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I would like to plot a weighted equity curve for a
portfolio of 30-40 holdings on a EOD basis. I have
a working un-weighted equity curve routine from a
friend of mine that is very useful. However there
are some holdings that don't perform like the Russell,
for example, and would definitely show a different response
to the market, than a price curve would.
One suggestion was to enter the number of shares via the
PARAM function and that certainly sounds workable, but
the question comes up as to where to store these values for
historical analysis.
Another idea would be to set up an equal number of tickers with a
sightly different ticker name that would hold the number of shares
in any one of the fields, say Open Interest. Or for that matter,
entering the number of shares in the open interest field of the
ticker itself thereby presenting a historical array of the holdings
as they change throughout the year.
Does any one have a working solution or ideas on how to approach?
Would appreciate any help either in straight AFL or AFL+jCode.
Best regards
JOE
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