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Hello AB community,
Compliments to all of you who have provided me with so many insights
and clarifications. This beats any manual or help-desk (except, of
course, Tomasz himself).
I have been following your discussions for over a year now, although
I didn't participate yet. I had hoped that I would be able to
introduce myself, so to speak, by making a contribution instead of a
request. As promised to Tomasz, I was, and still am planning to post
my code on a risk factor model that is close to completion. I hope
this will be beneficial to at least some of you, particularly those
who attempt to integrate the fundamentals with the technicals, and
compare performance to benchmarks.
However, I got stuck on an important aspect of this model which is
the running exposures (holdings) within the portfolio that is
backtested. Although Tomasz is contemplating to arrange for this data
to be called directly within AFL, in the meantime I thought I put
this problem to you.
Specifically, and from a portfolio-management point-of-view, I'd like
to monitor the actual holdings (in $ or a % of total equity) of each
and every security at each bar. The reason is that I need to
calculate, based on my risk-factor model, the managed, as well as
active risk I'm taking at each point in time. This is based on my
absolute and relative weights (holdings) which allow me to calculate,
for example, the absolute and relative contributions at both the risk-
factor, as well as individual asset level, in particular to my
tracking error. All this needs to be calculated as time series, which
in turn allows me to calculate how good a strategy/system is at
predicting risk/return. PositionSize does determine the size of the
holding at the time of the trade, but I need to continue to monitor
each holding at every bar, even when there is no trade.
I've tried to re-engineer my holdings by first running the portfolio
backtest, and then referring to the ~~~EQUITY array. I also know that
details are logged in the detailed log, but has anybody found a more
structural way to access/re-engineer this data?
I would appreciate any suggestions/feedback, and look forward to
future cooperation.
Thanks,
Patrick
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