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Feature Request:
Expose Porfolio functions to Position Weight Formula
I would like to use the Portfolio functions "TotMktVal" and "PosCnt" in a portfolio's Position Weight Formula.
Would it possible to expose these functions to the Portfolio's Position Weight Formula on the rebalancing tab? My specific use case is to incorporate slippage estimates, which depend mostly on position sizes themselves, into the weighting function.
I understand that many Portfolio functions are not available to ports which use variable position sizing (e.g., BuyAmount, CashPct, etc.) since position weights are evaluated after buy/sell rules. I would think at least some of the same technical constraints apply to things like "Buy Amount", but I hope it's still possible to introduce at least some of these items.
Thank you for your consideration.
Results:
Total score:
23
, # of Votes:
6
, Average:
3.8
You will be able to view details once you have voted.
Requested by:
primus
On date:
05/17/18
Category:
Portfolio
15 comments