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Thanks for your explanation.
I found one API that connects Excel to my brokerage. So the equity
curve, total risk,... etc. can be calculate within Excel after
downloading from the brokerage. http://www.quotelink.net/
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
> I don't assume the heat is constant - but I have tested thousands of
> portfolios using this system (well, actually a family of systems,
but the
> same for these purposes) with Trade Sim, and always found total
capital was
> more of a constraint than portfolio heat (I'm using S&P 500 stocks,
so a few
> positions of low-vol stocks can use up a lot of broker-calculated
capital
> without impacting portfolio heat much). In my case I'm helped by the
fact
> that I'm also using a time stop, so I'm out by day 9 or before. Over
that
> period of time it would be a very odd set of circumstances that
would make a
> meaningful rise in portfolio heat from inception, given that I also
have a
> variety of faster acting stops, so hitting an initial stop level is
a very
> rare event - usually only if there was a very large gap move. I'm also
> entering after increases in momentum, so ATR has already increased,
and its
> a long/short system, so you're right, it may not be appropriate to
> extrapolate to other setups. If I was long or short only, using
leverage
> and a lower ATR multiple I'd want to keep a much closer track on
portfolio
> heat than I do - but I would recommend portfolio level backtesting -
it can
> help a lot with these kinds of issues in identifying whether you are
likely
> to have a problem or not.
>
> Re excel, I'm only entering closed trades and tracking closed trade
equity,
> so the data input isn't too onerous. I'm not doing any updates with
live or
> end-of-day pricing, although I could see how it could be done with a
decent
> API setup.
>
> Let us know if you find a good solution - I don't need it now, but I
may in
> the future.
>
> The other item we're not talking about is correlation between the
different
> securities in the portfolio, which again may be most easily
controlled by
> rules at the time of entry (a la Turtles) than regular marks - and
doesn't
> really get covered in the heat calculation. I haven't gone there
yet, but I
> can see the possible need at some point.
>
> Best
> Andrew
>
>
>
> -----Original Message-----
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of metastkuser
> Sent: Friday, June 17, 2005 1:46 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] Portfolio Risk & Equity Curve
>
>
> 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
>
>
>
>
>
> Yahoo! Groups Links
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