Fees & Trade Costs

Some strategies can fall apart when broker commissions are taken into account. The FlatPerFee and FlatPerShare fees come with simple-back, but you can define your own fees by extending the Fee class.

%%capture
!pip install --upgrade simple_back

from simple_back.backtester import BacktesterBuilder

builder = (
   BacktesterBuilder()
   .name('AAPL without Fees')
   .balance(10_000)
   .calendar('NYSE')
   .compare(['AAPL'])
   .live_progress()
   .live_plot()
)

bt = builder.build()
for day, event, b in bt['2015-1-1':'2020-1-1']:
    b.pf.liquidate()
    b.long('AAPL', percent=1)

Flat Fees

As you can see, selling & buying AAPL at every open and close results in the same as simply buying it once and holding it. But for many brokers, this is not realistic. Let’s assume we have to pay a flat commission of 1 dollar per trade. We can do this using FlatPerTrade.

from simple_back.fees import FlatPerTrade

bt = (
    builder
    .name('AAPL (fee per trade)')
    .trade_cost(FlatPerTrade(1))
    .build()
)

for day, event, b in bt['2015-1-1':'2020-1-1']:
    b.pf.liquidate()
    b.long('AAPL', percent=1)

We can also assume a flat commission of 5 cents per share.

from simple_back.fees import FlatPerShare

bt = (
    builder
    .name('AAPL (fee per share)')
    .trade_cost(FlatPerShare(.05))
    .build()
)

for day, event, b in bt['2015-1-1':'2020-1-1']:
    b.pf.liquidate()
    b.long('AAPL', percent=1)

Custom Fees

Let’s now build a custom Fee that charges a percentage of the total cost.

from simple_back.fees import Fee

class PercentageFee(Fee):

    def __init__(self, fee_percent):
        self.fee_percent = fee_percent

    def nshares(self, price, capital):
        return (capital * (1/(1 + self.fee_percent))) // price

    def cost(self, price, nshares):
        return price * nshares * (1 + self.fee_percent)

For testing we can treat our Fee object like a callable.

PercentageFee(.5)(price=10,capital=1000)

{'nshares': 66.0, 'total': 990.0, 'fee': 330.0}

The above means that when we have a security with price 10 and our capital is 1000, we can buy 66 shares for a total of 990 and of that 990, 330 will be fees.

Now, we can use our PercentageFee in our backtest.

bt = (
    builder
    .name('AAPL (fee per share)')
    .trade_cost(PercentageFee(.0005)) # 0.05 %
    .build()
)

for day, event, b in bt['2015-1-1':'2020-1-1']:
    b.pf.liquidate()
    b.long('AAPL', percent=1)

Fees are saved in the trade history as well.

bt.trades.df

	date	end_date	end_event	event	fee	initial_value	nshares	order_type	price	profit_loss_abs	profit_loss_pct	start_price	symbol	value	value_pershare
0	2015-01-02	2015-01-02	close	open	4.989624	9984.238150	98.0	long	99.945885	-189.541449	-0.018984	101.829067	AAPL	9794.696701	99.945885
1	2015-01-02	2015-01-05	open	close	4.897348	9799.594049	98.0	long	98.995143	-98.070049	-0.010008	99.945885	AAPL	9701.524001	98.995143
2	2015-01-05	2015-01-05	close	open	4.850762	9706.374763	98.0	long	97.130241	-187.611106	-0.019329	98.995143	AAPL	9518.763657	97.130241
3	2015-01-05	2015-01-06	open	close	4.759382	9523.523038	98.0	long	97.395385	21.224719	0.002229	97.130241	AAPL	9544.747758	97.395385
4	2015-01-06	2015-01-06	close	open	4.723676	9452.076049	97.0	long	97.139420	-29.552352	-0.003127	97.395385	AAPL	9422.523697	97.139420
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
2510	2019-12-27	2019-12-27	close	open	3.910230	7824.369503	27.0	long	288.333313	-39.370053	-0.005032	289.646640	AAPL	7784.999451	288.333313
2511	2019-12-27	2019-12-30	open	close	3.892500	7788.891950	27.0	long	287.995045	-13.025743	-0.001672	288.333313	AAPL	7775.866207	287.995045
2512	2019-12-30	2019-12-30	close	open	3.887933	7779.754140	27.0	long	290.044617	51.450510	0.006613	287.995045	AAPL	7831.204651	290.044617
2513	2019-12-30	2019-12-31	open	close	3.915602	7835.120253	27.0	long	288.462644	-46.628859	-0.005951	290.044617	AAPL	7788.491394	288.462644
2514	2019-12-31	2019-12-31	close	open	3.894246	7792.385640	27.0	long	292.163818	96.037456	0.012325	288.462644	AAPL	7888.423096	292.163818

2515 rows × 15 columns

Profit and loss also includes the fees.