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Tomasz,
I have noticed that the margin requirement has no effect on futures
backtesting that is no matter whether it is 1 or 100 I get the same
results. Yet, when the same is done for stocks the results can vary
very drastically and for 1 this can be simply unintelligeable. The
standard value seems to be 100 when no margin is permitted. I must
say that I feel rather uncomfortable not knowing how this thing is
supposed to be used properly, so I would appreciate if you could
comment on this or if you could point me to some detailed reference
in the AB help. I did not find anything in the help that would answer
my question.
Here are the results when the margin requirement is set to 1 for some
simple system applied to BORL with 10,000 of initial equity:
Total net profit:-242953972.35 Total commissions paid:33.60
Return on account:-2429539.72 % Open position gain/loss0.00
Buy&Hold profit:542765.73 Bars (avg. days) in test:600 (876)
Buy&Hold % return:5427.66% System to Buy&Hold index:-44862.22%
Annual system % return:N/A Annual B&H % return:432.18%
System drawdown:-252951730.55 B&H drawdown:-78170.79
Max. system drawdown:-414904383.59 B&H max. drawdown:-1758104.58
Max. system % drawdown:-2099.72% B&H max. % drawdown:-6478.23%
Max. trade drawdown:-414904383.59
Max. trade % drawdown:-2099.72%
Trade drawdown:-274936655.05
TIA,
Wally
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