backtester “tax” properties

Optuma Forums Optuma Feature Requests backtester “tax” properties

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  • #63377
    AvatarJeffrey A.
    • Topics: 37
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    • Posts: 94

    Hi,

    I was thinking it might be useful for the back tester to have the ability to input a tax rate for both short and long term capital gains on trades and to subtract these amounts from the portfolio balance in selectable ways such as at a certain time of the year (ex: end of year or April) or at the conclusion of each profitable trade (like money is being put aside to pay the tax bill) ..  I think losses would have to be kept track of to offset gains for an end-of-year type scenario.  just some thoughts, its not a critical request but might be a helpful

    Jeff

    #63391
    MathewMathew
    • Topics: 36
    • Replies: 1,810
    • Posts: 1,846

    Hi Jeff,

    Adding tax is something I would like to do, but it will be after all the other work. Essentially, tax would need a simple rate on realised gains – realised losses within a fiscal period. You’ll need to add in the end of the fiscal year and the expected pay date and then that amount will get deducted from the available cash.
    There also needs to be check-boxes on whether prior losses are carried forward (not true in all jurisdictions).

    All the best

    Mathew

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    #63477
    AvatarJeffrey A.
    • Topics: 37
    • Replies: 57
    • Posts: 94

    That’s a good point on the losses carried forward! And I’m sure some territories might have different structure for short term capital gain tax rates (held one year or less for USA) versus long term (held over one year in USA).

    Jeff

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