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%.

(20.54 KiB)
(21.09 KiB)
Portfolio 5464102115146153.sqa
(2.79 MiB)
  • Votes 0
  • Project QuantAnalyzer
  • Type Bug
  • Status Refused
  • Priority Normal




22.03.2021 08:36

Task created



22.03.2021 09:00

Status changed from New to Refused

I cannot reproduce the bug because you did not attach the original strategies to create a portfolio.

The difference could be in Commission/Swap!? Try to uncheck this option on Loading dialog -> Advanced options while loading back the portfolio.



22.03.2021 14:34

Attachment Strategy 1150.sqx added

Attachment Strategy 1180.sqx added

Attachment Strategy 1181.sqx added

Attachment Strategy 1183.sqx added

Attachment Strategy 1281.sqx added

Strategy 1150.sqx
(114.36 KiB)
Strategy 1183.sqx
(75.37 KiB)
Strategy 1281.sqx
(75.61 KiB)
Strategy 1180.sqx
(75.35 KiB)
Strategy 1181.sqx
(75.68 KiB)
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.


22.03.2021 15:00

Attachment QA.jpg added

(521.00 KiB)
Did you uncheck "Include Commission/Swap in PL" ???!  Please do it to get the same result.


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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