How to use Exposure%

The same code against different symbols produces wildley different backtests. I've read the docs and cannot determine how to interpret the meaning. What does a very low (or high) Exposure% value indicate?

As with all the metrics in the Backtest Report, you can hover over % Exposure to get a description as shown below. Low exposure often (but not always) indicates a sub-optimal use of your trading capital, because it means a relatively high percentage of your portfolio equity is sitting in cash at the close of each bar.


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Yes, I did read that. My system above with over 38,000 trades in 17 months is in the market all the time, yet the Exposure% is 3.89. How can that be?

AmiBroker calculates the exposure as a percentage of leveraged equity, so for example if you start with a $1000 account, set AccountMargin to 50 (2x leverage) and hold one $500 position overnight, then your exposure for that bar is 25%, not 50% as you might expect. So one thing to look at is whether you're using leverage.

Obviously, you also need to consider your position sizing and starting equity, because 100+ trades per day of 1 share each might represent a small fraction of a $1M account.

Finally, you have to consider how many of your trades are being held at the close of each bar. In other words, if you're trading on daily bars but you exit many trades at the close of a bar and don't open replacement trades until the next day, then it's possible that much of your capital is sitting idle overnight. Some people have "pseudo day trading" systems that enter intraday on a limit order but always exit on the close of the entry day. They may have high capital utilization during market hours but zero overnight exposure.

Since your date ranges include timestamps, I'm assuming you're testing on intraday data, but the same principles apply: on a randomly selected bar, what is the average percentage of your leveraged equity that is invested in open positions?

Thanks so far but I'm feeling that I don't understand any better.

I am not using leverage at all. Bars are hourly. Trading is around the clock. Buy and sell is on the open. Avg bars held is over 8.

And your position sizing?

Fixed Fractional Risk %, set at 1%. Initial cap is $50,000 with max positions of 100.

In situations like this, reduce your universe and time frames down to a much smaller sample size (eg. 1 trade), look at the detailed trade log and see if you can figure out how the metric is calculated from there.

Then, scale it slightly higher (with more trades) and repeat your analysis.

Starting from a position of dozens, hundreds or thousands of trades is too difficult to figure out the intricate details.

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I completely agree with Richard @NorgateData. With your position sizing based on % Risk, there is no accurate way to estimate your exposure just from the other metrics like number of trades and average bars held. Your best bet will be to work through the details of a simplified example to understand the metric. I'm confident that in the end you will discover that while you may find the Exposure values surprising, they are correct.

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