Portfolio Boss Documentation

Positions Tab

 

 

This tab shows you the latest Positions held by the strategy (i.e. today's Positions, or any date set with the “Date to” property of the Backtest Panel). You must backtest the strategy first (with the standard backtest ) before this tab is populated. Here you'll see the instruments you've been holding, their holding duration, their gains/losses, etc. A text at the top tells you the date that these Positions belong to:

 

 

This tab is located at the Reports Area of the “Backtest Strategy” page.

 


 

1.  Rank: this column shows the Positions' rank, which is based on the Ranking Rules.

 

 

Keep in mind these rankings are taken when the Positions are initiated (entered), and they don't update. So it could be that these instruments no longer rank highly based on their latest data. If you want to see updated ranking (for those instruments that passed the Buy/Short Filters) look at the section “Top Ranking Instruments” on the Trade Signals Tab.

 


 

2.  Symbol: this column shows the ticker symbol of each Position. 

 

 

Note that Cash–or Cash Equivalent Positions (e.g. SHY)–can be grouped into a single symbol with a number-suffix inside the parentheses, indicating the number of old Positions it replaced.

You can click a symbol to show its price chart (on the Instrument Tab), so you may see its price-action since it was entered (the Buy action/arrow):

 

 

You can also hover your cursor over a symbol to see a tooltip-description for that Position:

 

 

From top to bottom, the tooltip describes:

  • the full name of the company (or fund),
  • the portfolios that contain this symbol,
  • the asset class of this symbol (stock, ETF, ADR, etc.),
  • the market (exchange) it's traded at,
  • the period it's been traded,
  • its historical-data provider,
  • its gain/loss for today i.e. the change in the instrument's closing price today vs. yesterday.
  • its weight (percentage of account size occupied by this Position),
  • its Position type (either long or short Position),
  • the number of days it's been held,
  • the old Position(s) that it replaced–this only appears for a Cash Equivalent Position (e.g. SHY).

 

 

As for the Cash Position, the tooltip tells you whether it's a replacement for sold Positions (if your strategy uses Cash instead of Cash Equivalent):

 

 

or if it's a placeholder for when instruments don't pass the Buy Filters (thus they're not ranked, and can't be entered):

 

 

If the strategy uses Limit Orders, Cash will be used as a placeholder for when a Limit Buy Signal (order) failed to be filled at the next trading day:

 

 

That Cash Position will continue as long as the Limit Buy Signal remains unfilled (and such signal may jump toward another top-ranked instrument). If it's finally filled, the Cash Position will be replaced with the new stock/ETF Position.

Cash will also be used when a Position is sold with the Limit Sell Signal:

 

 

This Cash Position stays for one day after such signal, so that PB can determine (after the market closes tomorrow, and all EOD data downloaded) whether its limit price is met. Then at the next day (2 days after the signal), PB will replace such Cash Position with the new stock/ETF Position. If the Limit Sell Signal failed to get filled, there's no Cash Position and the old Position remains; PB will continue to generate the Limit Sell Signal as long as the Position still triggers the Limit Sell Filter.

Now, some symbols have a number-suffix enclosed within the square brackets:

 

 

This indicates a currently delisted instrument, with the number telling you how many times it's been delisted (companies can be delisted from an exchange and then relisted, e.g. due to going private and then public again, or if its market cap goes below the exchange's requirement).

 


 

3.  Gain: this column displays the gain/loss of each Position since it's entered. It's stated in percentage of the initial value when the Position was entered.

 

 

For example, if a Position was initially given $10,000 and then experienced profits totaling $3,000 and losses totaling $1,000, its total gain would be $2,000, or 20% of the initial value. In technical terms, gain is simply the difference between the price you entered the Position with (usually the day's opening price) and the closing price of the instrument today. The resulting dollar value is then divided by that entry price, and multiplied by 100, yielding this percentage.

 

 

Now, if the Position was entered with a Limit Order, whichever is the better price (whether the limit price, or the opening price) becomes the entry price. “Better” means the lower price between those two (if you're buying), and if you're selling (i.e. shorting) it's the higher price.

 

 

Now, when the Slippage Option is applied (from the System Settings Panel), the gain/loss calculation is a bit different. Essentially, slippage-simulation will occur at each trade (each Buy/Short and Sell/Cover). For example if you are buying, your entry price will be higher (more expensive) than the opening price. How much higher? Let's say you put the Slippage Option at 10%, and the day the Position was entered the instrument traded at a high of $50 and a low of $40, which means a $10 movement-range for that day. A 10% slippage gives you about $10 × 10%, i.e. $1 actual slippage; therefore your entry price is $1 higher than the opening price of that day. Today's closing price (as the end price) won't be influenced by the slippage. Slippage only affects actual trades.

Note, if the trades are executed with the limit prices (instead of the opening prices), slippage won't be applied. In summary, the Slippage Option reduces your gains and amplifies your losses (sounds bad, but that's how real-life trades actually work, so you're not deluded with utopian statistics).

