"Multi Symbol Backtest" and return/book value in array/matrix form
Author: RuneHS
Creation Date: 11/5/2009 10:50 AM
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RuneHS

#1
Hi there, I use WL 5.5 and it works fine. One technical thing, though:

When doing backtesting, e.g. the "Multi Symbol Backtest" using a range of data items, it it possible to have WL produce the book value in numberical form as a table or array that is easily accessible? To illustrate, at least something like the array [date, net asset value(NAV)]

The "book value"/NAV per day ("close" of bar I guess) is the thing I am looking for. Re-constructing it via the "Trades" table is doable, but that is a bit cumbersome and non-intuitive, and requires computation outside the WL-application. The value of each trade per day is really wanted.

A full-blown array is the best thing to have, like [date, NAV pos. 1, NAV pos. 2, NAV pos. 3, ... , Sum(all NAVs) ].

It is the numbers underlying the chart "Equity Curve" I hope to extract in some way, I figure. As we know, those values are good input for calculations that might be done elsewhere too, like the VaR of the whole trading book (in Excel or some risk system, for instance)
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Eugene

#2
Net asset value (NAV) is a number obtained by subtracting the value of liabilities of a security from its assets. I don't get the connection to "Equity Curve".

Could you rephrase your request? It doesn't seem that you're interested in traditional NAV figure that you could calculate in your strategy using MSN fundamental data. Perhaps you're looking for something like "closed equity"?
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RuneHS

#3
Sorry for the mix-up. I am referring to the value of the trading book (in my trading environment we tend to refer to the value of the trading book as our "NAV" actually - but it's an equity term, I agree).

Say we have 100.000 USD to trade with on our margin account. And say that we trade futures only, making this simple. Then, what I to see is the amount on the margin account at day's close, on a day-by-day basis. Is that doable? I figure that the "Equity Curve" really shows just that, But as mentioned, it would be very helpful to get access to the underlying numbers. Maybe they're accessible in WL somewhere already?
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Eugene

#4
Yes, portfolio equity is kind of accessible but this isn't supported (your mileage may vary):

WealthScript Techniques | Interacting Dynamically with Portfolio Level Equity
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RuneHS

#5
Thanks! I also found the right-click in the equity chart for data downloading equity curve data to the clipboard (sorry for not seeing that the first time)
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Eugene

#6
Ah, right-clicking and copying is much more simple than that if you don't need to access the series in a strategy :)
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