SmartQuant Discussion

Multiple startegies in portfolio
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Author:  bill [ Thu Sep 08, 2011 12:54 pm ]
Post subject:  Multiple startegies in portfolio

We are combining multiple projects within a solution.
With reference to old posting "Netting positions over multiple projects in a strategy" the OQ team introduced the MetaPortfolio class which is a great thing.
However we try to get performance numbers from various Performance class methods. It seems somehow to take the numbers of the latest project within the solution.
Still, adding up the numbers in the global space does not sum up correctly. In the equity curve and performance numbers within the reporting in OQ the results are correct. So the numbers are there, but not accessible.
Sergey, would it be possible to create a MetaPerformance Class that includes all series such as drawdownseries, equityseries, pnlseries etc...?

That would make life much easier :mrgreen: ;-)


Author:  Baraz Sergey [ Thu Sep 08, 2011 3:33 pm ]
Post subject:  Re: Multiple startegies in portfolio

Hi Bill,

We have added MetaPerfomance property to the strategy class. You will see it in the next OQ version.


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