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Portfolio Indicators

Posted By DrKoch 10 Years Ago
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Posted Monday August 13 2007
How can I create an indicator which returns cumulative values for a complete portfolio?

Example:
Average Volatility calculated form the average of all individual volatilities of all instruments in a portfolio.

I know how to do this in the NewBar() routine of a trading system. But how can I create such an indicator for RE?


www.finantic.de

Our Trading System at C2: Topaz
Posted Monday August 13 2007
You'd have to use ISystemAccess again.  At this point you can iterate BarCollections to calculate vol for each item in the portfolio to come up with a cumulative value.

DrKoch (8/13/2007)
How can I create an indicator which returns cumulative values for a complete portfolio?

Example:
Average Volatility calculated form the average of all individual volatilities of all instruments in a portfolio.

I know how to do this in the NewBar() routine of a trading system. But how can I create such an indicator for RE?
Posted Monday August 13 2007
Well, yes. It is clear so far. But, what if I add this "CumulativeVolatility" to the "System Designer"?

Is it calculated for each symbol again?

How do I access it from System code (what is the "Symbol" to use, and so on...


www.finantic.de

Our Trading System at C2: Topaz
Posted Monday August 13 2007
Well, an indicator is at the symbol level and really has no concept of portfolio level.  So yes, it will be calculated again for each symbol.  To me, this seems like something that is better as a calculation in the system rather than an indicator.  If your goal is to get it plotted on a chart, check out the UserSeries sample and class.  If the idea is to redistribute this calculation, then maybe it's worth considering portfolio level plugins that are evaluated once for each bar.

DrKoch (8/13/2007)
Well, yes. It is clear so far. But, what if I add this "CumulativeVolatility" to the "System Designer"?

Is it calculated for each symbol again?

How do I access it from System code (what is the "Symbol" to use, and so on...
Posted Tuesday August 14 2007
> maybe it's worth considering portfolio level plugins

After some contemplating I came to the conclusion, that my "Portfolio Level Indicators" are very similar to an "Index":

* Values are dependent on all symbols of a watchlist
* Formula/Algorithm doesn't change often

So I'd suggest to introduce the concept of an "Index Time Series" in RE with

* A place to calculate the index value, for an entire series and one new bar. I guess this will become a new type of plugin

* A way to make the reults persistant. I think all indices should go into a special folder of the current data store

* methods to access indices form trading systems

* have indices available in the "Indicators" list to drag'n'drop them on a Chart.

This is certainly not a small feature request, but I think it adds a very valuable "concept".



www.finantic.de

Our Trading System at C2: Topaz


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