|
PureBytes Links
Trading Reference Links
|
Tomasz.
Firstly I am new to Amibroker.
I have been following the discussion on the "margin
requirement" with interest.
I Trade Contracts for Difference with a 10% deposit
and 90% borrowed.
I can manage to set the account size and margin ok
however what I would like to do is only utilize a percentage (say 70%) of my
cash leaving some to meet margin calls. The remaining 30% would be dynamic and
the actual amount adjust as the portfolio value changes.
In the "Back testing settings" there is the initial
Equity. I can alter this to give a false starting value but I am not sure that
that provides the answer.
Below is my code for position sizing and
margin. Ignore some of the bits I have been trying to
optimize.
Can you suggest how to alter the allowable
"capital"
(initial $10k account allows holdings of
$100K).
John.
Margin = Param<FONT
size=2>("Margin 100 = No Margin"<FONT
size=2>,10, <FONT
color=#ff00ff size=2>5, <FONT color=#ff00ff
size=2>100, 5<FONT
size=2>); <FONT
size=2>// current margin = 10%<FONT
size=2>
SetOption(<FONT
color=#ff00ff size=2>"MarginRequirement", Margin);<FONT
color=#008000> <FONT
color=#008000>//100 = no margin
// MaxPos = Optimize("Max Open Positions", 3, 3,105, 1);
// Allows 3 max positions
//MaxPos = Max Open Positions, 5; <FONT
size=2>
//SetOption("MaxOpenPositions",
MaxPos);
PositionSize = (-10000<FONT
size=2>/Margin) /5
; // current MaxPos
set to 5
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, August 05, 2004 9:23
AM
Subject: Re: [amibroker] help on Set
Option marginrequirement AFL
Hello,
In reality you can not change the margin the
account has assigned.
Margin is set by your BROKERAGE. And brokerages
must obey SEC regulations.
Current regulations are that margin allowed is
50% (in US)
You can not change it by yourself.
What you want to do is really investing less than
your buying power including margin is.
And yes you should use positionsize to vary
your risk exposure.
If you specify
PositionSize = -100;
you use only your own cash.
If you specify
PositionSize = -200;
it means use 200% buying power -> i.e. FULL
50% margin.
If you specify
PositionSize = -150;
You use your own funds plus half of allowable
margin.
Best
regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
malc
fiveeightninenine
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, August 04, 2004 9:43
PM
Subject: Re: [amibroker] help on Set
Option marginrequirement AFL
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:
<BLOCKQUOTE class=replbq
>
Hello,
You should modify POSITIONSIZE variable
instead.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
malc
fiveeightninenine
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">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 <<A
href="">amibroker@xxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>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);>
-------------------------------------^> > Error
2.> Bad argument(s)> > > > >
> 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> > > > >
> ------------------------ Yahoo! Groups Sponsor
--------------------~--> Make a clean sweep of pop-up ads.
Yahoo! Companion Toolbar.Now with Pop-Up Blocker. Get it for
free!http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM--------------------------------------------------------------------~->
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<*> To visit your group on the web, go
to:http://groups.yahoo.com/group/amibroker/<*> To
unsubscribe from this group, send an email
to:amibroker-unsubscribe@xxxxxxxxxxxxxxx<*> Your use
of Yahoo! Groups is subject
to:http://docs.yahoo.com/info/terms/
Do you Yahoo!?<A
href="">New
and Improved Yahoo! Mail - Send 10MB messages! Check
AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Do you Yahoo!?Yahoo! Mail is new and improved - <A
href="">Check
it out! Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
ADVERTISEMENT
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|