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Yuki,
If you set margin requirement to 30 it means
that you have 30% of YOUR funds and 70% of borrowed funds.
So your buying power is actually 1/0.3 = 3.3333 times higher
(not 3 times higher).
Your buying power would be 3 times higher if your
margin requirement was 33.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, December 30, 2003 2:31 AM
Subject: [amibroker] backtester -- margin mode discrepancy
> I notice something I cannot account for in the backtester using
> margin:
>
> If I set the backtester for 30 percent margins (the current
> requirement in Tokyo), and run one of my systems deliberately putting
> a DD period at the beginning of the system, I run out of enough
> equity to take *all* the trades during the DD. Okay, I understand
> that.
>
> But . . . if I change the margin requirement to 100 (no margin) and
> up the initial equity to X times 3 (300 percent of what I was using
> with a margin setting of 30), I now have enough equity to take *all*
> trades.
>
> What am I foggy about? It seems to me that upping the initial equity
> by a factor of 3 is equivalent to a margin setting of 33 percent,
> which is a higher requirement than I was actually using, 30 percent.
> It therefor seems to me that I should have MORE buying power with
> initial equity set at 100 percent and margin requirement at 30 than I
> would with initial equity set at 300 percent and no margin. But
> apparently the backtester does not see it that way.
>
> I am pretty sure of my math here, so I'm wondering what the case
> might be. Position size is a flat amount per issue, all issues the
> same. I *know* that I have more buying power with (for example) 1
> million dollars at 30 percent margin (BP would be about 3.33 million)
> than I do with 3 million cash and no margin. That math doesn't lie.
> But the backtester says a DD that *doesn't* run out of BP in the cash
> account during an initial DD *does* run out (to the extent that not
> all trades are taken) in the margin account -- all other settings
> *exactly* identical.
>
> Help?
>
> Yuki
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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