Drawdown computed wrongly when strategies are merged into a portfolio

Not sure if this ha been reported bef, but in the v138 when we merge strategies into a single portfolio, the Drawdown column reported in List Of Trades is not correct anymore (I remember this working fine in v137). Sqx seems to be summing the Drawdown numbers and that completely messes up the view. I merge my portfolio and export the trades to do my own analysis, but right now I can't use the Drawdown given the bug. Could you please have a look and try to provide the solution asap since I can't find any workaround for this (export trades from individual strategies would work but it's really not practical do one by one).




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portfolio_wrong summed DD.jpg
(228.11 KiB)
single_algo_correct max DD.jpg
(157.91 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status New
  • Priority Normal

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#1

rafael.munhoz@live.com

21.03.2024 13:06

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