Portfolio historical exposure ..... open positions.

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aconnery
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Portfolio historical exposure ..... open positions.

Postby aconnery » 15 Jun 2013

When running a portfolio of say 100 stocks, some long and some short, I cannot see any reference to the historical exposure the portfolio has. For example, assuming I had 50 Longs, 20 Shorts and 30 non entries, (and assuming I was investing $1000 per stock) I should end up with an exposure of +30k with an additional 30k cash. Being able to extract these stats will help with portfolio sizing calcs.

Are there any Portfolio reserved words that can help to extract this data to .csv for further analysis ?

Thanks

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 18 Jun 2013

Hello aconnery,

You need to set Max potential loss per contract to 100% and use Portfolio_InvestedCapital to get the current exposure.

aconnery
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Re: Portfolio historical exposure ..... open positions.

Postby aconnery » 03 Mar 2014

Thanks for this, but what i require is the net exposure. in the example used (long 50, long20 and short 30) the invested capital = 100. However, the net exposure is the difference between long positions and short positions i.e. 50+20-30=40 net exposure...... or cash exposure.

Can this be done in portfolio backtester as this is really basic stuff ?

Thanks in advance.

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 04 Mar 2014

Hello aconnery,

Please explain what you mean by "net exposure". Are you referring to splitting the InvestedCapital into short and long trades (how much capital is held for long trades and short trades)?

aconnery
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Re: Portfolio historical exposure ..... open positions.

Postby aconnery » 04 Mar 2014

That's correct. Net exposure is the difference between Long and short positions. so long=40, short =-60, therefore net exposure= -20

thanks

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 05 Mar 2014

At the moment there is no way to calculate that. This is something we are going to have added in MultiCharts 9.0

paraty
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Re: Portfolio historical exposure ..... open positions.

Postby paraty » 09 Apr 2014

What about the daily exposure as a means to audit the backtest results?.

How can we have an excel export or a report detailing the daily Exposure, defined as (Portfolio_InvestedCapital + Portfolio_OpenPositionProfit)?

In your standard reports, this figure is not shown anywhere. How would I include a custom report section with these DAILY figures?

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 11 Apr 2014

Hello paraty,

At the moment there is no way to add a custom value to the performance report. You may want to submit a feature request to the Project Management of our web site so other users can vote for it: https://www.multicharts.com/pm/

That is possible to export the calculated values into a text file using Print and FileAppend commands.

continue8
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Re: Portfolio historical exposure ..... open positions.

Postby continue8 » 10 May 2014

It would be extremely useful to know MaxOPEN_POS in portfolio backtester
because this is the only way to measure the leverage of the portfolio, if you have 10k or 100k on your account and your portfolio trades with 25k or 150k of margins because the MaxOPEN_POS is high ( even though the risk might be low because of spreads or tight stop losses ) then the portfolio can never trade, or on FX if the maxopen > the leverage limit on your account then the problem is the same, this INTRADAY MaxOPEN_POS number is very important
in an analysis and potential implementation of any portfolio. Please include it in Multicharts 9.00 .

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 14 May 2014

Hello continue8,

New reserved words will be introduced in MultiCharts 9.0 that will make it possible to calculate the required value.

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Re: Portfolio historical exposure ..... open positions.

Postby continue8 » 14 May 2014

That is great news

What is your best estimate of the 9.00 release date ?

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Henry MultiСharts
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Re: Portfolio historical exposure ..... open positions.

Postby Henry MultiСharts » 15 May 2014

There is no ETA for the 9.0 Release version yet. The first public beta should become available within a month.


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