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PostPosted: Tue Sep 29, 2015 9:53 pm 
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Joined: Tue Jul 21, 2015 6:22 pm
Posts: 16
Hi,
I was testing Strategy Persistency, and noticed that the equity and drawdown curves, and some statistics are not being rebuilt.
I believe this is happening because the "load" routine is not sending a Portfolio.Performance.Update after each Fill or transaction restored. If this is not the reason please tell me what I need to do in my strategy to correct this behavior.

Thanks.


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PostPosted: Wed Sep 30, 2015 10:10 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

I guess this is simply because portfolio equity curve is a series of marked to market portfolio values, so apart from execution messages (which are persistent) it needs market data to be (re)calculated.

Regards,
Anton


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PostPosted: Thu Oct 01, 2015 10:12 pm 
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Joined: Tue Jul 21, 2015 6:22 pm
Posts: 16
Hi Dr. Anton,

My strategy uses a filter on the equity curve and also, some statistics, to define the risk to be used, so for it to be persistent in cases of failure, I need to recalculate the equity curve and the statistics who depend on it.

The problem is that, although I have understood your explanation, I don't know how I do to load the data and also to recalculate the equity curve.

Could you please provide a code example of how to do that ?

Thanks.


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