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PositonSize changes the amount I buy for each position, not the overall degree of margin the portfolio uses.
For example....Supose I run a portfolio of 50 stocks each with a positonsise of 2% of the portfolio value. Each day it sells whatever stocks the positionscore has dropped to below the sellscore. Also that day it buys whatever stocks have to best positionscore up to the available amount of cash.
Since I am too risk averse to use the full amount of margin available from by broker (50%) I have been setting the marginrequirement value at an intermediate of 74% which is part way between what the broker allows and no margin at all (100%). That way the backtest simulates the margin determined by my level of risk tolerance.
What I would like to test is adjusting the margin target on a day to day basis. If I believe that the stocks I own tend to lag the index I would increase the amount of money I borrow from the broker in order to have a portfolio of 55 stocks of the same average postionsize. On days that the index declines I would have 45 stocks of the same average positionsize.
Is this possible to test?
Tomasz Janeczko <amibroker@xxxxxx> wrote:
Hello,
You should modify POSITIONSIZE variable instead.
Best regards,Tomasz Janeczkoamibroker.com
----- Original Message -----
From: malc fiveeightninenine
To: amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, August 04, 2004 5:11 PM
Subject: Re: [amibroker] help on Set Option marginrequirement AFL
Maybe Marginrequirement isn't what I should be adjusting then.
What I am attempting to do is change the amount of available funds to the portfolio day to day depending on market conditions.
What variable should I adjust?Tomasz Janeczko <amibroker@xxxxxx> wrote:
Hello,MarginRequirement is a property of your brokerage account and it has to be fixed (not changing from bar to bar).It was explained here four days ago:http://finance.groups.yahoo.com/group/amibroker/message/68093Best regards,Tomasz Janeczkoamibroker.com----- Original Message ----- From: "malc5899" To: Sent: Wednesday, August 04, 2004 4:27 PMSubject: [amibroker] help on Set Option marginrequirement AFL> > > Anyone know why this error occurs?> > > QQQtoday=(Foreign("QQQ","Close")-Ref(Foreign("QQQ","Close"),-1))/Ref> (Foreign("QQQ","Close"),-1)+1;/* */> > Margin = 100/QQQtoday;/* 100=no margin */> > Margin =Nz(Margin,100);> > SetOption("MarginRequirement",Margin);>
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