Hi,
I have a portfolio of stocks and my initial capital is set to $100K.
I have the following query with regards to margining in the portfolio backtesting.
If I set "Absolute Max Potential Loss to $0.001" i.e off and "Margin value % of contract cost" to the following
1. 0 % - No Limit to buying ?
2. 100% - Limit max positions on to numshares1*entryprice1 + numshares2*entryprice2 <= $100k (i.e. Initial Portfolio Capital) or Accumulated PnL overtime?
3. Therefore 25% would be 4:1 margining/leveraging etc. ?
Regards
Is this correct for stocks?
Portfolio Settings - Limiting trading to cash in account
- JoshM
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Re: Portfolio Settings - Limiting trading to cash in account
Not with examples, but if you haven't done already, you can take a look at the MultiCharts manual found here (the 'MultiCharts Printer-friendly Manual' hyperlink). See chapter 4.10 (Portfolio Backtesting), starting on page 234, and page 244 ('Portfolio Settings').Is there a comprehensive manual on this Portfolio Backtesting that gives examples etc.?
Regards,
Josh
- Henry MultiСharts
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Re: Portfolio Settings - Limiting trading to cash in account
Hello Morgan.
1. Yes that is correct. If Margin value % of contract cost is set to 0 % then Absolute Max Potential Loss $0.001 is limiting buying.
2. 100% means you are risking 100% of contract cost.
Calculation is done using the formulas:
Current available account funds "Portfolio_Equity":
Portfolio_Equity = InitialCapital + Portfolio_NetProfit + Portfolio_OpenPositionProfit – TotalPotentialRiskCapital
• Portfolio_NetProfit – current profit for entire portfolio. The sum of NetProfit for all symbols (Keyword «portfolio_netprofit»)
• Portfolio_OpenPositionProfit – current potential profit for entire portfolio.
The sum of OpenPositionProfit for all symbols (Keyword «portfolio_openpositionprofit»).
TotalPotentialRiskCapital = the sum of PotentialRiskCapitalForSymbol for each symbol;
PotentialRiskCapitalForSymbol = the sum of PotentialRiskCapital for each ENTRY in POSITION;
Max potential risk per trade:
PotentialRiskCapital = Quantity*(MaxPotentialLossPerContract+MarginPerContract + CommVpc + SlippageVpc) + CommVpt + SlippageVpt;
• Quantity - the amount of contracts;
• CommVpt – Comission value in per Trade mode. If the other mode is selected, the value is set to 0.
• SlippageVpt – Slippage value in per Trade mode. If the other mode is selected, the value is set to 0.
• CommVpc – Comission value in per Contract mode. If the other mode is selected, the value is set to 0.
• SlippageVpc – Slippage value in per Contract mode. If the other mode is selected, the value is set to 0.
3. 25% means you are risking 25% of contract cost.
Unfortunately there is no separate manual for Portfolio Backtesting.
You can find the information about it in MultiCharts help file.
1. Yes that is correct. If Margin value % of contract cost is set to 0 % then Absolute Max Potential Loss $0.001 is limiting buying.
2. 100% means you are risking 100% of contract cost.
Calculation is done using the formulas:
Current available account funds "Portfolio_Equity":
Portfolio_Equity = InitialCapital + Portfolio_NetProfit + Portfolio_OpenPositionProfit – TotalPotentialRiskCapital
• Portfolio_NetProfit – current profit for entire portfolio. The sum of NetProfit for all symbols (Keyword «portfolio_netprofit»)
• Portfolio_OpenPositionProfit – current potential profit for entire portfolio.
The sum of OpenPositionProfit for all symbols (Keyword «portfolio_openpositionprofit»).
TotalPotentialRiskCapital = the sum of PotentialRiskCapitalForSymbol for each symbol;
PotentialRiskCapitalForSymbol = the sum of PotentialRiskCapital for each ENTRY in POSITION;
Max potential risk per trade:
PotentialRiskCapital = Quantity*(MaxPotentialLossPerContract+MarginPerContract + CommVpc + SlippageVpc) + CommVpt + SlippageVpt;
• Quantity - the amount of contracts;
• CommVpt – Comission value in per Trade mode. If the other mode is selected, the value is set to 0.
• SlippageVpt – Slippage value in per Trade mode. If the other mode is selected, the value is set to 0.
• CommVpc – Comission value in per Contract mode. If the other mode is selected, the value is set to 0.
• SlippageVpc – Slippage value in per Contract mode. If the other mode is selected, the value is set to 0.
3. 25% means you are risking 25% of contract cost.
Unfortunately there is no separate manual for Portfolio Backtesting.
You can find the information about it in MultiCharts help file.
Re: Portfolio Settings - Limiting trading to cash in account
Still dont understand - lets keep it simple
for 2 does the 100% setting LIMIT the current positions on to the total equity in the account i.e Portfolio_Equity ?
e.g If I have $100k in the account at a certain point in time does the max open positions(the accumulation of all the open positions) be limited to that $100k with this setting ?
for 2 does the 100% setting LIMIT the current positions on to the total equity in the account i.e Portfolio_Equity ?
e.g If I have $100k in the account at a certain point in time does the max open positions(the accumulation of all the open positions) be limited to that $100k with this setting ?