Historical NAV data

C2
1

Hi!
Is there any way to get historic NAV data, from performance chart graph?
It would be extremely useful in evaluating and building portfolio of strategies.

2

Developers API -
https://collective2.com/developer-APIs

Or C2 Explorer

3

Hi,

Can you please point to the specific API in C2 Explorer that returns this value (NAV/day for a given strategy)?

Thanks a lot!

4

It is a request for system equity in the API -

https://collective2.com/api-docs/latest#toc-retrievesystemequity

5

Thank you very much for your quick response.

I believe the referenced API call returns the closed trade results and not the NAV (that would include the open P/L) as the OP asked about.

Am I missing something?

Thanks again!

[Arguably the API is mis-named and for clarity it should be called retrieveclosedequity.]

6

I am sure that returned system equity includes both closed and open trade results as well as remaining cash. Actually this returned equity coincides (if broker commissions and subscription fees considered) with the equity diagram shown for each system.

7

Thanks for sharing the result of your experiment! If the returned equity is the same as shown in the diagram, then unfortunately it is indeed (as I suspected) the closed equity and not the “real” equity. As an aside: this is unfortunately true for the “drawdown” as well. It is the closed trade dd and not the correct dd figure.

Thanks again!

8

Hi Jozsika -

The retrieveSystemEquity returns marked-to-market strategy equity – that is, both open and closed trades. Note that there are two values for each daily data point – strategy_raw and strategy_with_cost. The first reveals the strategy equity without any commissions or subscription costs. The latter contains both of these values.

9

Equity diagram shows both open and closed trades data. Otherwise systems with long duration trades would have flat parts at the end of the equity, but they are not.

10

The duration of trades doesn’t matter. If the system staggers closing and opening trades, it will show a ragged chart. Multi-equity systems don’t trade in “chunks.”

11

Sorry for the late reply, I was traveling.

Thanks for the hint, but I am still missing something.

I execute
curl -d ‘{
“apikey”: “j7zytjdG26Ow…2DyXfxmqY”,
“systemid”: “94987184”,
“commission_plan”: “default”}’ -H “Content-Type: application/json” ‘https://collective2.com/world/apiv3/retrieveSystemEquity’

The last entry in the response:

{
“strategy_with_cost” : 57467,
“unix_timestamp” : “1484471053”,
“index_price” : “2274.64”,
“YYYYMMDD” : “20170115”,
“strategy_raw” : 63415
}

I compare this with the csv data that I download from C2. I load the csv data into a SS and sum the trade p/l column.

I get 49047
I add to this $20K (the initial equity of the system) and subtract $7079 (current open p/l)
The result is 61995.

This doesn’t line up with either equity data retrieved through the api. (I believe it should be lined up with the ‘strategy_with_cost’ data as the csv p/l column has commission built in??)

Thank you for your help,

Joseph