QSTrader Architecture, Cash Flows, and Performance Reporting Roadmap

Summary

This update describes the progress and planned design of QSTrader, a modular engine for systematic trading simulations. Its working components include broker, exchange, alpha, and portfolio construction models coordinated by an event driven simulation engine. The system can run simple daily equity backtests, maintain long and short positions, handle account cash flows, and rebalance toward desired portfolios, though rebalance frequency is not yet configurable.

A central design issue is measuring performance when investors add or withdraw cash: those flows change account equity without reflecting strategy returns. The article proposes representing investor ownership as shares in a fund so allocations and redemptions do not distort strategy performance. It also outlines a web reporting interface for hierarchical portfolio analytics and monitoring paper or live trading. These are plans rather than demonstrated results; the described system is still pre-alpha, reporting remains incomplete, and the backtests described are simple buy and hold simulations.

Key ideas

• QSTrader separates broker, exchange, portfolio construction, and alpha logic within an event driven backtest.
• The described engine supports daily equity simulations, long and short positions, account cash flows, and rebalancing.
• Cash deposits and withdrawals can distort raw equity curves, so performance reporting needs to account for investor allocations and redemptions.
• The proposed web reporting system aims to support portfolio drilldowns and ongoing monitoring.
• At the time of the update, the platform and reporting features were still under development.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.