I am trying to understand the CAR statistic and the exposure value from a backtest. Can anyone help clarify this for me? First the exposure question and then the CAR question.
FYI the trades are made annually but the test periodicity is Daily.
Here are the test results
The exposure shows 89.98% not 100% as I naively expected. Is this because the positions equity varies through the year and so deviates from the amount invested? The docs say that it is calculate per bar and as mentioned above the trades are made annually but the periodicity is Daily.
The CAR shows to be 5.41% but when I use the formula mentioned in the docs I get 6.03%. I even wrote it in AFL so I could double-check my work. Can you help me understand what I am missing?