Including "unpaid interest" when margin<1?

[zaferyumruk]

Greetings,

How can "unpaid interest" be added to the backtest?

Option 1
Defining Position.amount_borrowed and Position.unpaid_interest?

interest rate will be contained in market data. While calculating _Broker.equity Position.unpaid_interest will be included along with pl. I am puzzled about paying unpaid_interest though. Since the library focused on managing trades, paying interests should be maintained through closing or reducing active trades which is not possible for this option.

Option 2
Passing borrowed_amount for each trade when order executed.

Then on each _Broker._close_trade or _Broker._reduce_trade respective interest will be paid by reducing _Broker.cash. For exclusive_orders and hedging cases I am not sure "excess borrowing" (i.e while closing a trade that borrowed zero amount, keeping loans from other active trades; keeping debt while you have cash thus paying unnecessary interest) occurs.

Thanks in advance.

[kernc]

Defining Position.amount_borrowed and Position.unpaid_interest?

Isn't this something that could be easily enough computed from trades data (namely Size, EntryPrice and Duration, and margin=) after the backtest?

[zaferyumruk]

Thank you for the response!

Sure it is. But what about reflecting the effect of intermediate interest payments on the whole backtest? These payments will reduce intermediate equities. And this will affect the whole trade cumulatively. Do you think a cumulative down-scaling could work? (i.e finding ratio 1‑intermediate_interest_paid/equity for each entry on the equity curve and reducing the final return using the products of these ratios)

Reflecting these to broker.closed_trades is another challenge if computing statistics (compute_stats) is also essential. A similar challenge can also be mentioned for accurate DrawdownPct in equity data.

Am I just overthinking?

[zaferyumruk]

margin used can be extracted as you suggested. Thus holding cost can be subtracted from equity with each repayment.

With each repayment, the rest of the equity can be downscaled to reflect the reduction of the invested amount.

Thanks for the suggestion,

Great library!