The cumulative loss in a portfolio

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Majid Gh

Subscriber, bbp_participant, 2 replies.

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2 weeks ago #275071

When we generate strategies and merge them together, we will have a portfolio.
So in fact, when we run these strategies on some assets, sometimes the cumulative live loss of them passes the balance and cause liquidity.
How do we evaluate the maximum cumulative loss originated by compounded strategies?



Administrator, sq-ultimate, 809 replies.

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1 week ago #275204


you can simulate a portfolio by SQX using the Merge to portfolio function or in QuantAnalyzer. You can see the MAE, Drawdown value and other metrics that show what you need


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