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Open Feature request MC-1789

Feature Request: pmms_get_strategy_current_value(strategy_index)

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Description

I am working with Portfolio Trader and am implementing a portfolio ranking scheme, based on historical performance of the individual performance of my trading signals.
Right now, I need to implement functionality in my trading signals to report the 'raw' performance per stock to the PMM signal, so that the PMM signal can then deny/ allow entries and adjust order sizes.
This has several drawbacks:
* I can no longer use any of your standard trading signals, as I need to report the raw trading performance
* I can no longer separate entry and exit conditions in my trading signals
I have tried to code an 'observer signal', which would observe the trades made, calculate the raw trading performance and report that. Unfortunately, that doesn't work, as this observer signal is no longer seeing the 'raw' trading performance but the performance after the PMM signal has denies/ enabled entries and adjusted position sizes.
I am therefore suggesting to add a PMM keyword, to query the account value of the strategy, prior to any adjustments made by the PMM signal. This would allow to calculate the raw performance in the PMM signal and completely decouple trading signals and PMM signal for a broad range of strategies.
There is a discussion on the forum regarding this under the subject "Tracking strategy performance of individual instruments in Portfolio Trader:

http://www.multicharts.com/discussion/viewtopic.php?f=1&p=109949#p109949

Thank you,
best regards, Felix

Steps to reproduce this issue

feature request. I am happy to provide code examples how this would be used, in case you have any questions.

Comments (1)
#0
user-offline.png  fbertram (fbertram)
Nov 02, 2014 - 15:16

I have attached a demo project, showing how this feature would be used.
What's great about it: in this setup, trading signals from MC's library can be used and combined freely
Why I need your help: this is all hinged on having access to the raw performance. While my demo code gets close to that, it can never turn off any instruments (only downsize them), so this doesn't work for auto-trading.
Thank you,
best regards, Felix

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    Not determined
  • Status
    Under Review
User pain
  • Type of bug
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  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Severity
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