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Dingo,
Thanks for the reply, and sorry for my late response.
Indeed I prefer the second option. Have you done anything along these
lines, or do you know anybody else who has? I'm not an expert in
scripting and could use any help.
The alternative, I guess, is to be patient, and wait for Tomasz when
(and if) he decides to enable access to this data directly. It would
mean a major advance in terms of risk management.
Patrick
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> The following is just my humble opinion:
>
> 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.
>
> 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.
>
> d
>
>
> _____
>
> From: vlanschot [mailto:ecbu@x...]
> Sent: Thursday, March 04, 2004 9:35 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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,
>
> Patrick
>
>
>
>
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