.9-2.6058 = -0.558 or -0.06$

BT.py math:

• Entry .217466 / 1.004 = 0.216599601593625 = close (.2166) - looks good! - cost .217466*1500 = 326.199
• Exit .2183 / 1.004 = 0.217430278884462 <> close (.2183) proceeds .2183*1500 = 327.45
• fees 1.299(entry) + 0 (exit)
• profit proceeds-costs or 327.45 - 326.199 = 1.25 - math checks out -

In a nutshell TV is computing fees (entry price * size)* 1.004 where as backtesting.py appears to be computing commision by (Entry price * 1.004)* size. I think both methods are correct, the results are the same. However, TV computes both purchase and sale, BT appears to compute on the purchase only.

Originally posted by @MrDenfish in https://github.com/kernc/backtesting.py/discussions/734#discussioncomment-6200892