equityCurve values
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equityCurve values
by CriC
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Hi,
Just a silly question: account.getBalanceBook().getEquityCurve() doesnt return the equity curve I'm used to. I mean 31827.0 starting point -32485.0 what is this ? why the negative (buy) value should be insert in the equity ? 34724.0 new starting point / that is a gain -35747.0 33805.0 -33481.0 39110.0 -39610.0 41931.0 -42600.0 40650.0 -42371.0 44510.0 What I mean as an equity curve is a simple curve of profits or losses. Here the equity curve seems to be equivalent to balanceBook values. Is this right? If yes, how can I plot the equity curve correctly ? thank you Cric |
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Re: equityCurve values
by Ulrich Staudinger-2
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Hi,
the equity curve was ment to be a cash flow curve. When buying something there is an outflow of cash (the -32...), when selling something, there is an inflow of cash. Of course it can be discussed whether this is good or not, i have just recently added something like mark-to-market valuation, where the changes are recorded and not the actual cash flows. Point is also that in a double entry book keeping system, you would have of course a reduction in cash, but an increase in assets, so the two sides even up at start of the transaction. However, as time goes by, the asset (the stock) will be valued differently, which would be the current unrealized Pnl. Start: Cash Position = -32485 Value of Asset Position = +32485 = 0 A bit later when the price has changed: Cash Position = -32485 Current value of Asset Position = +33000 = +515 Maybe there should be some sort of portfolio valuation part in there .... Kindest regards, Ulrich On Tue, Sep 29, 2009 at 12:49 PM, CriC <cristina.colonna@...> wrote:
-- Ulrich B. Staudinger _______________________________________________ ccapi mailing list ccapi@... http://activestocks.de/cgi-bin/mailman/listinfo/ccapi |
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Re: equityCurve values
by CriC
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Hello Ulrich, Sure I've understood but could be usefull to have an object that keep track of gains or losses without considering the cash flow. This permits to draw a very nice equity curve :-) Is this possible ? Have you already done it ? Can you give some tips ? thank you very much, cric |
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Re: equityCurve values
by Ulrich Staudinger-2
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Cris,
Check out activequant framework from head, there you can find something called PnlLogger as well as an IAQLogger interface. In BrokerBase, you can inject an instance of IAQLogger. Propably you get the picture when you look at the code of PnlLogger. Regards, Ulrich On Mon, Oct 19, 2009 at 5:16 PM, CriC <cristina.colonna@...> wrote:
-- Ulrich B. Staudinger _______________________________________________ ccapi mailing list ccapi@... http://activestocks.de/cgi-bin/mailman/listinfo/ccapi |
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