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Hello,
Just a quick note relative to your "$1000 / $47540 = 2.1%" profit statement.
Lets say that I give you $23770 to invest and you do so with ^rut using 50% margin. At the end of the period, you send me back my $23770, with no charge for interest because you are a nice guy, and you also send me my $1000 profit. So, I get my calculator out as I would like to have some idea of my percent profit. Lets see ..... $1000 profit divided by my investment amount of $23770 is 4.2%. Not 2.1% as you suggest, but 4.2%. So we do NOT agree in this case.
I am so happy that I send you back the $23770 and you invest it again but this time without margin but with a leverage 2 mutual fund called UAPIX. Now, you are luck and during the period UAPIX goes up exactly $1000 which is twice ^rut. So, at the end of the period you send me the $1000 profit and my investment amount. I divide the two again and am happy once again to have profit of 4.2%. So, we agree on the 4.2% in this case.
Finally, being pleased, I send you back the $23770 and you invest it in ^rut with 100% margin and by chance the ^rut goes up again my the same amount. In this case, however, you did not use margin or leverage so the profit is $500 and not $1000. You send me the profit and the original investment. I divide $500 by $23770 and get 2.1%. So, we agree on the 2.1% in this case.
There is nothing funny about the math. It is what one expects and it is what is should be, in my opinion.
One other thing. I had no intention, at first, of posting this stuff here. Again, I sent it to you on August 12, AmiBroker Support on August 18th and then here on this board a week ago. I posted here as I did not hear from AmiBroker. Also, someone else posted, yesterday, what I thought to be a very good example and I simply commented that I thought it was a good example thinking that it would encourage discussion. Finally, I now believe it appropriate to address the issues here so that others can share their "math" opinions. As of today, you have your opinion and I have mine. There is nothing wrong with different opinions and this forum should allow all of us to politely provide input.
Regards,
Tomasz Janeczko <amibroker@xxxxxx> wrote:
Hello,
Since you somehow find it entertaining to move support discussion to the list (although it is NOT the support channel),
I can only copy-paste response I have given you
previously on support channel.
In short numbers you get from AmiBroker are correct.
Trading leveraged instrument as UAPIX is NOT the same as trading ^RUT with margin,
since in first case you need smaller amount of buying power to obtain the same dollar profit.
Since buying power is different, percentage profit with same dollar profit differs
(or with the same percent profit, dollar profits are different). This is so because pecent profit is calculated
as DollarProfit / EntryValue
and EntryValue using margin account is TWICE the entry value when not using margin.
So even if DollarProfit is the same, percent profit is different due to different entry value.
You are focusing on your expectations how expactancy should look like :-)
and I am telling you how things are calculated.
Expectancy is just the outcome of % profit calculations.
So again:
In this example
we assume the following: that UAPIX movements are exactly 2x the movement of ^RUT
(so there is exact 2x leverage between them). (Note that this assumption may not be true in
reality and is used for illustration purposes only)
say UAPIX moves from 23.77 to 24.77 (+4.2%) and your initial equity is
23770 so you purchase 1000 shares. Your profit is $1000 and percent profit is +4.2%
At the same time ^RUT moves 2.1% from 638.67 to 652.10.
Now your cash amount is the same as in previous case 23770 but you are on
50% margin so your buying power is twice as much 2*23770 = 47540.
So you can purchase 74.4359 shares (for simplicity
in the example we assume that fractional purchases are possible)
Your dollar profit is
(652.10-638.67) * 74.4359 = $1000 (approx due to rounding) - the same
as in first case.
Your PERCENT profit is however:
$1000 / $47540 = 2.1%
This is so because in second case you had to buy shares for $47540
while in first case you only spent $23770.
If you want expectancy to be the same in both cases you should not use
percent profits but dollar profits instead.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Wednesday, August 31, 2005 2:27 AM
Subject: Re: [amibroker] Re: AmiBroker Support
Good example. It just does not seem correct to me. It can't be. Yet, I have received a number of emails from Tomasz today telling me that it is correct. I ended it ny telling him that I would get back to him after I think about it some more and that I really believe that is is an obvious problem. Anyway, I was just so happy that AmiBroker finally responded. Now, I need to let others tell me that I am either missing something (I do not think so) or that AmiBroker needs a change. Today, I know that I am getting expectancy numbers that are wrong with I use margin to give me leverage. So, I handle such in Trade where the answers are what I expect. Fred Tonetti <ftonetti@xxxxxxxxxxxxx> wrote:
Looks like the attachment didn’t make it in the previous post …
= = = = = = = = = = = =
TJ,
Really ? Maybe we don’t understand the statistics … See the attachment. Same system on both sides traded without margin on the left, with margin on the right.
Should:
- Avg Profit/Loss% in ALL TRADES Section
- Avg Profit % in WINNERS Section
- Max Trade% Drawdown
be the same ?
If so can you please explain ?
Thanks, Fred
= = = = = = = = = = =
Follow up: I have made a check to verify your report about avg. profit/loss
and all I can say is that I can not confirm your observations.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 30, 2005 5:51 PM
Subject: Re: [amibroker] Is AmiBroker Support on Vacation, "rude" or what??
> Hello,
>
> I have forwarded your message to Marcin for checking in detail.
> One thing is sure that we do not "selectively decide" what issues to respond
to.
>
> I have quickly checked the issue you mentioned and you don't ask any
question
in it.
>
> All I can see are some thoghts/observations.
>
> Best regards,
> Tomasz Janeczko
>
amibroker.com
> ----- Original Message -----
> From: "bistrader" <bistrader@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, August 30, 2005 4:35 PM
> Subject: [amibroker] Is AmiBroker Support on Vacation, "rude" or what??
>
>
>>I find it disturbing that AmiBroker Support selectively decides what
>> issues it wants to respond to. I have talked to several in our
>> FastTrack group that send emails to AmiBroker Support and even Tomasz
>> asking for help. Oh sure, they get the standard message saying that
>> a response will be provided within 24 hours but they never hear a
>> thing on what they consider to be critical items. One might ask, why
>> is AmiBroker Support and even Tomasz being so selective in what they
>> repond to? I, for one, have no idea.
>>
>> I certainly hope that this does not continue. I really like the
>> software and the response by AmiBroker prior to these string of cases
>> has been quite good.
>>
>> In any case, I hope it changes.
I saw a message recently where
>> someone on this board implied that someone else was being rude. Is
>> it "rude" when one tells you that a response will be provided and
>> none ever is? Is
it "rude" when someone does not respond even when
>> repeated requests are made. I hope not. I would rather think that
>> he/she just got caught up in the moment. An oversight, if you will.
>>
>> So, if interested, think about responding to request 22642 originally
>> sent to AmiBroker on September 12th and then again on September
>> 18th. Try to be nice as we
should all practice what we preach.
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