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Portfolio settings define the conditions under which the strategy is executed. Portfolio Settings include '''Exposure''', '''Max % of Capital at Risk per Position''', '''Initial Portfolio Capital''', '''Margin per Contract''' and '''Potential Loss per Contract'''.
Portfolio Settings can be set from the '''Portfolio Settings''' tab in Portfolio Backtester application.
To use the Portfolio Settings tab:
# Select the '''Portfolio Settings''' tab in the main window.
# In the '''Exposure''' box, enter the maximum percentage of capital to be exposed to risk.
#: For example, with '''Exposure''' set to 50%, a maximum of 50% of the capital will be available for the sum of all positions. If an additional position causes total exposure to exceed 50%, the position size will be reduced so that the '''Exposure''' limit is not exceeded.
#: '''Exposure''' is defined as follows: entry price * number of contracts. This is the definition for both long and short positions.
# In the '''Max % of Capital at Risk per Position''' box, enter the maximum percentage of capital that can be risked per position.
#: For example, with '''Max % of Capital at Risk per Position''' set to 5%, a maximum of 5% of the capital will be available for a single position. If an additional position risks more than 5% of capital, then the position size will be reduced so that the '''Max % of Capital at Risk per Position''' limit is not exceeded.
#: '''Max % of Capital at Risk per Position''' is defined as follows: entry price * number of shares. This is the definition for both long and short positions.
#: <br><div style="background-color: #E3FBE5;">Note: '''Max % of Capital at Risk per Position''' cannot exceed the '''Exposure''' setting.</div>
# In the '''Initial Portfolio Capital''' box, enter the amount of the initial trading capital.
# In the '''Required Capital Assumptions in Margin Trading''' section, choose to use either '''Margin per Contract''' settings or '''Potential Loss per Contract''' settings.<br>
#: <br><div style="background-color: #E3FBE5;">Note: Do not use both.</div>
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== Using Margin per Contract Settings ==
# In the '''Margin per Contract''' section,
#* Select '''Absolute Margin value (from QuoteManager symbol settings) ''' to get the margin value from QuoteManager. Each symbol has a margin setting in QuoteManager. If no margin setting was entered in the QuoteManager symbol settings, then the margin value is assumed to be zero, or
#* Select the '''Margin value % of contract cost radio button''' to enter a margin percentage that will be applied to all contrats.
# In the '''Potential Loss per Contract''' section, input “0.001” into the '''Absolute Max Potential Loss''' box. This effectively disables the '''Potential Loss per Contract''' section.
<br><div style="background-color: #E3FBE5;">Note: Only the initial margin will be taken into consideration. The maintenance margin will not be taken into consideration.</div>
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== Using Potential Loss per Contract Settings ==
# In the '''Potential Loss per Contract''' section,
#* Select '''Absolute Max Potential Loss''' to enter the max potential loss in absolute dollars, or
#* Select '''Max Potential Loss''' to enter the max potential loss in percentages.
# In the '''Margin per Contract''' section, set '''Margin value % of contract cost''' to "0". This effectively disables the '''Margin per Contract''' section.
In real trading, margin values and other portfolio settings may change depending on the circumstances. Portfolio Backtester enables the user to calculate the margin values and change portfolio settings dynamically with PowerLanguage.
For more information, please see PowerLanguage portfolio-related keywords (prefixed with the word "Portfolio").
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[[Category:Portfolio Backtesting]]
