Add RealisticExecutionModel: spread + slippage price adjustment#514
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jgianfelice wants to merge 9 commits intomementum:masterfrom
Open
Add RealisticExecutionModel: spread + slippage price adjustment#514jgianfelice wants to merge 9 commits intomementum:masterfrom
jgianfelice wants to merge 9 commits intomementum:masterfrom
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Problem
Backtrader assumes orders fill at the exact closing price, which overstates strategy performance by ignoring bid-ask spread and market slippage.
Solution
Adds 'backtrader/executionmodels/' as a new subpackage containing 'RealisticExecutionModel', which adjusts the actual fill price before the order is submitted.
Usage
from backtrader.executionmodels.realistic import RealisticExecutionModel
exec_model = RealisticExecutionModel(spread=0.0005, slippage=0.0005)
adj_price = exec_model.adjust_price(self.data.close[0], is_buy=True)
self.buy(size=100, price=adj_price, exectype=bt.Order.Limit)
Parameters
Example & Results
A full worked example with real benchmark results is available in the contributor's fork under:
github.com/jgianfelice/backtrader/tree/master/samples/execution-model-realistic
Running SPY with a simple SMA-20 crossover (2020-2024):
No costs: +8.46% return, Sharpe -0.50, Max DD 8.10%
With costs: +1.22% return, Sharpe -8.84, Max DD 1.23%
Cost drag: -7.24% return