Explanation of report graphs

I don't know why I don't see the answer here I got on e-mail:

Hi Mislav

Metrics are logged during the course of the backtest. 

1. self.Portfolio[symbol].AbsoluteHoldingsValue / sum(self.Portfolio[symbol].AbsoluteHoldingsValue of all symbol) as time series, then averaging by time for average ratio of the asset with portfolio throughout backtest time.

2. daily return of yur portfolio and benchmark return series are logged in a given length to run for their correlation, then multiply by your portfolio's standard deviation / benchmark's standard deviation for same length to obtain a rolling beta series. Please refer to this code.
3. sum(self.Portfolio[symbol].AbsoluteHoldingsValue of all symbol) / self.Portfolio.TotalPortfolioValue as time series
4. Its calcaulation is similar to 1., but logging as time-series-tuple consists of long/short direction separately without averaging.

Best, 
Louis Szeto

Reffering to 2 and linked code, I don't understand why do you compare returns of the strategy and cumulative returns of the banchmark? I don't use C#, but it seems to me that this code do just that:

            var dailyReturnsSeries = equityCurve.ResampleEquivalence(date => date.Date, s => s.LastValue())
                .PercentChange();

            var benchmarkReturns = benchmarkSeries.ResampleEquivalence(date => date.Date, s => s.LastValue())
                .CumulativeReturns();

            var returns = Frame.CreateEmpty<DateTime, string>();
            returns["strategy"] = dailyReturnsSeries;
            returns = returns.Join("benchmark", benchmarkReturns)
                .FillMissing(Direction.Forward)
                .DropSparseRows();

            var correlation = returns
                .Window(windowSize)
                .SelectValues(x => Correlation.Pearson(x["strategy"].Values, x["benchmark"].Values));

Hi Mislav

The equity curve one is not return, but percent change. They're basically the same measurement but the benchmark one is using .CumulativeReturns() as it is the divisor, so we want to make sure it is not indivisible (code).

Best
Louis Szeto