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Questions tagged [equity-curve]

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3
votes
2answers
98 views

Correct Discount Curve for Exchange Traded (Centrally Cleared) Products

What's the correct discount curve to use for exchange traded products? Would these be discounted at the OIS rate (because of the central clearing house)? E.g. the E-Mini S&P500 Future @ CME: I'm ...
3
votes
2answers
1k views

Getting data of sub-sector indexes of an S&P 500 index sector using QuantMod in R

Using the quantmod package in R, one can download the S&P500 index using the following command: ...
2
votes
1answer
380 views

Pair trading based on cointegration - equity line

I'm preparing a project at my Uni where I have to make a simple pair trading strategy using cointegration between two stocks. I'm stuck on the equity line calculation. I have prepared opening and ...
1
vote
1answer
168 views

Combine together different strategies in one portfolio [closed]

Hi I have generate equity of my strategies which invest in commodities and currencies at daily interval. What the best method to combine together all strategies in one portfolio? I want to make the ...
-1
votes
1answer
92 views

Equity Chart - design and granularity

I am looking to build a web based Equity chart to display performance of FX trading strategies. I would like to hear opinions and advice on a few areas that I am unsure about. Granularity Equity ...
4
votes
3answers
33k views

How is PnL calculated

In Fixed Income, I know that bonds PnL are evaluated depending on where the price lies on price/yield curve at the end of the day, compared to where it started from at beginning of the day. The ...
-2
votes
1answer
586 views

Convert returns into an index? [closed]

What's the right way to take a series of returns and convert it into a continuous index? Let's say I want to show the performance of a strategy starting from 1, and adding on returns so that I get an ...
8
votes
2answers
658 views

System Development / Optimization

I have been testing a trend following strategy. The results shows massive drawdowns which makes the equity curve very unstable. I just wanted to know what are some ways in which I can reduce the ...