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Hope to see daily equity in the portfolio and daily equity sometimes bugs

Attachments

image_22.png

(185.86 KiB)

Retestdaily equity.cfx

(3.65 KiB)

Strategy 521932daily equityok.sqx

(29.64 KiB)

Strategy 431819daily equitybug.sqx

(30.66 KiB)

image_21.png

(167.02 KiB)

Votes +2
Project StrategyQuant X
Type Bug
Status Fixed
Priority Normal

History

cjl

23.03.2019 18:43

Task created

cjl

23.03.2019 18:44

Voted for this task.

cjl

23.03.2019 18:51

Attachment image_23.png added

There is no daily equity in the portfolio

Martin

28.03.2019 07:34

Voted for this task.

Mark Fric

01.04.2019 14:56

Status changed from New to Fixed

bug with daily equity is fixed.

We don't compute equity for portfolio, because it wouldn't be exact. It would requite SQ to simulate true portfolio trading - which means multiple strategies in parallel.

Portfolio in SQ is created by merging multiple strategies together, we cannot recognize what would be the real daily equity if the strategy traded on multiple markets at once.

cjl

01.04.2019 15:49

Attachment image_25.png added

The strategy traded on multiple markets at once can calculate the aggregate return of each bar, which is very useful for evaluating the volatility of a single transaction in a long-term transaction，I hope this function can be added to better judge the volatility of equity.It's just like the fluctuations in the image are better reflected.

Votes: +2