Hi,
I’m trying to calculate percent equity in a blend of long and short positions so I can estimate how much leverage I can tolerate before risking a margin call. Does GTR have a metric that calculates this, or can anyone recommend a way to do this?
I thought of attempting to do this using the weighted portfolio values of individual screens. This works for screens that aren’t staggered (ones that don’t open additional positions before closing the first position). I find for staggered screens the principal used for opening each new position will be different in the blender than in an individual screen backtest. The best solution I can find is to assume the returns on a given day are the same for each open position of a given screen. (e.g. if the staggered screen returned 2% on one day, and the screen was staggered over 4 weeks, the position opened on week 1 returned 2%, week 2 returned 2%, etc.).
I also realize that even if GTR did track %equity, it won’t be perfect for predicting margin calls, as GTR would not capture the intra-day price variation the might trigger a margin call.