SmartQuant Discussion

Could someone please help with some advice?

I’m trying to paper trade a strategy against the market. But the problem I’m having whilst OQ does a great job of tracking while the strategy is live. But how to I collect the information for analysis later. The functionality I’m looking to replicate from NT is the Sim101 where NT behaves like a brokers paper account (except it doesn’t really work with Forex). I’m able to perform analysis on the trades that were logged during the paper trading session.

I’m sorry if I’m missing the obvious functionality if I am.

Thanks and regards,

drolles

Hi,

do you want to export paper trading results for further consolidation and analysis or you want to be able to keep your account between consequent paper runs?

In any case I believe this is all possible with Scenario functionality. Have you considered using Scenarios for this task?

Cheers,
Anton

Anton,

Thanks for the prompt reply.

Yes, you are probably right. I’m not understanding the Scenario functionality correctly. It can do this for me if I draft the appropriate script?

Is the a relevant thread? What should I search the forum for?

I thought Scenario functionality was for optimisation.

Thanks,

drolles

You can basically do any kind of pre/post processing of strategy data within scenarios. It's a relatively new feature, so if something is missing in the API (i.e. you need to access specific information about your strategy and it's not available in the API calls), do not hesitate to ask us.

In any case I suggest you start with FAQ part related to scenario functionality and then look through API references.

Anton,

Thanks very much for the reply. On a weekend no less!

Since this exchange I’ve been digging into the Scenario functionality. You are right it looks very powerful, well done on that.

I’ve posted another question on the Scenario functionality with regards to sliding windows for walk-forward analysis.

Let me have a further dig around for the challenge about collecting the paper trading data. When I come up with a solution I’ll post something there as I think it should really be something for the whole community. I can’t be the only user with this challenge.

Thanks,

drolles

Hi Anton,

I'm actually trying to build a portfolio consolidation tool that would take trades as input (from the backtest) and compute mark-to-market P&L, including specific commission scheme (*not available in OQ), interests (*) and various other stuff. Nothing very fancy but I'd like to know if you have any resources (including documentation) about how to compute P&L using standard methods (I know the CFTC has a standard for CTA performance reporting). Anything that can help, I'd be glad to hear about. Thanks!

Are you programmer?