Calculate timeseries of end-of-day portfolio equity from futures backtest results.

End-of-day portfolio equity for a futures simulation is equivalent to the cash balance (having settled cash from existing positions) plus posted margin.

futs_backtest_equity(futs_backtest_results)

Arguments

futs_backtest_results

dataframe output of fixed_commission_futs_backtest

Value

dataframe of date, equity

Examples