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Custom Code bug with DailyEquityComputer that does not use proper daily equity

Custom Code SQ.Functions.DailyEquityComputer.computeDailyEquity() - use equity based on closed trades instead of open and closed trades.



e.g. for a trade open over 5 days, the daily equity in the calculation is not getting adjusted with the daily closing prices, but simply using previous equity until this trade is closed.



Can you fix this soon as wherever this is used may not be accurately calculating numbers?

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  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

MF
#1

Mark Fric

03.11.2020 13:03

Status changed from New to Refused

it is true, daily equity is computed only from closed trades. The reason is simple, at the time of computing this (after the backtest) we already have only closed trades.
Votes: +1

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