Consider Swaps in Backtests and Optimization

Created at 10 Jan 2021, 16:48
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heinrich.munz's avatar

heinrich.munz

Joined 21.11.2020

Consider Swaps in Backtests and Optimization
10 Jan 2021, 16:48


If Swaps are not considered in Backtests and Optimization, backtesting/optimization makes not much sense on some kind of cBots (the ones holding open possition over weeks and even months as in Grids). Of course, when Swaps are considered during backtests, they also must be appear in summaries like Trade Statistics, History, Events, etc.

 


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@heinrich.munz