Equity theoretical and actual

[SergeyKlyuev]

Hi, Mark.

I would like to compare theoretical equity curve of my trading system with the actual one.
Actual curve I can see with "Portfolio Gain".
Can I get the same curve as a table data and export it in csv to plot in Excel?
And there in Excel I will also plot theoretical equity curve.
On the same graph to compare them.

Or may be I can import theoretical curve to FM?
And plot it together with actual curve from FM?

Thank you,
Sergey

[Mark]

Hi Sergey,

You can't export the "Portfolio Gain" plot, but you could export the "Portfolio Value" plot. See "File / Export / Other / Portfolio Value...". You could also import the theoretical curve as an investment using "File / Import / Prices / Generic...". You could then overlay this investment with your actual portfolio value by using "Graphs / Portfolio/Investment(s) Overlay / Value". To select what you overlay, use "Graphs / Options / Overlaid Portfolios or Overlaid Investments".

[bistrader]

Hello,

I am a new user and have been reading thru the Board. I came upon this as I am interested in it as well. I would like to be able to export the equity curve values to compare to theoretical or other equity curves. I can do this with 2 exceptions.

First, the Portfolio Value includes the 'steps' in the portfolio due deposits and withdrawals. This is find for the Portfolio Value but it does not provide what I would call Portfolio Performance. The Portfolio Performance's ROCs (rate of change) are due the performance of the investments in the portfolio. Thus, it would not include the 'steps.' Of course, the performance is impacted due deposits and withdrawals since there is less or more capital to invest. The good news is that we have Portfolio Value so it is straight forward mathematically to get at the Portfolio Performance Value.

Second, it would be nice to be able to format the Portfolio Performance Value when exporting. For example, I would like to be able to do the following which has 2 header lines.

MyPort
This is My Portfolio
dd/mm/yyyy,PortfolioPerformance,0
(until done)
dd/mm/yyyy,PortfolioPerformance,0


Again, I am new to the software. Maybe it already does this or it is in the works.

Bert

[Mark]

Hi Bert,

How would you like this "Portfolio Performance" figure to be calculated exactly? For example, on day 0 if the market value is $100,000, and then on day 1 you add $10,000, and the market value of the portfolio ends at $121,000 due to a market increase of 10% on both the original plus new invested money. If you plot $100,000 on day 0, what value would plot on day 1? Would it be $111,000 (121 - 10), or would you plot $110,000 (100 * increase percent)?

You might like to look at the "Portfolio / Investment(s) Overlay / Price + Dist." graph, which plots the hypothetical share price of a portfolio, based on percentage increases of every investment in a portfolio, and is re-weighted on a daily basis. The equations used are documented in the online help for this graph:

http://www.fundmanagersoftware.com/help ... tovly.html

Currently you cannot export that graph's data to a CSV file, but this is something we expect to be available in the next major update.

[bistrader]

1. Portfolio Value includes the cash-in and cash-out values which show up as steps.
2. Accumulate cash-in and cash-out over time starting at zero.
3. Determine ROC value for yet to be determined Portolio Performance Values. Here, ROC would be the ROC for the Portfolio Value if the cash-array from #2 is zero. It would be the ROC of Portfolio Value less cash-array if cash-array is non-zero. Something like:

Roc_array = Nz( ROC( IIf( casharray != 0, eq - casharray, eq ), 1 ) )

4. Calculate Portfolio Performance Values based on the ROCs from #3. Here, one either sets the initial equity value to say 100 or allows the user to change a defaulted 100 to say 1000.
Port_Perf_Values = exp(Cum(log(Roc_array/100 + 1))) * Initial_Equity

To test, Portfolio Value would be the same as Portfolio Performance Value equity curve when there is NO cash-in (deposits) or cash-out (withdrawals) by the account owner. The daily numbers would not be and should not be the same. The ROCs would be the same and if one plotted one over the other then the 2 would be exactly the same. The same CAR, Mdd, UPI, etc, when there are no cash-in and cash-out values. And, unlike the Portfolio Value, the Portfolio Performance Value would not have the steps due cash-in and cash-out. In doing so, the Portfolio Performance provides a graph of how well the owner of the account did over time in terms of performance. It is, the equity curve, if you will.


Bert

[Mark]

Hi Bert,

I believe I understand the idea of what you've described, although I may not follow the exact formula details. This sounds very much like the concept of the graph I mentioned in my last post that plots a hypothetical share price of a portfolio. Were you able to look at that graph to see if it satisfies your needs?

[bistrader]

Hi Mark,

I tried to export so that I could compare to actual equity curve that I have. FM does not have this feature. So, I can only guess that it is similar but not the same, since it does not appear to calculate a daily ROC and then from this determine the equity curve. The ROCs (daily rate of change) would be as stated in my prior post.

One other thing. I have been reading Board items as I can. Someone asked to be able to calculate Mdd and some other stats. Maybe there were UPI, Sharpe, UI and the like, but you know what I mean. Doing this for the Portfolio Values has little to no meaning. Doing it for the Portfolio Performance Values (PPV), as I defined above, has a lot of value. For example, lets say that you can not sleep at night when your total portfolio exceeds a drawdown of 7%, with the idea that investments in the portfolio may range from as low as 1% to up to 20%. So, based on position sizing you come up with a portfolio that you project (based on past performance) that drawdown will not exceed 7%. Given this, you want to track and know this drawdown (or sleep index) periodically. One can do this with PPV just like one can do with any investment.

Bert

[Mark]

Hi Bert,

You cannot export that graph's data, but you can view any data point. Make sure you have the cursor type set to "Track Ball", and move your cursor over the line. You can see the data point values in the status bar. You can also set the initial starting price, so you could set it to the value of your portfolio on the starting graph date if you wanted to make the comparison to your equity curve easier. See "Graphs / Options / Display... / Portfolio/Investment(s) Overlay - Price + Dist. Starting Price". As described in the documentation at that link I provided, the graph is generated by evaluating the daily change in each investment's price + distributions, and then weighting that investment by value for the total portfolio contribution. The weighting and percent change are calculated on a daily basis. This seems to be the same concept as what you're describing with a daily rate of change.

On your 2nd point, the Sharpe Ratio of a portfolio for example, is not calculated based directly off the portfolio value of the portfolio. Instead it is calculated for every investment in the portfolio, and value weighted. See the documentation on this calculation here:

http://fundmanagersoftware.com/help/def ... ratio.html

[bistrader]

Mark,

I understand. I would be straight forward for me (and less time) to just compare externally.

Also, I do understand that Sharpe and other stats are available for individual securities. I was commenting, if you will, that there is great value in calculuating the stats for the total portfolio. Plus, there is great value in comparing actual equity curve to 'planned' or theoretical equity curve, along with stats like CAR, Mdd, Sharpe and the like.

To me, being able to see and export the equity curve (which is only the Portfolio Value when there are no steps due cash-ins and cash-outs) is way more important than to be able to see and export the Portfolio Value.

Bert