markowitz.backtest.costs

markowitz.backtest.costs

Transaction-cost models applied to gross backtest returns.

apply_transaction_costs(gross_returns: pd.Series, turnover: pd.Series, *, bps: float = 10.0) -> pd.Series

Subtract proportional transaction costs from gross_returns.

Parameters:

Name	Type	Description	Default
gross_returns	Series	Per-period simple returns before costs.	required
turnover	Series	Per-period one-sided turnover, aligned to gross_returns.	required
bps	float	Round-trip-equivalent cost in basis points. The deduction applied to period t is (bps / 10_000) * turnover_t.	10.0

Source code in src/markowitz/backtest/costs.py

def apply_transaction_costs(
    gross_returns: pd.Series,
    turnover: pd.Series,
    *,
    bps: float = 10.0,
) -> pd.Series:
    """Subtract proportional transaction costs from ``gross_returns``.

    Parameters
    ----------
    gross_returns:
        Per-period simple returns *before* costs.
    turnover:
        Per-period one-sided turnover, aligned to ``gross_returns``.
    bps:
        Round-trip-equivalent cost in basis points. The deduction applied
        to period ``t`` is ``(bps / 10_000) * turnover_t``.
    """
    rate = float(bps) / 10_000.0
    aligned_to = turnover.reindex(gross_returns.index).fillna(0.0)
    return gross_returns.sub(aligned_to.mul(rate))