historical open equity issue

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MarketPrep
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historical open equity issue

Postby MarketPrep » 22 Mar 2015

So here's my problem if I want to optimize based upon smoothness of equity curve using K ratio, then I need historical access to my open equity. however in order to store the historical data I need to use a variable series and the problem is the variable series is limited to the max number of bars back referenced in strategy properties. How do you recommend that I get access to a large historical open equity set of data. I would prefer to avoid needing to list the number of bars back for the study to several hundred thousand.
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Henry MultiСharts
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Re: historical open equity issue

Postby Henry MultiСharts » 26 Mar 2015

Hello MarketPrep,

You can create a storage class using ready C# class collections, ex. Dictionary<object, object>. This storage class should receive a certain value and store its bar reference (based on time, number, or both) in order to have single value per bar. Save this bar->value reference in an array and access when required. It can be reference by index or bar time, number. More info about C# collections and C# arrays @MSDN.

MarketPrep
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Re: historical open equity issue

Postby MarketPrep » 26 Mar 2015

Henry/Forum does anyone have an example for this? I can do it but would rather not reinvent the wheel.


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