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Hello,
We do not do mortgages here.
See that percent profit of TRADE is something different than
percent profit of PORTFOLIO.
First is calculated using DollarProfit/EntryPositionValue,
second is calculated using DollarProfit/PortfolioEquity.
These are two different things. That's why portfolio percent profit
(in buy and hold case)
will be TWICE as much when using 50% margin than trade percent profit.
This is so because TRADE % profit is calculated based on full entry value of the position
(the total amount of funds that need to be put into the trade).
while PORTFOLIO % profit is calculated on portfolio equity.
You may like it or not but this is how it is defined in AmiBroker.
If you want different way: use custom backtester interface to define your own metrics.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, August 31, 2005 3:41 PM
Subject: [amibroker] Re: AmiBroker Support
> I'd agree that buying power is twice, but NOT equity. Equity is
> defined as the difference between the market value of a property and
> the claims held against it. If this were not true then I could have
> enjoyed having 10x the equity at the time of my last home purchase by
> buying a home for 10x as much and taking out a mortgage that was 10x
> as much.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
>> [amibroker] Re: Script and Stockconsultant websiteHello,
>>
>> Just a few posts ago I think I expressed clearly what is needed
> when contacting support:
>> http://finance.groups.yahoo.com/group/amibroker/message/86456
>>
>> Sending screenshot alone means nothing to me.
>>
>> Since you do NOT provide all necessary details (formula, settings)
> that are needed to analyse
>> the case you are giving me NO CHANCE to know what you have done to
> obtain results.
>>
>> _ASSUMING_ that this is the same case as Bert reported earlier
> (comparing results obtained
>> with ^RUT with 50% margin with results obtained with UAPIX without
> margin,
>> I can say that numbers ARE correct.
>>
>> I can copy-paste response which I sent to him with exact
> calculations explaining why:
>>
>> === MY RESPONSE TO BERT COPY PASTE SECTION 1 ===
>> 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.
>>
>>
>> === MY RESPONSE TO BERT COPY PASTE SECTION 2 ===
>>
>>
>> When you use leveraged instrument BOTH % profit and dollar profit
> are twice
>> because PERCENT is based on SMALLER EQUITY VALUE.
>>
>> ( 2 * DOLLAR GAIN ) / EQUITY = TWICE normal % profit
>>
>> If you use magin account PERCENT PROFIT is calculated from HIGHER
> EQUITY VALUE.
>> When use 50% margin account your EQUITY is TWICE your cash.
>> So even if DOLLAR GAIN is twice, PERCENT GAIN is the SAME because
> equity (buying power)
>> is TWICE.
>>
>> ( 2 * DOLLAR GAIN ) / ( 2 * EQUITY ) = DOLLAR GAIN / EQUITY =
> normal % profit
>>
>> This is so because on margin account you actually purchase TWICE
> the original amount
>> and your dollar profit is also twice as much. But those 2/2 reduce
> and % profit remains the same.
>>
>> If you are using leveraged instrument, things are quite different:
>> you invest only HALF the amount you would invest on margin account,
> yet dollar profits are the same.
>> Hence percent profit is double.
>>
>> =====
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: Fred Tonetti
>> To: amibroker@xxxxxxxxxxxxxxx
>> Sent: Wednesday, August 31, 2005 1:58 AM
>> Subject: [amibroker] Re: AmiBroker Support
>>
>>
>> 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@>
>> 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@>
>> > 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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>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>
>>
>>
>>
>>
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>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
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>
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