How to Calculate use of Funds in a Portfolio of Systems

This topic is empty.

Viewing 15 posts - 1 through 15 (of 28 total)

1 2 →

Author

Posts
July 17, 2016 at 1:57 am #101506

JulianCohen
Participant

I am trying to work out how to compare how funds were used over a period of time when running two or more systems together. Anyone got any ideas as my Excel skills are not all that…

July 17, 2016 at 4:02 am #104744

Anonymous
Inactive

Julian Cohen wrote:

I am trying to work out how to compare how funds were used over a period of time when running two or more systems together. Anyone got any ideas as my Excel skills are not all that…

Share Trade Tracker can do that Julian

July 17, 2016 at 8:20 am #104745

JulianCohen
Participant

So if I run a backtest can I put the trades straight into Share Trade Tracker? I haven’t really used it yet

July 17, 2016 at 8:57 am #104746

LeeDanello
Participant

Julian Cohen wrote:

So if I run a backtest can I put the trades straight into Share Trade Tracker? I haven’t really used it yet

It’s not for backtesting. It’s a trade management spreadsheet. It records your trade entries and exits and it also keeps track of your dividends for however many stock trading portfolios you have. You can do portfolio summaries for EOY tax reporting. Nick has done a webinar and posted it on The Chartist website.

July 17, 2016 at 9:03 am #104747

SaidBitar
Member

Sometimes i am a bit slow

so you want to have several backtests from several strategies and you want to see how they worked together, or you wanted to know how the capital were distributed between them.

I can help you with the excel

July 17, 2016 at 9:58 am #104748

JulianCohen
Participant

Said Bitar wrote:

Sometimes i am a bit slow

so you want to have several backtests from several strategies and you want to see how they worked together, or you wanted to know how the capital were distributed between them.

I can help you with the excel

Thanks Said,

I have up to four systems, two MR, WTT and a rotational strategy. I would like to see how they would have utilized their equity over the last ten years as none of them have 100% exposure. I’d like to see how they used their funds so I can get an idea of what to expect. Is that possible to do in Excel?

July 17, 2016 at 10:25 am #104751

ScottMcNab
Participant

Are you planning to “pool” your capital and distribute it to each system on demand/as required or are you planning to have four separate accounts Julian ?

July 17, 2016 at 10:29 am #104752

SaidBitar
Member

yes it is doable,

I am almost sure i saw this somewhere that it can be done for amibroker so it will plot the cash and the invested amount at everyday.

I will try to find it otherwise i will make it in excel

July 17, 2016 at 12:05 pm #104754

SaidBitar
Member

couldn’t find the afl for it

but i made the excel file

hope it will help

July 17, 2016 at 9:32 pm #104753

JulianCohen
Participant

Scott McNab wrote:

Are you planning to “pool” your capital and distribute it to each system on demand/as required or are you planning to have four separate accounts Julian ?

I will pool the funds into one account and then run the individual systems from the pool. That’s why this analysis will be useful to see how hard I can work the funds.

July 17, 2016 at 10:12 pm #104755

JulianCohen
Participant

Bloody brilliant Said! Thanks a lot

July 17, 2016 at 11:19 pm #104756

LeeDanello
Participant

Said Bitar wrote:

couldn’t find the afl for it

but i made the excel file

hope it will help

Nice spreadsheet but I got zeros in the P/L column

July 17, 2016 at 11:38 pm #104757

ScottMcNab
Participant

Julian Cohen wrote:

Scott McNab wrote:

Are you planning to “pool” your capital and distribute it to each system on demand/as required or are you planning to have four separate accounts Julian ?

I will pool the funds into one account and then run the individual systems from the pool. That’s why this analysis will be useful to see how hard I can work the funds.

Thanks Julian,
To accurately backtest these four systems, would you not need to have a means of calculating what the available funds were at any particular time for each system from the pool and then inputting this to Amibroker each day for it to be able to calculate position size correctly ?

July 18, 2016 at 1:36 am #104761

JulianCohen
Participant

Scott McNab wrote:

Julian Cohen wrote:

Scott McNab wrote:

Are you planning to “pool” your capital and distribute it to each system on demand/as required or are you planning to have four separate accounts Julian ?

I will pool the funds into one account and then run the individual systems from the pool. That’s why this analysis will be useful to see how hard I can work the funds.

Thanks Julian,
To accurately backtest these four systems, would you not need to have a means of calculating what the available funds were at any particular time for each system from the pool and then inputting this to Amibroker each day for it to be able to calculate position size correctly ?

I have backtested each individually. However from the exposure metric I know that they will not be utilising all the funds available to them all the time, so I’m interested to see when each system will use it’s funds and how much it uses. Then you can look to see how it might be possible to work the funds harder.

July 18, 2016 at 1:38 am #104759

JulianCohen
Participant

Quote:

Nice spreadsheet but I got zeros in the P/L column

I did with some of my data too but not all of it. I tried using subtotal in Excel and that gives me zeros for the same data so I haven’t quite worked out what is wrong yet.
Author

Posts