Questions tagged [equity-curve]

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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
371 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
167 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
32k 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
568 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
657 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 ...