Ability to view / filter all statistics based on "Daily Equity"

It would be good to implement a way to filter / view statistics based on "Daily Equity".



I've attached an extreme example of where there is a clear difference between daily equity and realised profits and losses (balance). In this example, Ret/DD = 19.58 and PF = 3.08, but the reality (red line) will be far worse.


There are plenty of more normal strategies where this would be useful where building on higher timeframes like H4 and above where trades can be open for a long time.


PLEASE remember to also include the addition of SWAPS (very important): https://roadmap.strategyquant.com/tasks/sq4_3847









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  • Votes +5
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

JK
#1

Insanity82007

08.02.2021 13:50

Task created

JK
#2

Insanity82007

08.02.2021 13:50
Voted for this task.
JK
#3

Insanity82007

08.02.2021 13:53

Attachment image-0.png added

image-0.png
(189.66 KiB)
h
#4

hankeys

08.02.2021 14:03
max intraday drawdown or open drawdown columns are there already - what else?
b
#5

bentra

08.02.2021 17:25
Voted for this task.
k
#6

Karish

08.02.2021 17:54
Voted for this task.
MO
#7

mareko

08.02.2021 23:38
Voted for this task.
JK
#8

Insanity82007

10.02.2021 23:47
hankeys I would need to extend SQ with max open equity and calculate stats like ret/dd, PF and stability etc. against this open equity that rely on max open drawdown - or - just ask for an addition that works with all existing stats that allows these stats to be evaluated against daily equity, hence the purpose of this task
JK
#9

Insanity82007

12.02.2021 10:40

Attachment ReturnOpenDDRatio.java added

Attachment RetOpenDDPerYear.java added

ReturnOpenDDRatio.java
(2.52 KiB)
RetOpenDDPerYear.java
(1.10 KiB)
A couple of scripts that are part way there
b
#10

binhsir

12.02.2023 15:11
Voted for this task.
b
#11

binhsir

12.02.2023 15:28
we need Performance report for the daily cycle and Max hitoric daily loss

Votes: +5

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