- ago
Even though I have chosen alpha & beta to compute as two of the metrics you can choose from, sometimes it doesn't compute. I ran a backtest with an USD$80,000 fixed size position and another backtest with 50% of the account equity per position. The first test computed the beta and alpha. The 2nd did not. Could simply switching from USD to % of equity cause for position sizing cause this discrepancy? If so, why? TY.
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- ago
#1
QUOTE:
Could simply switching from USD to % of equity cause for position sizing cause this discrepancy?

It very well could. You might want to include a screenshot of your strategy settings.

To compute the beta (slope of the stock vs benchmark line) and alpha (y-intercept), you need to establish actual regression points. If you're using a fixed size position, establishing these points is straightforward. In contrast, if the position size is a moving target (based on some relative 50% equity), the regression calculation may not be clever enough estimate these point values for the required regression.

If you're a programmer, you can write your own ScoreCard plugin that includes a "more clever" regression calculation for the moving target cases to provide "estimates" for these regression metrics.
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