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A portfolio backtester outputs a long list of system metrics but, I
was not able to find a metric which describes a value of cash / system
utilization. What I mean by that is, do I have enough cash to take all
the signals? After all most systems work on the principle that one
must take ALL signals. Not some not a few but ALL. I know I can
control it by positionscore, positionsize and number of open positions
as a percentage of portfolio (cash). I want to be able to use my cash
in most efficient way by matching a number of signals the system
generates on the portfolio with number of available positions. At
least, I want to know how many signals are generated for the given
period in test and compare it to total number of trades taken during
the test period.
I can see that, there are visual (Green bars) on the equity display
that show available cash but I can not see anything in the backtester
which will measure number of signals compared a number of positions.
Portfolio backtester interface reference guide shows that one can use
"cash" property in FindSignal and FindOpenPositions but, I do not know
how to construct my metric using these methods.
Can someone please comment on this question or point me to the
examples on how to use custom methods in backtester?
Regards
Richard
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