chapter 5 mean reversion

[rezam71]

mark the remaining position to market i.e. pnl would be what it would be if we closed at current price

open_pnl += abs(sell_sum_qty - position) * (close_price - buy_sum_price_qty / buy_sum_qty)

Above block of code is wrong. it should be open_pnl += abs(position)*(.........). Position is the amount the should be marked to market

[jiripik]

Hello:

Thank you for your question.

The issue is more complex:

• you want to calculate the PnL using the original trade prices
• the presented algorithm for calculation of PnL is overcomplex, for sure, and it should be considered a mere approximation of the real PnL
• you cannot remove the sell_sum_qty from the formula since then it would be considered twice in the calculations - see the line 104 and 106
• See the comment "# long position and some sell trades have been made against it, close that amount based on how much was sold against this long position"