Quantize MAE/MFE metrics.

edtechre · Mar 23, 2024 · c7a0e8e · c7a0e8e
1 parent 959481b
commit c7a0e8e
Showing 1 changed file with 2 additions and 0 deletions.
diff --git a/src/pybroker/strategy.py b/src/pybroker/strategy.py
@@ -1510,6 +1510,8 @@ def _to_test_result(
             "return_pct",
             "agg_pnl",
             "pnl_per_bar",
+            "mae",
+            "mfe",
         ):
             trades_df[col] = quantize(
                 trades_df, col, self._config.round_test_result