|
PureBytes Links
Trading Reference Links
|
Using $ as opposed to % in formulas like this is really only good for
the futures traders who tend to trade the same number of contracts or
dollar amounts for awhile ...
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxxx> wrote:
> Sorry, I had to edit my first reply. Let's try this again.:)
>
> In your expectancy formula, are you calculating Avg Profit and Avg
> Loss as % (as it appears in your formula)? Because expectancy
> formulas quote the profits and losses in dollar amounts, like this:
>
> (%Wins x Avg Profit $) - (%Losses x Avg Loss $)
>
> Could this account for the difference of opinion that you and Tomasz
> have? Expectancy tells you what dollar amount you can expect to win
> or lose per dollar amount risked. However, the dollar amount
risked
> doesn't vary with leverage. Buying $10,000 worth of a mutual fund
in
> a cash account puts $10,000 at risk, but so does buying $10,000 of
> that fund on margin with $5,000, it's just that you're borrowing
the
> other $5K. Same thing when buying $10,000 worth of a mutual fund
> that uses 2X leverage, still the same $10K at risk. The amount of
> money risked is always the same, so the expectancy has to be the
> same.
>
>
> Luck,
>
> Sebastian
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Bert Steele <bistrader@xxxx>
wrote:
> > No need to be sorry as sharing is just fine. To be clear, I am
> calculating Expectancy, defined as-
> >
> > (%WINS x Avg Profit %) + (%LOSSES x Avg Loss %)
> >
> > Lets say, for example, that when ^rut is up $X over a system's
buy
> period, that UAPIX is up $2X. Thus, when I calculate expectancy,
> lets assume that the UAPIX (which is a leverage 2 fund) is perfect
> resulting in Avg Profit % and Avg Loss % being twice that of ^rut.
> So, all is well.
> >
> > Now, lets assume that you no longer want to trade UAPIX, but
would
> rather trade ^rut with margin at 50 which is leverage 2. So, again
> in this prefect world, when ^rut has profit of $X, ^rut on margin
has
> profit of $2X. So, ...
> >
> > Option 1: ^rut with no margin providing profit of $X
> > Option 2: UAPIX as a leverage 2 fund providing profit of $2X
> > Option 3: ^rut with margin at 50% providing profit of $2X
> >
> > Now, here is the problem as I define it. Yes, I know that Tomasz
> does not agree, but this is my viewpoint. In AmiBroker, the
> Expectancy for Option 3 is the same as for Option 1. My viewpoint
is
> that this is wrong and that the Expectancy for Option 3 should be
the
> same (or similar in a non-perfect world) to Option 2 as they are
but
> two options available with the same or similar expectancy.
> >
> > ...
> >
> >
> > larypowell <larypowell@xxxx> wrote:
> > Sorry to jump in here, but you are confusing return on investment
> with return on equity. Larry
> >
> >
> > ---------------------------------
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf Of Bert Steele
> > Sent: 08/31/2005 8:05 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Re: AmiBroker Support
> >
> >
> >
> >
> > 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@xxxx> 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 -----
> > From: Bert Steele
> > To: amibroker@xxxxxxxxxxxxxxx
> > 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@xxxx> wrote: v\:* { BEHAVIOR: url
> (#default#VML)}o\:* { BEHAVIOR: url(#default#VML)}w\:* {
> BEHAVIOR: url(#default#VML)}.shape { BEHAVIOR: url
> (#default#VML)}@font-face { font-family: Lucida Sans Typewriter;}
> @page Section1 {size: 8.5in 11.0in; margin: 1.0in 1.25in 1.0in
> 1.25in; }P.MsoNormal { FONT-SIZE: 12pt; MARGIN: 0in 0in 0pt;
FONT-
> FAMILY: "Times New Roman"}LI.MsoNormal { FONT-SIZE: 12pt;
> MARGIN: 0in 0in 0pt; FONT-FAMILY: "Times New Roman"}DIV.MsoNormal {
> FONT-SIZE: 12pt; MARGIN: 0in 0in 0pt; FONT-FAMILY: "Times New
> Roman"}A:link { COLOR: blue; TEXT-DECORATION: underline}
> SPAN.MsoHyperlink { COLOR: blue; TEXT-DECORATION: underline}
> A:visited { COLOR: blue; TEXT-DECORATION: underline}
> SPAN.MsoHyperlinkFollowed { COLOR: blue; TEXT-DECORATION:
> underline}EM { FONT-WEIGHT: bold; FONT-STYLE: normal}P {
FONT-
> SIZE: 12pt; MARGIN-LEFT: 0in; MARGIN-RIGHT: 0in; FONT-
FAMILY: "Times
> New Roman"; mso-margin-top-alt: auto; mso-margin-bottom-alt: auto}
TT {
> COLOR: black;
> > FONT-FAMILY: "Lucida Sans Typewriter"}SPAN.EmailStyle20 { FONT-
> FAMILY: Arial; mso-style-type: personal-compose}DIV.Section1 {
page:
> Section1}OL { MARGIN-BOTTOM: 0in}UL { MARGIN-BOTTOM: 0in}
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > ---------------------------------
> >
> >
> > I am using the free version of SPAMfighter for private users.
> > It has removed 6178 spam emails to date.
> > Paying users do not have this message in their emails.
> > Try SPAMfighter for free now!
> >
> >
> >
> > ---------------------------------
> > I am using the free version of SPAMfighter for private users.
> > It has removed 6178 spam emails to date.
> > Paying users do not have this message in their emails.
> > Try SPAMfighter for free now!
> >
> >
> >
> > ---------------------------------
> > Do you Yahoo!?
> > Yahoo! Mail - Helps protect you from nasty viruses.
> >
> > __________________________________________________
> > Do You Yahoo!?
> > Tired of spam? Yahoo! Mail has the best spam protection around
> > http://mail.yahoo.com
> >
> > 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
> >
> >
> >
> >
> >
> >
> > SPONSORED LINKS
> > Investment management software Real estate investment software
> Investment property software Software support Real estate
investment
> analysis software Investment software
> >
> > ---------------------------------
> > YAHOO! GROUPS LINKS
> >
> >
> > Visit your group "amibroker" on the web.
> >
> > 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.
> >
> >
> > ---------------------------------
> >
> >
> >
> > __________________________________________________
> > Do You Yahoo!?
> > Tired of spam? Yahoo! Mail has the best spam protection around
> > http://mail.yahoo.com
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a difference. Find and fund world-changing projects at GlobalGiving.
http://us.click.yahoo.com/PcNrnD/PbOLAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> 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/
|