I am wondering if there is any easy way to export positions after a a strategy has run. To be more specific what I have in mind is to be able to export what the "Portfolio Inspector" - performance visualizer shows for all the dates. Is this possible in any way?

Thanks

SaveTrades
WealthScript Techniques | Save Open Position Data to a Text File

Re: Portfolio Inspector

It takes a performance visualizer to export what a PV like the Portfolio Inspector can show for all the dates. Remember, Strategies are pre-executed with 1 share. The Strategy code has done its job before the position sizing overlay comes into play. So, no true portfolio equity or other neat stuff in the PI is available for exporting out of a WealthScript Strategy.

Thanks for the links but what I had in mind was exactly that "other neat stuff". Is it possible to enhance the portfolio inspector with an additional tab that would have all historical positions? Something like the rest of the tabs with the addition of a date field.

Sorry but the answer is a (definite) no. The idea behind the PI is to provide a snapshot of portfolio dynamics at any given bar - while what the suggested "enhancement" really does is duplicating the Trades tab.

I am afraid I can't aggree with your reasoning (i may be missing something).

QUOTE:
what the suggested "enhancement" really does is duplicating the Trades tab

I was refering to positions - not trades

What I am suggesting is to provide the portfolio dynamics at all bars at once so as to be exportable without having to scroll on every day and export positions. It is obvious however that someone could transform the information shown in the Trades tab to what I am asking for by writing some code in a different environment and using the Trades tab information as an input.

According to its specs, the Portfolio Inspector is exactly about that scrolling on every day. Anything that is about "all bars at once" vs. "bar by bar" is automatically outside of its scope.

Let's forget about the PI in this context altogether and concentrate on why are Positions != Trades. Could you explain your idea to me as you would to a 6 year old?

Sure! A trade is defined as the process of buying/shorting an asset or selling/covering an asset while a position is what are the assets you own (or you are short) at the end of a particular timeframe (end of day is what I am refering to in my previous posts).

I could also give you some reason for my enhancement request. This is gonna be a little bit harder for the 6 year old. I would like to pass all historical positions to a risk management system (factor based - something like MSCI Barra or Bloomberg's RSKF) and see what would the historical ex-ante risk of the portfolio would be based on the models factor loadings. Then I could compare that with the strategy's returns and check if significant strategy returns should be attributed to excessive risk factor concentration (and which one) or should be attributred to significant stock specific events.

Hope my description is clear (for you - not for a 6 year old)

Thanks again for your instant replies

Thank you for the clarification albeit I won't pretend I understood.

As to the first paragraph, what you describing is the exact purpose of having the "Portfolio by Position" tab in the Portfolio Inspector.

The 2nd paragraph seems to be above my head.