Why it takes double of TradingView commissions to match results in backtesting.py?

[agalegov]

Hey!

So i am backtesting a strategy i found in TradingView and as a selfcheck, i try to match results with those of TradingView.

When i exclude commissions from the backtest, results do match nicely (i actually exported chart data from TradingView so that i can be sure i am working with the same data).

But when i add commissions to the picture, it takes double of those fees in TradingView to match the results in backtesting.

`def MOM(values, n):
return talib.MOM(pd.Series(values), timeperiod = n)

class MomTrade(Strategy):
# Define timeperiod for momentum
n = 2

def init(self):
    self.MOM = self.I(MOM, self.data.Close, self.n)
    self.MOM1 = self.I(MOM, self.MOM, 1)

def next(self):
    if self.MOM > 0 and self.MOM1 > 0 and not self.position.is_long:
        if self.position.is_short:
            self.position.close()
        self.buy(size = 0.1)

    elif self.MOM < 0 and self.MOM1 < 0 and not self.position.is_short:
        if self.position.is_long:
            self.position.close()
        self.sell(size = 0.1)

bt = Backtest(df, MomTrade, cash=100000, commission=0.0004)
stats = bt.run(n=10)
stats`

Nothing fancy in terms of code, as you can see.

In TV, i have to put 0.02 (half of what is used in the above example) to match the results in terms of trades, return, etc.

[MrDenfish]

Thanks for posting this problem, I am having a similar issue when comparing backtesting.py with TV , commission fees differ significantly. After considerable digging I have a theory that backtesting.py is not computing fees on the Exit Price (at least the math points in that direction). This may be my settings or something deeper. Hopefully @kernc will comment...

I have attached two screen shots one of trade results for TV and the other stats _trades. backtesting.py & TV are using coinbases' stupid high fee of .004% no slippage and the data uploaded in backtesting.py is the same data downloaded from TV chart using 1m time frame.

self.buy(size=1500, sl=(1 - self.stoploss) * self.data.Close, tp=(1+self.takeprofit)*self.data.Close)

bt = Backtest(data, scalp, cash=500, commission=.004,trade_on_close=True, exclusive_orders=True)

My observations:
TV Entry Price is the same as close and reflects no fee. .2166
BT.py Entry Price shows the purchase with fee applied .2166* 1.004 = .217466 which is correct.
TV Exit Price shows .2183
BT.py Exit Price is also .2183
TV shows a profit on this trade of -.06 while BT.py shows a profit of 1.2504

TV math:

• Entry .21660*1500 = 324.9 *.004 = 1.296
• Exit .21830*1500 = 327.45 * .004 = 1.3098
• fees 2.6058
• profit 327.45-324.9-2.6058 = -0.558 or -0.06$

BT.py math:

• Entry .217466 / 1.004 = 0.216599601593625 = close (.2166) - looks good! -
  cost .217466*1500 = 326.199
• Exit .2183 / 1.004 = 0.217430278884462 <> close (.2183)
  proceeds .2183*1500 = 327.45
• fees 1.299(entry) + 0 (exit)
• profit proceeds-costs or 327.45 - 326.199 = 1.25 - math checks out -

In a nutshell TV is computing fees (entry price * size)* 1.004 where as backtesting.py appears to be computing commision by (Entry price * 1.004)* size. I think both methods are correct, the results are the same. However, TV computes both purchase and sale, BT appears to compute on the purchase only.