When component strategies have isolated capital, all the changes to the capital belong to each component are driven by the performance of the component only, so it's easy to understand how equity curve works. But when all strategies share the same pool, the pool change from day N to N+1 is a result of the performance of all strategies, then how the equity curve is calculated for each component from day N to N+1.
Rename
It's simply calculated by adding the available cash to the current values of all the open positions.
Thanks @Glitch. The cash part is what I do not quite understand.
Is this cash part carried over from day N to day N+1 for each component? For example for component A it has 5k cash and some positions on day N, then on day N+1 the cash portion will be 5k (if there's no close of positions)?
If a new 2% position is opened on day N+1 and assume A uses % of equity, the size will be calculated based on the total equity so the dollar value might higher than 5k. Then when this position closes later, the proceeds from the sell will become a portion of the cash belong to A.
Is this understanding correct? Thanks.
Is this cash part carried over from day N to day N+1 for each component? For example for component A it has 5k cash and some positions on day N, then on day N+1 the cash portion will be 5k (if there's no close of positions)?
If a new 2% position is opened on day N+1 and assume A uses % of equity, the size will be calculated based on the total equity so the dollar value might higher than 5k. Then when this position closes later, the proceeds from the sell will become a portion of the cash belong to A.
Is this understanding correct? Thanks.
No, they all share one combined capital pool when that option is selected.
Your Response
Post
Edit Post
Login is required