Course Name: Backtesting Trading Strategies, Section No: 5, Unit No: 10, Unit type: Notebook
strategy_returns = data.signal.shift(1)*data.Close.pct_change()
print(f’Total strategy returns: {strategy_returns.sum():.2f} %')
The final line of the code calculates the total strategy returns by summing up the strategy_returns variable (which is the percentage change of the closing prices). Is it wrong that we just add the percentage changes of the closing prices together?
For example, 100>120>150 → 20%>25%. The final percentage change should be 50% instead of 20%+25%=45%.