Strategy return calculation in QT

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This topic contains 2 replies, has 2 voices, and was last updated by  Frank Grossmann 2 months ago.

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  • #62687

    Charlie Moore
    Participant

    Hi,
    I have a question about how QuantTrader calculates a strategy return. I have created a custom strategy and I need to calculate percent change over an arbitrary time period as well as see daily returns for my custom strategy. The only place I know to find this data is in the #xxxx.csv files.

    As an example, if I select the DOW 30 hedged strategy with fixed range of MTD it shows the date range of Mar 29 2019 to April 5 2019 (as of today April 6 2019) and a strategy return of 100.95. If I look in #DOW 30 hedged.csv and I calculate percent change from Mar 29 to April 5 I calculate 0.86% (here is my calculation: (1044.41876/1035.56355)-1).

    How does QT calculate the 0.95% strategy return?

    Thanks.

    #62911

    Charlie Moore
    Participant

    Bump. I’m still interested in learning this information. Thanks.

    #62966

    Frank Grossmann
    Participant

    I looked at this problem and found that somehow the csv files begin at 200 instead of 100 (percent). So to get the same result as displaied you have to substract 100 from each price value and then do the division as you did it. We already did a new test version of QT with csv files beginning at 100 and will fix this error with the next version. The good thing is that the backtests do not change between the versions as we calculate only with daily percentual changes

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