Hi All, I've written some CBT code to calculate custom metrics Max_Equity, Min_Cash, Max_Margin_loan. The problem I am having Is that I'm not sure how to interpret the output because I'm uncertain about the definition of backtester object properties bo.Equity, bo.Cash, bo.MarginLoan where bo is the bactester object.
>From the User Guide topic "Portfolio-level back testing" : "New backtester >works on PORTFOLIO LEVEL, it means that there is single portfolio equity and >positionsizing refers to portfolio equity. Portfolio equity is equal >to available cash plus sum of all simultaneously open positions at given time." Is it correct to conclude from the above that for a margin account Portfolio equity includes Marginloan? Therefore if I defined the equity that I provide as "Owners Equity" vs. the broker provided "Maginloan" the following would be true: (1) bo.Equity = Owners Equity + bo.MarginLoan = bo.Cash + sum of all simultaneously open positions at given time? (2) bo.Equity = Owners Equity/MarginRate = bo.Cash + sum of all simultaneously open positions at given time? or is it the case that: (3) bo.Equity = Owners Equity = bo.Cash + sum of all simultaneously open positions at given time. (and bo.MarginLoan is simply a separate number)? or are there other components in Portfolio equity that I've missed completely? If anyone can help with this I would really appreciate it. Regards, Ray
