Add watchlist screener page#25
Add watchlist screener page#25felipeimpieri wants to merge 1 commit intocodex/clean-repo-and-fix-keyerror-close-kyrlsofrom
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| prev_pos = pos.shift(1).fillna(0.0) | ||
| entries = (pos != 0.0) & (pos != prev_pos) | ||
| # shift trade ids so the flip bar's return stays with the trade that held it | ||
| trade_ids = entries.shift(1).cumsum() | ||
| trade_ids = trade_ids.where(pos != 0.0) |
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run_backtest groups trade P&L using entries.shift(1).cumsum() and then discards bars where pos is 0 (trade_ids = trade_ids.where(pos != 0.0)). Any time a position is closed to flat, the last bar’s return is still calculated using pos.shift(1) but is filtered out, so that trade’s P&L and win/loss status exclude the exit move. For example signals [1,1,0,0,1,1,0] yield trade returns of about +1.0% and +0.96% instead of ~+1.99% and ~0% because the returns on the bars where the position was exited are dropped. This understates losses and overstates win rate/average trade return for any strategy that ever goes flat.
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Summary
Testing
Codex Task