Csv upload of events/trades has been added under the "upload" section in the main menu.
Category attribute added to Flows. This can be set and observed on the flows page. The category filter dropdown allows for easy filtering for "groups" of related flows.
Reworked analysis calculation methodology:
All events are now analysed as trades
Portfolio equity returns (equity curve) is now calculated using a more realistic equal weight portfolio where weight = 1/ maximum concurrent trades. This caps leverage at 100% (no leverage).
Daily returns are now calculated using the portfolio equity returns above, and most stats use daily returns as a base (sharpe, etc).
More timeframes added: 1h, 2h, 4h, 12h, 24h, exit at todays close (t+0cls), exit at tomorrows open (t+1opn), exit at tomorrows close (t+1cls).
A custom exit period can be provided with the "user_exit_minutes" parameter in webhook POST or as a column in CSV upload. This custom analysis period will appear as "Custom User Exit".
A custom exit datetime can be proved with "exit_datetime" parameter in webhook POST or as a column in CSV upload. The cyborg analysis engine will attempt to exit on the next 5 minute price bar after the provided datetime. This custom analysis period will appear as "User Exit"
Portfolio mode removed (replaced with user exit_datetime param)
VWAP stats removed from report and reworked as seperate execution selectors, this allows us to see all stats assuming 3 different execution options: next bar, 15m, 60m. The next bar option uses the price and volume of the next 5 minute bar after the entry and exit signal. 15m and 60m use a volume weighted average price over those periods and a sum of volume. The exit vwap is calculated to finish AT the exit_datetime. Stops and takeprofits do not use a VWAP.
Cyborg analysis engine speed increased to >1200 trades per minute.
Added Risk tab to analysis page. The risk tab shows a standard drawdown area chart and a frequency histogram of MAE.
Added Factor tab to analysis page. The factor tab shows decile mean return buckets for trailing 4h returns (price momentum) and daily turnover (liquidity). The 3rd chart is a frequency histogram of nominal entry price.