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Getting daily returns using hourly data
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Hi all,
Thanks for keeping the backtrader community alive! I have a question about the timereturn analyzer.
Im using hourly data but I want to get daily returns at the end. Im not sure how to create the timereturn analyzer to do that?
By putting in TimeFrame.Days, i do get a series of returns indexed by days:
cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='time_return_analyzer', timeframe=bt.TimeFrame.Days)If i use a compression value, it doesn't seem to impact the results. Meaning, these two analyzers produce the same results:
cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='time_return_analyzer1', timeframe=bt.TimeFrame.Days, compression=1) cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='time_return_analyzer60', timeframe=bt.TimeFrame.Days, compression=60)Should I leave out the compression? If not, what should i be using?
Thanks!