If I have an allocation table (indexed by datetime (for example: 2008-01-01), columns are the stock tickers, and the value is either 1(long)/0(no position), is it possible to translate it to P&L using the package?

[auscott]

Expected Behavior

If I have an allocation table (indexed by datetime (for example: 2008-01-01), columns are the stock tickers, and the value is either 1(long)/0(no position), is it possible to translate it to P&L using the package?

for example:
AAPL IBM
2008-01-01 1 0
2008-01-10 0 0

Actual Behavior

Steps to Reproduce

Additional info

• Backtesting version:

[kernc]

is it possible to translate it to P&L using the package?

Yes, you can add the buy/hold/sell columns as extra indicator columns to the input ohlc data. Then refer to it in Strategy.next(), either manually or through backtesting.lib.SignalStrategy.

Duplicates: #39, #64.

Hth,