How can I track a mixed basket of stocks (longs and shorts)?

Discussion in 'Strategy Development' started by Burns' Suit, Mar 2, 2012.

  1. My initial idea was to input the inverse of my shorts into a spread along with my longs using eSignal, but eSignal's spread builder does not allow negative integers.
    The best I've come up with so far is to simply record the extremes of each position at the end of the day. This will let me know what my worse case drawdown of each position is, but of course the highs and lows are made at different times throughout the day, so for the basket as a whole this does not give an accurate reflection of my risk.

    Anyone have any thoughts or experience with this problem?
    Thank you in advance.
  2. You have to look at higher frequency data or make an assumption about the expected volatility/correlation between your sampling intervals - or just be cautious with your leverage and simply care about the eod values.