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Fred,
Your explanation is clear and much appreciated ... I've learnt much over the last month.
Thank you,
William
-----Original Message-----
From: Fred [mailto:ftonetti@xxxxxxxxxxxxx]
Sent: January Friday 16, 2004 1:30 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Potential problem with Portfolio Backtester?
William,
To me available equity is the same as total equity and different from
available CASH, EXCEPT in the case where margin is in play.
Lets say for example that we start with $1000 in cash.
In a margin account total equity = 1000, but available equity = 2000
assuming 50% margin.
If our system is set up as PositionSize = -50 the first purchase will
be for $1000 or 50% of available equity as will the second purchase.
Now lets assume that our first position grew by 10% or $100 and our
second position stayed flat and that a profit stop got us out of the
first position.
We now have total equity of 1100, available equity of 2200 and 600 in
cash. When AB goes to add new positions it will do so using 50% of
available equity or 1100 which will reduce our cash balance by 550.
If position size shrinking is turned on it will allow another
position to be added using the remainder of the cash i.e. $50 as $100
margin. If position shrinking is turned off no additional positions
will be entered.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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