Posted By: Zheka
Accessing component equity curve - 09/25/20 16:02
To 'evaluate' the equity curve of each component (Asset/Algo combination) in a portfolio, I am trying this snippet of code:
This however outputs 0.
1) Is pCurve calculated by Zorro in [Test] mode at all?
2) If yes, is it Daily or Bar-ly?
3) If no, is there another way to access each component's curve (without having to do this manually)?
4) IF this calculation was abolished and component eq.curves are not saved in [Test] - can a flag pls be added to enable maintenance of these by the engine?
Code
#define EqLong (g->statLong->pCurve) // var* pCurve is part of the STATUS struct ; variables.h has this def commented out //#define DailyLong (g->statLong->pCurve)
#define EqShort (g->statShort->pCurve)
function evaluate()
{
int nDays = NumBars/(1440/BarPeriod);
for(used_assets) {
//asset(Asset);
algo(Algo); //there is just one algo in a portfolio
if (WinLong>0)
for (Day=0;Day<nDays;Day++) {
print(TO_LOG, "\n EqL[%i]=%.3f", Day, (EqLong+Day) );
}
}
} 1) Is pCurve calculated by Zorro in [Test] mode at all?
2) If yes, is it Daily or Bar-ly?
3) If no, is there another way to access each component's curve (without having to do this manually)?
4) IF this calculation was abolished and component eq.curves are not saved in [Test] - can a flag pls be added to enable maintenance of these by the engine?
.