Attachment SQX portfolio equity calculation issue 2.png added
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...
Status changed from New to Fixed
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.