Inverse contracts

[alenpavlovich]

Hi team,

How complicated would be to add inverse contracts in the backtesting library? PnL in this case is calculated differently.

Long position Profit & Loss = Contract Value x (1/Entry Price - 1/Exit Price)

More details:
https://help.bybit.com/hc/en-us/articles/360039261054-What-is-Inverse-Contract-

PS. I am not associated with Bybit in any way, just for reference.

[kernc]

Isn't this just a mathematical inverse, i.e.:

inverse_ohlc_df = -1 / df

bt = Backtest(inverse_ohlc_df, ...)

[alenpavlovich]

Any thoughts?

[kernc]

You're having exit-entry price here, which is correct for linear contracts but not for inverse contracts. The inverse is 1/entry - 1/exit. So they will have a wrong sign of the PnL.

Ah! 💡 I think an additional sign change therefore is required. Can you confirm?

[alenpavlovich]

def pl(self):
    """Trade profit (positive) or loss (negative) in cash units."""
    price = self.__exit_price or self.__broker.last_price
    return self.__size * ((1/self.__entry_price) - (1/ price))

I haven't tested this yet, trying to see in the code where the changes needs to be done. If you can help on that end that would be great.

Thinking to add it here:

class Backtest:
"""
Backtest a particular (parameterized) strategy
on particular data.

Upon initialization, call method
`backtesting.backtesting.Backtest.run` to run a backtest
instance, or `backtesting.backtesting.Backtest.optimize` to
optimize it.
"""
def __init__(self,
             data: pd.DataFrame,
             strategy: Type[Strategy],
             *,
             cash: float = 10_000,
             commission: float = .0,
             margin: float = 1.,
             trade_on_close=False,
             hedging=False,
             **inverse=False,**
             exclusive_orders=False
             ):       

And then you can combine the pnl function and the inverse one based on the inverse argument.

[kernc]

Unfortunately, no. I'm opposed to introducing new API when a workaround (note the change of the sign) as simple as the suggested exists.

[alenpavlovich]

That's okay. I am updating the library for myself, so if you want to highlight where the changes need to be made I am happy to do it.

I don't need to commit the changes or anything.