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Hello,
I am not sure if I am having PC problems or not. I sent the
following to Tomasz on 8/12/05 and then to AmiBroker Support on
8/18/05. I received ticker #22642 back from AmiBroker Support on
8/18/05, so I am thinking that AmiBroker has received the email.
Yet, maybe there is some kind of problem going on with my DSL service
or with equipment at AmiBroker's end. So, I have cut and pasted
below the message that I sent to Tomasz and AB Support. And, I am
posting it here as it is important to our Dallas FT group's use of AB
for leverage applications. Thanks!!!!
Bert
***************************************************************
Expectancy Question / Issue in AmiBroker .....
I am working on several swing trading systems in AmiBroker afl and
like to look at, among other things, Expectancy, defined as-
(%WINS x Avg.Win) + (%LOSSES x Avg. Loss)
Yet, AmiBroker does not appear to provide the correct values for
Avg.Win (or Avg Profit %) and Avg. Loss (or Avg Loss %) when margin
is used. To understand the problem, do the following.
1. Very simple example. Take ^RUT from Yahoo (or whatever ticker you
have for the Russell 2000), any signal via an afl and make AB run #1
with margin of 100 and positions size of -100. Set interest at zero
to make things very simple. Then make AB run #2 with margin of 50 and
position size of -200. Comparing the two, there looks to be several
things wrong. For one, Avg Win and Avg Loss did not change.
2. Another example. Take ^RUT from Yahoo (or whatever ticker you
have for the Russell 2000), any signal via an afl and make AB run #1
with margin of 100 and positions size of -100. Set interest at zero
to make things very simple. Then make AB run #2 with same settings
but with a mutual fund that is leverage 2 long such as UAPIX. Do this
over a short period like 2 years. Notice, as expected, that the CAR
and MDD values are about double. Notice also as expected that the
Avg Win and Avg Loss percents are about double. Thus, Avg Win and
Avg Loss percents are correct but only when margin is not used.
The bottom line is that I have to put together leveraged securities
outside of AmiBroker and then use them in AmiBroker to get results
that are correct / reasonable. That is, I can not use margin via
AmiBroker (and as defined above) and feel comfortable that the report
results are correct.
Comments appreciated and thanks.
Regards,
Bert
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