 

 

Now, Cash Positions, their gain is always 0%, no matter how long you hold them. In reality, some brokers pay interests for your idle cash, especially during high interest-rate by the Fed. Therefore, do understand that the gains/losses you see here are just approximations (though PB tries to make them as accurate as possible). You may need to check your brokerage-account balance/report to see the real, de facto gains/losses (including commissions, slippage, taxes, interests, dividends, account maintenance fee, ETF expense ratio, and all those little things).

 


 

4.  Days: this column shows the number of days each Position has been held.

 

 

This duration includes the day the Position was entered up to the latest backtest date (usually today).

 

 

Of course it counts only the trading days, without holidays or weekends.

 


 

5.  Description: this column displays the Positions' description.

 

 

Usually, it shows the full name of the company (or fund). When it comes to a Cash Position, its description varies depending on what it represents (as already described earlier about the Cash symbol's tooltip).

But sometimes the Cash description is a little confusing (ditto its tooltip description): sometimes it does not correctly tell you what it represents, other times it's unintelligible, especially if it's the result of multiple replacements (e.g. Limit Sell placeholder and replacement for liquidated Positions).

 

 

So don't put too much stock into it (no pun intended).

 


 

6.  Weight: this column shows the weight of each Position. Weight is the percentage of your account size occupied by a Position.

 

 

In the beginning, all Positions have the same weight. Let's say the strategy holds 10 Positions at any given time, then each Position holds 10% weight. If you have $100,000 for this strategy, $10,000 would be spent to enter each Position. The moment they're entered, they're subject to the market forces: some Positions gained more than the others, while some Positions lost. 

 

 

Naturally, those that gained now occupy more weight than those that lost. Still, all those weights add up to 100%, i.e. the whole of your account size (which may have grown or shrunk by now).

Now if some Positions are sold, their liquidated value will be combined (their weights combined) and then distributed equally to enter the same number of new Positions. Let's say 3 Positions are sold, their combined liquidation value will be distributed equally to enter 3 new Positions:

 

 

If it's a periodically-switching strategy, these new Positions are usually its Cash Equivalent (or simply Cash, i.e. nothing bought):

 

 

When it's a switch-day, all Positions will be liquidated (including the Cash Equivalent Positions), and all their weights combined (i.e. 100% of your current account size) will be distributed equally to enter the brand new 10 Positions (thus 10% each again):

 

 

Sometimes at switch day, not all Positions will be replaced, as some still pass the Buy Filters and rank highly (higher than the new replacements). If that's the case (i.e. some old Positions remain), obviously they don't receive any part of the combined liquidated-funds (from the sold Positions).

There are also some rare cases where the Cash Equivalent Positions won't be replaced even at switch day. Usually it's because none of the instruments passed the Buy Filters; or very few of them did, hence the top ranking instruments are all used up (as seen on the Trade Signals Tab), either as replacements or as already-existing Positions, leaving the remaining slots to stay with the Cash Equivalent.

 

Note:

When there are trade signals, the number of shares to be traded is automatically calculated with the Trade Plan Calculator based on these weights (though they may not match these weights exactly, due to the price-per-share causing imperfect division).

 


 

7.  Positions sold at the open: this section shows the Positions exited today (or the latest backtest date). It only appears if there were indeed Positions exited today.

 

 

So these are theoretically not part of today's Positions; their exit signals were given on the previous trading day, and were executed today. If it's a short strategy, this section says “Positions covered at the open”.

 

 

Note, despite the name “sold/covered at the open“, some Positions might be exited any time during today's trading session. These are Positions exited with the Limit Orders (Limit Sell/Cover Signals), because Portfolio Boss can't know whether their limit prices are met except after the market's closed and EOD (End of Day) data are all downloaded.

The columns for this section are generally similar to what we've discussed so far, but with a few twists:

 

 

From left to right:

  • Rank: similar to what's discussed before.
  • Symbol: the tooltip's “Gain” info is calculated from the instrument's closing price yesterday versus the price it was sold at today (opening price or limit price). And the “Position Weight” is always at 0.0% (as it's already exited, it occupies $0 of your account):

  • Gain: the calculation is similar to what we discussed earlier (i.e. percentage change between the entry price and the end price), but the end price here is not today's closing price; instead it's the price the Position was exited at (today's opening price). In other words, the percentage you see here is the gain/loss of that Position from entry to exit. If the strategy uses Limit Sell Orders, the end (exit) price is whichever the higher price between the opening price and the limit price (or if it's a Cover Order, whichever is the lower price between those two). If Slippage Option is used, the end price is today's opening price minus the dollar slippage (if Sell), or plus the dollar slippage (if Cover). Slippage is never applied on limit prices.
  • Days: this duration includes the day the Position was entered and the day it was exited.
  • Description: similar to what's discussed earlier about this column.
  • Weight: here is the Position's weight when it was exited (i.e. based on its total gain from entry to exit, as shown on the “Gain” column here we just described).

 


 

Notes:

 

  • The Positions Tab for a multi-strategy is slightly different from what's shown here. Read about the multi-strategy in action here.
  • The list here is sortable by clicking each column's header (except the “Symbol” column). You can also move each column to the left or right by dragging its header.

 

 

 

 

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