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Re: A complicated (for me) question on protfolio calculations



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I'm a little confused about what you are trying to do, perhaps because I'm not familiar with why you need to change the portfolio calculations when working with other calculations.  I'll take a shot anyway.

Perhaps you need to find a certain value of net worth at a certain point of time for each day.  Some of the money is sitting in cash, while the rest is applied to risk.  These percentages change constantly.  On some days you are in several stocks, while other days you may be 100% cash.

Perhaps you could change how you calculate the x-axis of your equity curve before calculating the Sharpe.  Instead of looking at your closed trades, you simply calculate your total equity in cash + total equity in your open positions and a certain point of time each day.  Take the difference Today-Yesterday to get your "profit/loss".  Perhaps by forcing your "current state of value" at a regular time interval, it will help you with the other calculations you are trying to do.