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<FONT face=Arial
color=#0000ff size=2>The following is just my humble
opinion:
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>If you want to accomplish this in AFL you are faced with a
very large problem in that you would have to do your own "accounting" so to
speak since you can't get to each trade's equity on a bar by bar basis, as you
mentioned. To do your own accounting would mean that you would have to
forego Amibroker's portfolio handling which I don't think you would want to
do.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>Your other option would be to take the trade list and write
a program (you might could do this in a separate AFL script) and construct
arrays for each position and their sum. Then you could do what ever you
want.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: vlanschot [mailto:ecbu@xxxxxxxxxxxxxx]
Sent: Thursday, March 04, 2004 9:35 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] How to access
exposures (holdings) in portfolio backtest
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,PatrickSend
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