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Andrew,
I do allocate capital by risk (max risk of 1% of account per position,
position sizing based on a 3*ATR inital stop, max 20 positions). But
the total risk does not stay constant. The total risk varies
day-to-day since the intial stop is eventually replaced with a
daily-updated trailing stop, ATRs may go up or down,... all this
whilst the position size stays the same. Therefore the per-position
risk bounces around day-to-day, as does the portfolio risk. Why do you
assume it stays constant?
For excel, do you have an API that links to your brokerage or do you
enter by hand?
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> One way to sidestep the risk measurement problem is by allocating
capital by
> risk in the first place. So if you have a maximum of 1% of equity in
each
> position, protected by stops (using an ATR multiple, or something
similar)
> then you can limit your total heat to 20% by never having more than 20
> positions.
>
> As part of the trade selection explorations I run every night I
include a
> calculation of the number of shares for any target stock to give me
1% of
> capital based on 4*ATR. Then when I put in the order I can just read
off the
> number of shares, rounded as appropriate. The only minor hassle is
to input
> the 1% of equity numbers before I run the exploration. As a result I run
> into total capital limits (account buying power) long before I get to
> portfolio heat problems. A different ATR multiple would give a different
> result.
>
> The equity curve is presumably the daily mark on your portfolio. I
keep a
> closed equity curve - but in Excel. But if you're going to track
slippage,
> commissions, and any decent portfolio stats, then a spreadsheet is
the only
> way to go unless you're going to get in to high end portfolio management
> software.
>
> If you want these kinds of numbers as output for backtesting, then
TradeSim
> is one way to go.
>
> Andrew
>
> -----Original Message-----
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of metastkuser
> Sent: Thursday, June 16, 2005 5:30 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Portfolio Risk & Equity Curve
>
>
> Implementing this in Metastock is so far beyond me that I must
confess, I
> wouldn't even know what page of the MS manual to start with.
However, it's
> very important (to me) that I find a solution somehow...
>
> 1) Let's say I have all the symbols corresponding to my open
positions, long
> and short, in one folder. How do I get Metastock to show me the total
> portfolio risk (i.e. heat) on an EOD basis? In other words, MS should go
> through each open position, subtract my stop price (which is a unique
> indicator in each symbol's layout) from the closing price and
multiply by
> the position size (also a unique indicator on each chart), and then do a
> summation for all open positions.
>
> 2) How do I display the equity curve for the portfolio along with
the risk
> curve I described above?
>
> I asked my brokers. Since they know what my stops are for each
position, as
> well as margin/cash balance, I thought they might be able to help.
None of
> them knew what an equity curve was.
>
> (Please -- no replies with the words "excel spreadsheet" in them :-)
>
>
>
>
>
>
> Yahoo! Groups Links
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