block8.py

import bt
import matplotlib.pyplot as plt
import numpy as np

#create strategy
crosses = bt.Strategy('Test1', [bt.algos.WeighTarget(df),
                                    bt.algos.Rebalance()])

#create benchmark of buy-and-hold
long_only = bt.Strategy('Benchmark', [bt.algos.RunOnce(),
                        bt.algos.SelectAll(),
                        bt.algos.WeighEqually(),
                        bt.algos.Rebalance()])

#set backtests and commissions
t = bt.Backtest(crosses,data,commissions=lambda q, p: max(1, abs(q) * 0.05))
s = bt.Backtest(long_only, data,commissions=lambda q, p: max(1, abs(q) * 0.05))

report = bt.run(t,s)
plt.title("Portfolio Returns")
report.plot()