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I am sorry, I was typing too fast, I should write "Graham," in the first line.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, August 01, 2004 1:47 PM
Subject: Re: [amibroker] Varying Margin
> German,
>
> There are TWO different kinds of margins.
>
> 1. MarginRequirement that is applied on ACCOUNT level
> http://www.amibroker.com/guide/w_settings.html
> Margin requirement
> This setting defines percentage margin requirement for entire account. The default value of Margin requirement is 100. This means
> that you have to provide 100% funds to enter the trade, and this is the way how backtester worked in previous versions. But now
you
> can simulate a margin account. When you buy on margin you are simply borrowing money from your broker to buy stock. With current
> regulations you can put up 50% of the purchase price of the stock you wish to buy and borrow the other half from your broker. To
> simulate this just enter 50 in the Margin requirement field (see pic. 1) . If your intial equity is set to 10000 your buying power
> will be then 20000 and you will be able to enter bigger positions. Please note that this settings sets the margin for entire
account
> and it is NOT related to futures trading at all. In other words you can trade stocks on margin account.
>
>
> 2.
> MarginDeposit
> (for trading FUTURES)
> http://www.amibroker.com/guide/h_futbacktest.html
>
> Latter could be changed on PER SYMBOL basis.
>
> Margin deposit
>
> The margin is the amount of money required to open single contract position. You can specify per-symbol margin in the
> Symbol-Information page (picture above). Positive values describe margin value in dollars, while negative express margin value as
> percentage of contract price. Margin value of zero is used for stocks (no margin). Margin can be also specified in the formula by
> using MarginDeposit reserved variable:
>
> MarginDeposit = 675;
>
> In the Futures mode margin setting is used to determine how many contacts can be purchased. Let's suppose that your initial equity
> is set to $50000 and you want to invest upto 20% of equity in single trade and the margin deposit is $675. In that case your
> "desired" position size is 50'000 * 0.2 = 10'000. Provided that you have set round lot size to 1, the backtester will "buy"
> 10000/675 = (integer)14.8148 = 14 contracts, and true positon value will be $9450 (18.9% of the initial equity).
>
> To simulate this in AmiBroker you would need to enter 50000 in the Initial Equity field in the backtester, switch on futures mode,
> and setup remaining parameters in your formula:
>
> PositionSize = -20; // use 20% of equity
> MarginDeposit = 675; // this you can set also in the Symbol-Information page
> RoundLotSize = 1; // this you can set also in the Settings page
>
> All further trades will use the same logic but position will be sized according to current cumulated equity instead of initial
> equity level, unless you specify fixed position size in your formula ( PositionSize = 10000 for example).
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> PS. If you received other information from Marcin, please forward
> me his response, because in that case I would need to educate him more.
>
> ----- Original Message -----
> From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Sunday, August 01, 2004 1:28 PM
> Subject: RE: [amibroker] Varying Margin
>
>
> > That would work on a symbol by symbol basis for the old style back testing,
> > but does it work correctly for portfolio testing. My understanding from
> > emails to support that the margin is applied to your total capital allowing
> > for additional trades to the margin amount. It allows for larger capital
> > overall only eg your capital $100k, margin at 50% allows to have total open
> > trades to purchase of $150k. It does not apply to a single trade as you
> > would in real margin situation. eg you provide 60% and margin 40% for a
> > trade.
> >
> > Cheers,
> > Graham
> > http://e-wire.net.au/~eb_kavan/
> >
> > -----Original Message-----
> > From: Tomasz Janeczko [mailto:amibroker@xxxxxx]
> > Sent: Sunday, August 01, 2004 7:09 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Varying Margin
> >
> > Hello,
> >
> > Right now margindeposit must be constant for one symbol
> > (it may vary on symbol-by-symbol basis, but not on bar-by-bar basis).
> >
> > So right now you should use higher of the two:
> > MarginDeposit = 18750;
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "billtex2003" <billtex2003@xxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Sunday, August 01, 2004 12:55 PM
> > Subject: [amibroker] Varying Margin
> >
> >
> > > I'm trying to test a NASDAQ trading system.
> > >
> > > If long, the trade is held over until the next day and the margin
> > > requirement is $18750 per contract.
> > >
> > > If short the trade is closed the same day and the margin is half -
> > > $9375.
> > >
> > > I tried this code:
> > > margindeposit = iif(Buy,18750,9375);
> > >
> > > It won't work. It takes the 9375 in every case.
> > >
> > > Any help is appreciated.
> > > Thank you.
> > >
> > >
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> Yahoo! Groups Links
>
>
>
>
>
>
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