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StrategyQuant X platform codebase – a place to share coded customizations and extensions – among all users.
Columns > Databank / Filter
Biggest MAE on multiple trades
We have a snippet called "Biggest MAE". It is very useful to see how a strategy with a single order behave. However, when you open multiple orders at once, you have to calculate the total MAE of all the open positions
Hedging
Basket orders
multiple orders
MAE
Biggest MAE
Columns > Trade list
Trade Edge Ratio
Trade column that will allow us to analyze the Edge Ratio of each trade.
edge ratio
Columns > Trade list
ATR(14) on Open
This snippet shows you the value of ATR(14) at the time the position was opened.
atr
Columns
Multimarket analysis in SQX
Snippets used in blog post: Multimarket analysis in SQX
multimarket analysis
Columns
Annual Return % / Avg DD % Ratio
Annual Return % / Avg DD % Ratio
Annual Return % / Avg DD % Ratio
Columns > Databank / Filter
CAGR% / Avg DD % Ratio
Ratio of CAGR in % and average DD in %
CAGR% / Avg DD % Ratio
CAGRAvgDDRatio
Columns > Databank / Filter
Edge Ratio in Pips Based on Median
This is Edge Ratio in pips but instead of averaging MFE and MAE values by the arithmetic mean, I've used medians.
edge ratio
Columns > Databank / Filter
Edge Ratio
EDIT 31.1.2022 EDGE RATIO IS NOW PART OFS SQX YOU CAN FIND IT IN CODE EDITOR IN DATABANK SNIPPETS. YOU CAN FIND IT ALSO IN DATABANKS VIEWS ALSO DIRECTLY IN SQX
edge ratio