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PostPosted: Thu Dec 10, 2009 7:37 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
Posts: 42
Anybody made the experience, that the drawdown graph shows wrong values? I wanted to attach an image, but obviously 35k is too big.
Anyway, the drawdown number are
a. totaly incorrect with regard of the size,
b. wrong, the chart shows drawdown, were there aren't.

Has anybody made similiar experiences

Regards bill


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PostPosted: Thu Dec 10, 2009 7:52 pm 
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Joined: Thu Jun 08, 2006 3:56 pm
Posts: 537
Location: BC Canada
It's hard to comment without seeing the chart and instrument property values. As far as I know, the DD chart shows the instantaneous (per new quote/trade/bar) drawdown while your position is open.

It seems to me that OQ must have valid values for the instrument tick size and factor in order to calculate proper equity and drawdown values. Maybe you could check those, and maybe find a way to post pictures of the chart?


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PostPosted: Fri Dec 11, 2009 5:18 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
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This is the message I get:
"Sorry, but the maximum filesize for all Attachments is reached. Please contact the Board Administrator if you have questions."

File size is 50kb. Something is wrong, I'm quite sure the administrator won't answer, but I'll give it a try :lol:

The drawdown chart is definitively wrong. It starts the drawdown correctly, however it continously draws into the wrong directrion (down) even if the equity goes up and reaches or succeeds the drawdown entry level. It looks like it cumulates drawdown after a specific date. I figured out, it does it only with a specific strategy, others seem to work correctly. I in fact could life with that, but it just gives me some doubts about the reliablity of OQ.


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 Post subject: Finally, with image
PostPosted: Fri Dec 11, 2009 6:14 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
Posts: 42
Here it comes


Attachments:
equity_curve_2.jpg
equity_curve_2.jpg [ 39.4 KiB | Viewed 5036 times ]
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PostPosted: Fri Dec 11, 2009 9:58 pm 
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Joined: Thu Jun 08, 2006 3:56 pm
Posts: 537
Location: BC Canada
Very interesting. I don't know how the drawdown curve is calculated, but it clearly has more factors in the formula than just the equity curve shown above it in your picture. I'll be interested to see what the answer is too.


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PostPosted: Mon Dec 14, 2009 4:40 pm 
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Joined: Wed Oct 08, 2003 1:06 pm
Posts: 833
Hi,

It looks strange indeed, but we need more information to solve the issue. Are you adding transactions to portfolio in your strategy code using Portfolio.Add method? Could you please post screenshots of the Portfolio Window and the OrderManager windows.

Or maybe you can send us your data and sample strategy to reproduce the problem?

Regards
Sergey.


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 Post subject:
PostPosted: Thu Dec 17, 2009 4:17 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
Posts: 42
Hello Sergey

I glady do this. What is the email I shall send it.
It's hard to make a sample, I'll send you everthing, no problem.


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 Post subject:
PostPosted: Fri Dec 18, 2009 2:08 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
sergey.baraz at smartquant.com

Thanks,
Anton


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PostPosted: Tue Jan 05, 2010 5:01 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
Posts: 42
There is a severe bug in the drawdown chart!
The data is not based on the closing price. So, in case High, Low, Open has a value of 0, as you might work only with closing prices, the drawdown chart assume a total loss!!!!!!!!!!!!!!!!!! I do not see any reason why OQ uses other then closing prices?!
Thanks to smart quant for the great support.... yes it is meant sarcastic.
Hope you will fix the problem soon.
Bill


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 Post subject:
PostPosted: Wed Jan 06, 2010 1:52 am 
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I don't think what you say is true. I think calculations are based on the closing price, though we will double check this next week (it's Christmas week in Russia).

Regards,
Anton


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 Post subject: Easy to replicate
PostPosted: Thu Jan 07, 2010 1:05 pm 
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Joined: Mon Mar 09, 2009 3:49 pm
Posts: 42
Hi Anton, it is easy to replicate the problem. Just enter 0 in the open, high, low fields.
Regards,
Bill


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