qusma/qpas

Performance, risk, and execution analysis.

qpas's Issues

Forward-looking risk analysis

Based on current open positions: marginal VaR for current portfolio components, scenario analysis, correlations, correlations in crashes, etc.

On top of that, what-if analysis for arbitrary portfolio changes.

Estimating cov matrix is problematic: use a statistical factor model (PCA) instead?

Use quantlib for options analysis stuff.

Good paper on scenario analysis using principal components: http://www.bancaditalia.it/pubblicazioni/econo/temidi/td06/td602_06/td602en/en_tema_602.pdf

PDF export of performance report

Add a way to save/load settings for generating reports

Why did this great project stop development?

There is some real good work here.

Instrument gross upside/downside capture stats.

Upside captured
Upside missed (while flat)
Upside lost (while short)

Downside captured
Downside missed (while flat)
Downside lost (while long)

Clean up annotations on instruments chart

Keep track of other annotations on the same day. Make arrow longer so they don't overlap.

Implement "clear data" in the settings window

Just a DROP TABLE should work across all dbs(?)

Code completion in script editor

RoslynPad is one option but I had trouble integrating. Another project worth looking at is SharpDevelop.

can't run the program

After install the program, first it runs ok. but after importing some data, it can't run any more.

It always pops up a window " QPAS has stopped working" whenever I try to run the program.

This is under win10.

Copy/paste trade tags

Make use of instrument sessions from QDMS instead of assuming a hardcoded value.

With a fallback default, of course.

Create a filter mechanism for TimeSpans.

This will probably be in the datagrid filter library (https://github.com/qusma/DataGridFilter). Needed for the orders grid.

Use this for the UI: https://wpftoolkit.codeplex.com/wikipage?title=DateTimeUpDown&referringTitle=Documentation ?

Excel export of performance report

QPAS System.InvalidOperationException when loading statements

Hi.
I saw QPAS mentioned in a forum and thought I'd try it out. When trying to load data it crashes(this is the same for the binary and source versions). I downloaded the source and VS15 and built/stepped to see if I could work out what went wrong, but as I'm not a Windows C# programmer and I'm not sure what to do next. I had a quick look online with similar problems, but I just dont know enough.

When I try to upload a Flex statements from IB or if I tell QPAS to fetch data from IB it crashes.
I go: Tools -> Load From Web -> IB -> Error

It has the same behaviour with LoadFromFile() and LoadFromWeb(). I made a screenshot of the exception getting caught in VS. I stepped/breakpointed the LoadFromFile line that seems to throw the exception. Below is a trace from VS.

I'm on Windows 8.1 that is reasonably up to date. Let me know if I can help you with more info. I freshly installed all the DEV tools for this so should not have anything stale kicking around.

System.InvalidOperationException was unhandled by user code HResult=-2146233079 Message=Context is not registered. Consider using DialogParticipation.Register in XAML to bind in the DataContext. Source=MahApps.Metro StackTrace: at MahApps.Metro.Controls.Dialogs.DialogCoordinator.GetMetroWindow(Object context) in C:\Users\punker76\Documents\GitHub\MahApps.Metro\MahApps.Metro\Controls\Dialogs\DialogCoordinator.cs:line 69 at MahApps.Metro.Controls.Dialogs.DialogCoordinator.ShowProgressAsync(Object context, String title, String message, Boolean isCancelable, MetroDialogSettings settings) in C:\Users\punker76\Documents\GitHub\MahApps.Metro\MahApps.Metro\Controls\Dialogs\DialogCoordinator.cs:line 38 at QPAS.StatementHandler.<LoadFromWeb>d__22.MoveNext() in D:\proj\qusma\QPAS\QPAS\StatementHandler.cs:line 112 --- End of stack trace from previous location where exception was thrown --- at System.Runtime.CompilerServices.TaskAwaiter.ThrowForNonSuccess(Task task) at System.Runtime.CompilerServices.TaskAwaiter.HandleNonSuccessAndDebuggerNotification(Task task) at System.Runtime.CompilerServices.TaskAwaiter.GetResult() at QPAS.MainViewModel.<<CreateCommands>b__92_0>d.MoveNext() in D:\proj\qusma\QPAS\QPAS\ViewModels\MainViewModel.cs:line 106 InnerException:

Rethink trade capital usage calcs?

Possibly change capital usage calc to average over period? A bit nonsensical for rebalancing right now. Removing 5% of a position then adding it back increases cap usage. Average can lead to nonsensical numbers too though...

Marginal/Component Value at Risk by Strategy

Stress tests

Use PCA on returns. Then let user use components to generate scenarios.

ACF/PACF charts for daily returns in the report

Easy: just use Utils.MLR()

PerformanceEvaluation: if neither leg of the FX pair is USD we need to translate it back to the base currency

Show evolution of price AFTER exit, to diagnose too-early exits

Add information ratio to the benchmark stats.

Active premium divided by tracking error.

Allow the use of VWAP as the execution analysis reference price

This would probably require adding a VWAP field to QDMS.

Add risk contribution by strategy stats

Error downloading IB statement

I'm testing QPAS and I created a flex query in IB. When I do "Load Statement From File", it works fine. I entered my flex token and flex query ID in the preferences and then do "Load Statement From Web" and QPAS says:

Error Downloading Statement
Invalid request or unable to validate request.

Any way to debug what's going on? Thanks.

Implement a way to deal with splits.

Right now splits break everything. Easy with QDMS since the splits are included, but I've got no idea if it's even possible with just the flex statements alone. The Corporate Actions section might have something (https://institutions.interactivebrokers.com/en/software/reportguide/reportguide/corporate_actionsfq.htm) but it's unclear. Need a sample from someone who held a stock through a split, I guess.

Performance metrics by day of week and/or time of day