Re: [amibroker] Exposure: What is it, How is it calculated by AB and How do margin and scaling affect it in AB?

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

Hello,

There were few of reasons, 2 from memory 
a) historical reason (when margin requirement was implemented
I was using brokerage that did this way and they did not charge interest rate
- here we have different regulations than in US)
b) the easy to plot buying power - with this approach buying power is just (100/MarginReq)*Cash
and Cash is available from portfolio equity ticker so it is pretty useful and convinient
to see that plot (otherwise once you got on margin you would see flat line cash = 0))
 
Right now it does not make difference to actual results because interest rate is not charged
from that so it does not really matter if it is one way or another, but once I implement
interest rate on margin I will change that too.

Second question: as I explained previously exposure is always in the range of 0..100%.
Even using margin you do not enter > 100% area because it uses total equity including borrowed money as a base.
So if you are fully invested including all margin your exposure is 100%.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "dingo" <dingo@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, March 03, 2007 11:39 PM
Subject: RE: [amibroker] Exposure: What is it, How is it calculated by AB and How do margin and scaling affect it in AB?


> BTW I noticed that you start taking margin loans immediately instead of
> waiting until all initial cash has been exhausted, correct?  My broker
> doesn't start giving me margin until the cash in the account is gone. Just
> wondering why you chose the way you're doing it?
> 
> Also, in the exposure calc: When using margin exposure is only greater than
> when not using margin when the total margin amount > cash?  Hope I said that
> right....
> 
> Thanks for the explanation !
> 
> d
> 
>> -----Original Message-----
>> From: amibroker@xxxxxxxxxxxxxxx 
>> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
>> Sent: Saturday, March 03, 2007 4:35 PM
>> To: amibroker@xxxxxxxxxxxxxxx
>> Subject: Re: [amibroker] Exposure: What is it, How is it 
>> calculated by AB and How do margin and scaling affect it in AB?
>> 
>> Single bar exposure is
>> (Value of all currently open positions)/(Total Equity)
>> 
>> (where total equity is value of all open positions plus all 
>> available funds).
>> 
>> Now this single bar exposure is summed up for all bars and 
>> divided by number of bars
>> to get system exposure.
>> 
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message ----- 
>> From: "dingo" <dingo@xxxxxxxxxxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Saturday, March 03, 2007 8:22 PM
>> Subject: [amibroker] Exposure: What is it, How is it 
>> calculated by AB and How do margin and scaling affect it in AB?
>> 
>> 
>> > Better known as "Exposure, The Trifecta".
>> > 
>> > Its hard out there for a duude!  Anyone care to explain?
>> > 
>> > d
>> > 
>> > 
>> > 
>> > 
>> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> > http://www.amibroker.com/devlog/
>> > 
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> > 
>> > Yahoo! Groups Links
>> > 
>> > 
>> > 
>> > 
>> >
>> 
>> 
>> ------------------------ Yahoo! Groups Sponsor 
>> --------------------~--> 
>> Transfer from your equities account.  
>> Receive up to $1,000 from GFT. Click here to learn more.
>> http://us.click.yahoo.com/aZttyC/X_xQAA/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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>> 
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>  
>> Yahoo! Groups Links
>> 
>> 
>> 
>> 
> 
> 
> 
> 
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
> 
> Yahoo! Groups Links
> 
> 
> 
> 
>


------------------------ Yahoo! Groups Sponsor --------------------~--> 
Transfer from your equities account.  
Receive up to $1,000 from GFT. Click here to learn more.
http://us.click.yahoo.com/aZttyC/X_xQAA/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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

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/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> 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/