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<FONT face=Arial
color=#0000ff size=2>No I haven't yet written such a script. There is one
that will read in your trade list but you would have to code the part that
calc's each day's result.
<FONT face=Arial
color=#0000ff size=2>
<FONT face=Arial
color=#0000ff size=2>d
From: vlanschot [mailto:ecbu@xxxxxxxxxxxxxx]
Sent: Monday, March 08, 2004 6:06 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: How to access
exposures (holdings) in portfolio backtest
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@xxxx] > 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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