Portfolio equity calculation issue B126

Please see attached screenshot representing 5 different systems and the final merged portfolio.

As you can see the daily equity is wrongly calculated.

B.T.W.: What does this daily equity graph represents? Total worst case MAE on portfolio level? Open balance equity or something else?
Attachments
SQX portfolio equity calculation issue.png
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  • Votes +3
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

Kc
#1

coensio

13.02.2020 10:33

Task created

Kc
#2

coensio

13.02.2020 10:59

Attachment SQX portfolio equity calculation issue 2.png added

Added another example of wrong equity calculation...not that maybe is is somehow related to missing historical data between 25.03.2016 and 29.03.2016, but still MEA looks fine so why there is this huge equity drop visible during the days with no historical data? Trades should be closed on Friday which is 25.03.2016 and NOT 29.03.2016.
Kc
#3

coensio

13.02.2020 11:00
Voted for this task.
Kc
#4

coensio

13.02.2020 11:58

Performed the following experiment:

I changed MM to fixed size risking max $100 per trade. Having 40 systems in my portfolio, one could expect a max equity drop of 40x$400=$4k. But the calculated daily equity drops on portfolio levels are > $20k. Something is not right...


IH
#5

clonex / Ivan Hudec

15.02.2020 22:33
Voted for this task.
o
#6

Enric

24.02.2020 20:47
Voted for this task.
MF
#7

Mark Fric

27.02.2020 13:01

Status changed from New to Fixed

I found the problem, it happened when some strategies were missing a particular day.


Daily equity for a strategy is the worst open balance for the given day.

For portfolio it is a sum of daily equities fo all sub-strategies.


Votes: +3

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