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Observers/Analyzers per asset in multi-asset strategy?



  • Firstly, thanks a lot for an excellent framework!

    I am testing a multi-asset trading strategy - short one asset and long the other at the same time.

    I want to see the maximum DrawDown each position can have during the trade. How could I achieve this?

    I understand that I can't apply DrawDown observer separately for each asset because it is based on the Broker which tracks cash, correct?

    Is it possible to modify DataTrades Observer to implement something similar to what I've made on the picture below? So that I could see PnL of each position during the trade and find out/record the highest DrawDown position could have. If it is possible, any directions on how to do this?

    Screenshot 2019-11-19 at 15.44.57.png

    Thanks!


  • administrators

    @Dimasik007 said in Observers/Analyzers per asset in multi-asset strategy?:

    Is it possible to modify DataTrades Observer to implement something similar to what I've made on the picture below?

    You can for sure write an Observer which looks at the current position value to determine the PnL.


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