How to calculate average cash position during trade

David Ravnsborg

Hello,

I am looking for some help calculating the average cash position over the length of a backtest. E.g. Imagine you are backtesting over only 5 days. The first day you have $10,000 cash, the second you have $5000 (because you spent $5000 on entering a position), and the final 3 days you have a cash position of $0. This would average out to $3000/day for the average cash position over that period of time: (10000+5000+0+0+0) / 5 = 3000

The significance is that it would tell me that an average day would have 30% of $10,000 allocated. Or in other words, 70% of my portfolio is invested in non-cash assets at any given time, on average.

Where can I find this data? Any help would be appreciated.

run-out

I'm presuming you are looking for post backtest analysis? I just shared this with another user. You could easily modify this to fit your needs. The dictionary self.rets would have the cash for each day.

class CashMarket(bt.analyzers.Analyzer):
    """
    Analyzer returning cash and market values
    """

    def create_analysis(self):
        self.rets = {}
        self.vals = 0.0

    def notify_cashvalue(self, cash, value):
        self.vals = (cash, value)
        self.rets[self.strategy.datetime.datetime()] = self.vals

    def get_analysis(self):
        return self.rets