The same portfolio has different stagnation values in "simple strategies" and "portfolio".
The same portfolio has different stagnation values in "simple strategies" and "portfolio".
After I use many single strategies to generate a portfolio, I export the portfolio to a .sqa format file, and then import it into databank of"simple strategies". I find that for the same portfolio, there is a big difference between databank of"simple strategies" and databank of "portfolio",for example the column of stagnation and the column of annual% return / max DD%.
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Votes 0
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Project QuantAnalyzer
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Type Bug
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Status Refused
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Priority Normal
History
4
TT
4
Jordan
22.03.2021 14:34Attachment Strategy 1150.sqx added
Attachment Strategy 1180.sqx added
Attachment Strategy 1181.sqx added
Attachment Strategy 1183.sqx added
Attachment Strategy 1281.sqx added
I added the original. Sqx file, you can use this to test, in fact, you can find any . Sqx file import should be the same result, as long as according to the process I said. The first step is toimport the. Sqx file. Second, create a portfolio. Third, save the portfolio in. SQA format. Step 4: import this. SQA. The fifth step is to compare the portfolio created in the second step with the portfolio imported in the fourth step.
TT
Tamas
22.03.2021 15:00
Did you uncheck "Include Commission/Swap in PL" ???! Please do it to get the same result.
4
Jordan
23.03.2021 03:51
Yes,you are right, I did not uncheck "Include Commission/Swap in PL",Now the results are the same. Thank you very much.
Votes: 0
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The difference could be in Commission/Swap!? Try to uncheck this option on Loading dialog -> Advanced options while loading back the portfolio.