graph of Net Asset Value (including open orders) Votes Results
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graph of Net Asset Value (including open orders) Discussion
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pinball

会員 Oct 24, 2009  159 件の投稿 Pinball (pinball) Oct 25 2009 at 21:25
I know this would be quite hard bordering to impossible to code, as You probably don't easily get hold of open orders historically (and you'll need historic price data too). but..

most of my accounts are holding longterm trades, and the account balance itself (realized profits) is totally unindicative of the actual results. For instance, my system7 right now have a balance of 826.30 euros, but the net asset value is 1855 euros. (as the unrealized p/l for my positions is 1028 euros, 124% of balance.

One feauture that might be easier to code is to show net asset value as of last update in the system info box.

As it is now, one could easily write a system that never closed loosing trades, and thus hide away huge losses while showing a real nice asset growth only with closed trades.

I understand the near impossibillity of gathering historic open positions going backwards, but please see if you can do some magic.

another example : my system5 is at balance 1125 euros and showing a loss in your growth stats, but actually the net asset value is 3446 euros, as unrealized positions are now 206% of assets. i have realized p&l of 36 euros, the rest is unrealized.

Dennis

knowledge as well as smarts are needed to make money.
Staff

会員 Jul 31, 2009  1370 件の投稿 Ethan (Staff) Oct 26 2009 at 08:04
Dennis, you're correct in that it is rather complicated to implement this feature as we will need to simulate a trading history vs historic prices.

The alternative way is also possible. The only issue we have currently with the second method is that it can't be used with Oanda accounts - we have no way of getting the NAV value from the history statements currently.

Our team is currently trying to solve this issue.

Thank you for your suggestion.

pinball

会員 Oct 24, 2009  159 件の投稿 Pinball (pinball) Oct 26 2009 at 09:58
After some investigations, I think it i've found a solution that might make it possible for you to write the net asset value in the system info box. I have found 2 ways of doing this with oanda :

1)

You already have gotten open trades, you've got the price and the number of units shown on myfxbook.

All you have to do is to get the current forex prices (at the time when the history is loaded from oanda) (that should not be a problem, can be gotten from oanda or any other forex source)

then for each order, the current NAV can be calculated as units * (current price - open price)
and you could sum up all ordes to calculate P&L from current orders
P&L from current orders should then be added to balance to get 'current NAV including unrealized gains/losses'

That number (at oanda called Net Asset Value) is the true indication of system performance as of when data were fetched.

It is my opinion that with system that have open orders, NAV is the only true indication of actual performance.
Other intersting metrics You can calculate are total open positions size, and total current leverage.

As time goes, if you save the NAV every time the data is fetched, You'll be able to graph NAV historically, but i agree, it is probably not possible to get the historic NAV, as you would need to know historic open positions.

2)
more precise ,
doesn't need you to keep track of forex values,
gives you monthly history going back in time from when user signs up at your website
includes all kinds of open orders (also box options)
reflects the account currency (which should also be stated in the info box)
the url can probably be composed using the history url we already provide.


In an open oanda fxtrade window select:
Account->Full Transaction History
Click Summary
Click Beta of the monthly Account Statement (a link)
Set the month and year number (goes back to 2004)
click get summary
You wil get these numbers :


Positions as of (weekday, month, year, tt:mm:ss)
direction units instrument average cost market price unrealized p/l in (account currency)
- list of entries -

Summary of changes to Account since (weekday,month-1,year, tt:mm:ss)
opening balance
unrealized P/L from open positions
realized P/L from closed positions
Box option payouts
Box option Charges
interest
deposits
withdrawals
charges
adjustments
closing balance
unrealized p/L from open positions
closing NAV

Many of these numbers are quite intersting, and would be nice to have You store historically.


Have a nice day, and good work digging ;-)

Regards,

Dennis Fantoni

knowledge as well as smarts are needed to make money.
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