Hello,

how is Exposure calculated for Futures trades?
Why is Exposure always shown as an absolute value for short trades? Whats the reason behind this?

dansmo

Hello,

1. Exactly like for stock trades without modification. Exposure is a metric that takes portfolio equity into account, measuring "the area of portfolio equity that was exposed to the market" (User Guide > Preferences > Performance Visualizers > Performance).

2. Exposure is not always shown as an absolute value and is shown as a percentage for short trades as well as for long trades.

Hi Eugene,

QUOTE:
1. Exactly like for stock trades without modification.

From my perspective that is a problem and there should at least be a option to calculate exposure as:
Futures Size * PointValue * Price
whereas in equities it is:
Size * Price
Do you understand the difference?

QUOTE:
2. Exposure is not always shown as an absolute value and is shown as a percentage for short trades as well as for long trades.

I meant absolute like in Math.Abs().
I have a short only system and exposure is shown as, i.e. 25% instead of -25%.

Since this is a really urgent issue for me:
how do I think I could achieve fastest results? Building my own visualizer?
Do I understand correctly, that in a visualizer I have access to:
- position size (after PosSizers)
- Bar series of given symbols, so I can calculate Size * PointValue * Close[bar]
?

1 - There probably is some misconception. Since Market Exposure is a portfolio equity performance metric, it does not take prices and/or point values into consideration regardless of security type. They simply do not matter for it.

Adding new performance metrics to the standard visualizer tabs is pretty unlikely. Nonetheless, everything is set up to let you calculate custom performance metrics on the Performance+ tab. Grab the MS123 Visualizers source code from the project's home page, read on the basics of creating your own Performance Visualizers, code your metric in the PerformanceEngine.cs class and utilize it on the Performance+ tab.

If you have a thorough description that makes sense, complete formula and/or code, I may take a look at adding it to the Performance+ visualizer.

2 - You're still exposing some equity to the market regardless of trade type, ain't you? That's why it should be a positive figure I believe.

p.s. Negative exposure could be produced by WL5 under certain cirumstances (2008?) but I believe it was reported and should be subsequently fixed.

QUOTE:
Do I understand correctly, that in a visualizer I have access to:
- position size (after PosSizers)
- Bar series of given symbols, so I can calculate Size * PointValue * Close[bar]

Your understanding is correct. Refer to the "Performance Visualizers" link in my previous reply for the official guide on building visualizers. The complete source code of the MS123 Visualizers will also be a considerable help.

QUOTE:
1 - There probably is some misconception. Since Market Exposure is a portfolio equity performance metric, it does not take prices and/or point values into consideration regardless of security type. They simply do not matter for it.

On a certain day portfolio equity is 100.000 and there are four scenarios:
1) you are long 100 MSFT @ price 28.50.
2) you are short 100 MSFT @ price 28.50.
3) you are long 1 Dax Future @ 6950, point value is 25.
4) you are long 100 MSFT @ 28.50 and short 100 ORCL @ 28.50.

What is the portfolio exposure in each of those four scenarios and how do you differentiate between 1) and 2)?

I need a visualizer that will list the exposure for a given period (like the "By Period" Visualizer) and list for every period:
- starting date
- long exposure
- short exposure
- net exposure.

Where I calculate these exposures as:
1) date | +2,85% | 0% | +2,85%
2) date | 0% | -2,85% | 0%
3) date | +173,75% | 0 | +173,75%
4) date | +2,85% | -2,85% | 0

Do you understand what (and why) I am looking for?

Okay, I started creating my own visualizer for this.
I thought the best way would be to run through all the bars:

CODE:
Please log in to see this code.

and then figure out at each bar which position(s) were open.
How would the easiest solution be? Is there a function that returns false/true to Positions if they were open at give bars?

QUOTE:
Do you understand what (and why) I am looking for?

Yes I do. The (partial) formula in your reply @ 1/7/2011 4:09 AM (Futures Size * PointValue * Price) reminds me of the way the Portfolio Inspector is calculating exposure %.

QUOTE:
How would the easiest solution be?

The Portfolio Inspector.

Somehow I cannot find the source of the Portfolio Inspector. I only can find PVPortfolioInspector.resx.

However, the PI only shows positions that were open at the end of the day. I also would like to take positions into account that were closed the same trading day.

Oops, the Portfolio Inspector is closed source.

Are you able to provide the piece of code for exposure?

Exposure for today. Hope that helps:

CODE:
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I finished it in a very simple form. Thank you for your help. Any interest in adding it to Community.Visualizers?
However, for publication it probably should include some more features.

Can you please investigate the following:

using this in a Visualizer in a test that was run on 5 min data results as "false".

CODE:
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where sr is

CODE:
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Yep, can confirm the bug using any intraday data I can reach out e.g. IQFeed, Google, Database. Thanks. CashCurve is affected as well. Note: the SystemPerformance.IsIntraday property isn't affected so you may use that. Please consider creating a support ticket for tracking. tia.

Yep, thanks for confirming. I am already using your suggestion. It is working fine.

Update:

Just found out that PosSizers are affected just the same as Visualizers. The IsIntraday and DataScale properties of DrawDownCurve, DrawDownPctCurve, and EquityCurve return incorrect values ("false" / "Daily") using intraday data.

I have just entered a support ticket for tracking the bug.

Thanks.