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PostPosted: Sun Jun 05, 2011 6:22 pm 
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Joined: Wed Aug 27, 2003 2:43 am
Posts: 82
Hello,

I'm having trouble understanding how to access Portfolio metrics such as Drawdown from within an OQStrategy Block.

Lets say I'm in OnBar(Bar bar) within an OQStrategy, how can I access Portfolio.Performance.Drawdown?

I must say this is a very interesting project, I'm excited about the possibilities. I'm just a bit confused on how to put it all together.

Thanks,
Steve


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PostPosted: Sun Jun 05, 2011 8:02 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

I think you can

1. Add it as event handler, i.e. plug Drawdawn block output to Strategy input event (check OpenQuant diagram in VQ to see Drawdawn block)
2. You can plug Drawdawn event to Startegy input property. Then this property will hold last drawdawn value.
3. You can plug Portfolio "this" property to Strartegy Portfolio property. Then you can access Portfolio in the strategy code and use its properties and methods directly.

Though I am not sure all these features are available in the version you have.

Regards,
Anton


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PostPosted: Fri Jun 10, 2011 8:19 am 
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Joined: Wed Aug 27, 2003 2:43 am
Posts: 82
I was able to plug the Drawdown event into a Strategy Input event.

I was also able to access the Portfolio Block from within Strategy logic by referencing the eventInfo paramenter in the Strategy Input event

However, it doesn't look like the Portfolio object/block exposes near as many methods/properties as OpenQuant did. Nonetheless, it looks like the beauty of this product, is that I can take any block and extend the functionality to meet my needs.

Thanks for the help.

Regards,
Steve


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