add t-rate to VA

compare.py

@@ -30,7 +30,7 @@ def get_data(stocks, start, end):
 def human_readable_size(size, decimal_places=3):
     for unit in ["$", "K$", "M$", "G$", "T$", "P$"]:
         if size < 1000.0 or unit == "P$":
-            return f"{size:.{decimal_places}f} {unit}"
+            return f"{size:.{decimal_places}f}{unit}"
             break
         size /= 1000.0
 
@@ -121,23 +121,25 @@ def simulate(stockData, monthly_params):
             (actualEnd - actualStart).days / 365,
         )
     )
-    # print(df[["annual%", "froi%", "cost", "total_value", "max_dd%", "max_md"]])
-    print(df)
+    with pd.option_context("display.max_rows", None, "display.max_columns", None):
+        # print(df[["annual%", "froi%", "cost", "total_value", "max_dd%", "max_md"]])
+        print(df)
 
 
 if __name__ == "__main__":
     stockList = ["^GSPC"]
-    monthly_params = dict(sum=1000, coef=1.001)
+    monthly_params = dict(sum=1000, coef=1, t_rate=1 + 0.02 / 12)
     # startDate = datetime.datetime.fromisoformat("2000-01-01")
     # endDate = datetime.datetime.fromisoformat("2022-01-01")
     print(stockList[0])
-    for period_years in (1, 2, 5, 10, 20, 50, 100):
+    """
+    for period_years in (10, 20):
         end_date = datetime.datetime.now()
         start_date = end_date - datetime.timedelta(days=period_years * 365)
         stockData = get_data(stockList[0], start_date, end_date)
         simulate(stockData, monthly_params)
     """
-    period_years = 10
+    period_years = 5
     stockData = get_data(
         stockList[0],
         datetime.datetime.fromisoformat("1900-01-01"),
@@ -147,9 +149,8 @@ if __name__ == "__main__":
     end_date = start_date + datetime.timedelta(days=period_years * 365)
     while start_date < datetime.datetime.today():
         stockData = get_data(stockList[0], start_date, end_date)
-        simulate(stockData)
+        simulate(stockData, monthly_params)
         start_date, end_date = (
             end_date,
             end_date + datetime.timedelta(days=period_years * 365),
         )
-    """

strategies.py

@@ -41,7 +41,7 @@ class PercentageCommisionScheme(bt.CommInfoBase):
     )
 
     def _getcommission(self, size, price, pseudoexec):
-        return abs(size * price * self.p.commission) + 4  # 290rub/month
+        return abs(size * price * self.p.commission) + 4  # 290rub/month + 0.04%
 
 
 class Investing(bt.Strategy):
@@ -136,18 +136,13 @@ class VA(FormulaInvesting):
     def formula(self):
         target_value = (
             min(
-                self.months * self.monthly_cash,
+                self.monthly_cash * self.months,
                 self.broker.get_value(),
             )
             - reserve
         )
         self.order_target_value(target=target_value),
-
-
-class DCA(FormulaInvesting):
-    def formula(self):
-        target_value = self.broker.get_value() - reserve
-        self.order_target_value(target=target_value)
+        self.broker.set_cash(self.broker.get_cash() * self.monthly_params["t_rate"])
 
 
 class QVA(VA):
@@ -156,6 +151,12 @@ class QVA(VA):
             super().formula()
 
 
+class DCA(FormulaInvesting):
+    def formula(self):
+        target_value = self.broker.get_value() - reserve
+        self.order_target_value(target=target_value)
+
+
 class QDCA(DCA):
     def formula(self):
         if not self.months % 3: