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Dingo,
There were two parts in my message and I'll start with the
equity idea and do the individual stock
later.
You need to have a way to determine your portfolio equity on
an EOD basis. There are any number
of ways to do this, I happen to use MSN Money Portfolio.
It works for me. (as an aside, I do my own
taxes, so I also use Quicken. It makes year end
tax work a snap.) I also bring my cash position
into
AB on a daily basis so that I can see, at a glance, how
much I have to invest.
To start, set up a symbol in AB, such as ~PORT, and give it a
full name, Portfolio Data. I always give it
an index attribute so I can filter it out easily from any AA
or IB work .
Once I have the data, I enter it into a spreadsheet as
follows:( done in vertical format as
the Yahoo site does not do well with keeping columnar format
aligned. The actual
spreadsheet is done horizontally.)
Data
Field
Data Item
<FONT
size=2>Ticker
~PORT
<FONT
size=2>Date
Y/M/D
<FONT
size=2>Open
Portfolio Equity in whole dollars
<FONT
size=2>High
Portfolio Equity in whole dollars
<FONT
size=2>Low
Portfolio Equity in whole dollars
<FONT
size=2>Close
Portfolio Equity in whole dollars
<FONT
size=2>Volume
Account Cash Balance in whole dollars
O
Interest 1
(not needed but I do it for continuity reasons with other data)
I fill each of the OHLC fields; however, it is not for
any particular reason.
When done with spreadsheet entry, save the file as
a .csv.
Go to AB and, using Import Wizard, import the data. (A single
line daily)
Be careful to check the No Quotation and Allow Negative tick
boxes as AB does some data checking and
you can run afoul of the checker easily.
Here are several ways I use this data.
In the default price pane, I set up three separate, snapped to
price, lines.
One runs from the beginning to
the end of the current period.
One runs from the beginning to the
Max peak of the equity curve.
One runs from the Max peak of the
equity to the last price.
By hovering the tool tip over these lines, I get a direct read
of the % change of the
points noted. The lines are reset daily if needed.
BTW, the price chart can look pretty wacko due
to the aspect ratio, but, you get used to it. If
that offends your eye, you can do a Plot(Close,..........)
and set up your own aspect ratio in a new indicator
pane. If you are inclined, it would be fairly easy
for one skilled in AB to slap a Linear Regression line on the
custom chart to better indicate the trend.
Here is some code I use.
AccountEquity = <FONT
size=2>Foreign<FONT face=Arial
color=#800080>("~PORT"<FONT
face=Arial color=#800080>,<FONT face=Arial
color=#ff6820>"HIGH",<FONT
face=Arial color=#ff00ff>1<FONT face=Arial
color=#800080>);
AccountCash = <FONT
size=2>Foreign<FONT face=Arial
color=#800080>("~PORT"<FONT
face=Arial color=#800080>,<FONT face=Arial
color=#ff6820>"Volume",<FONT
face=Arial color=#ff00ff>1<FONT face=Arial
color=#800080>);
The above
accesses the data set for other uses.
Keep in mind that the third parameter in Foreign allows the
last posted value to be
carried forward if the parameter is set to 1. In this
way, if you go through a longish period
of no trading, your data will carry forward when called with
this function. (on the other hand,
your default price chart will have truncated values. You
choose the trade-off when you decide
to post daily or not)
<FONT face=Arial color=#ff6820
size=1>
" Portfolio Cash = "<FONT
size=2>+ <FONT face=Arial
color=#0000ff>WriteVal<FONT face=Arial
color=#800080>(AccountCash,<FONT face=Arial
color=#ff00ff>6.0<FONT
size=2>)+
"\nPortfolio %
Gain/Loss = "+<FONT face=Arial
color=#0000ff>WriteVal<FONT face=Arial
color=#800080>(((AccountEquity/<FONT face=Arial
color=#ff00ff>25000)-<FONT
face=Arial color=#ff00ff>1)*<FONT
face=Arial color=#ff00ff>100,<FONT
face=Arial color=#ff00ff>1.2<FONT face=Arial
color=#800080>)+
" Current DD % =
"+ <FONT face=Arial
color=#0000ff>WriteVal<FONT face=Arial
color=#800080>(((AccountEquity/<FONT face=Arial
color=#0000ff>Highest<FONT face=Arial
color=#800080>(AccountEquity))-<FONT face=Arial
color=#ff00ff>1)*<FONT face=Arial
color=#ff00ff>100,<FONT face=Arial
color=#ff00ff>1.2)+<FONT face=Arial
color=#ff6820>"\n"<FONT face=Arial
color=#800080>+
The above are elements of a
Title statement that places information I want to see in an
indicator
pane directly
below a chart.
<FONT color=#000000
size=2>
DDRatio = AccountEquity/<FONT
face=Arial color=#0000ff size=2>Highest<FONT face=Arial
color=#800080>(AccountEquity);
DDAdjust = <FONT
size=2>IIf<FONT face=Arial
color=#800080>(DDRatio >= <FONT face=Arial
color=#ff00ff>1.0,<FONT face=Arial
color=#ff00ff>1.0<FONT
size=2>,DDRatio);
SharesToBuy = <FONT
size=2>round<FONT face=Arial
color=#800080>((0.015<FONT
face=Arial color=#800080>*AccountEquity)/TrailStop*DDAdjust/<FONT
face=Arial color=#ff00ff>10)*<FONT
face=Arial color=#ff00ff>10;
This is my position sizing
code. (read drawdown for DD)
TrailStop is based on the ATR
function. As you can see, my position is set by a limit based
on
portfolio equity, the TrailStop amount and the
amount of the current DD.
Keep in mind that this is in an indicator window
and you will access different data when you select
different dates.
The above is about the limit of what I use the
data for, but I find the time getting the info into AB
each day to be well spent. And, once you
have the data in AB, I'm sure you will find other uses
for it.
Regards,
Tony
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