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Mike
I had done what you suggested a while back. I sort of hijacked this
thread to warn portfolio stock traders that the results that they may
get in their backtest is NOT correct if they use margin. I am certain
that in the US, brokers will not charge you margin expense if you
have cash in your account.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Admittedly, it has been a while since I last looked at this.
>
> But, my recollection is that AmiBroker will use the ratio accross
all
> trades, regardless of whether or not you have actually expended all
> your cash. In other words, in the example given, the distribution
> would in fact be $5000 from cash and the other $5000 on margin,
> leaving $95000 in cash.
>
> This is consistent with what your broker might show in that trades
> made from a marginable account will only deduct part of the cost
from
> your cash, and the remainder will show up as being on margin.
>
> To see exactly what is going on, go to the Report tab of the AA
> Settings window and select the "Detailed Log" option, then run your
> backtest. The ouput will show changes to cash, margin, equity, at
> each buy/sell.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >
> > Mike
> >
> > Wouldn't this approach create a incorrect results if:
> > 1. you are a EOD stock trader
> > 2. want to use 50% margin
> > 3. no more than 10% in one stock
> > 4. initial cash $100,000
> > on the first buy you should be using $10,000 from cash not from
> $5000
> > and $5000 on margin. It seems to me the correct approach is once
> your
> > cash is exhausted then AB should take on margin loan.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > Hi,
> > >
> > > The feature dictates what percentage of the purchase price is
to
> be
> > > paid from your own funds vs. a margin loan. When set to 100,
you
> > pay
> > > the entire amount (i.e. 100%). When set to 75, you pay 75% of
the
> > > purchase and take a margin loan for the remaining 25%. When set
> to
> > > 50, you pay half and take a margin loan for the other half, etc.
> > >
> > > The amount in absolute dollars will vary based on the price and
> > > number of shares bought. However, the ratio will remain the
same
> > for
> > > all trades. You can do the math to figure out what the actual
> > amount
> > > is by multiplying the number of shares by the purchase price
and
> > then
> > > multiplying that by the percentage covered by margin.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "guhu0434" <g.h.h@> wrote:
> > > >
> > > > Hello,
> > > >
> > > > thank you for the answer. The setting you mention gives the
> > > > backtester the possibility to make a margin loan. I am
> interested
> > > in
> > > > the actual amount of the loan. I hope I explained it in such
a
> > > manner
> > > > you get my point.
> > > >
> > > > I got the stuff with cash and equity simply by looking at the
> > > equity
> > > > chart in amibroker, right mouse button and click on "Formula".
> > > >
> > > > To my knowledge, this feature isn't documented.
> > > >
> > > > WIth regards, Guido
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > > > >
> > > > > Hi,
> > > > >
> > > > > The easiest approach is to set the margin from the AA
> Settings
> > > > window
> > > > > (e.g. 100 means no margin, 50 means max overnight margin
> > allowed
> > > by
> > > > > U.S. markets, 50% paid by you, 50% by your broker).
> > > > >
> > > > > If you want to do it using code, try SetOption
> ("AccountMargin",
> > > > 50),
> > > > > for example.
> > > > >
> > > > > Mike
> > > > >
> > > > > P.S. Where did you read that Foreign("~~~Equity", "L") was
> > equal
> > > to
> > > > > cash? Or are you making an assumption?
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "guhu0434" <guhu0434@>
> wrote:
> > > > > >
> > > > > > Hello,
> > > > > >
> > > > > > I hope somebody can help me with this question. How can I
> > > control
> > > > > the
> > > > > > MarginLoan during backtest?
> > > > > >
> > > > > > As I see, Equity and Cash can be controlled via the
> ~~~EQUITY
> > > > > > eq = Foreign("~~~EQUITY", "C");
> > > > > > cash = Foreign("~~~EQUITY", "L");
> > > > > >
> > > > > > I tested the other values "H","O","V" as well, but can't
> find
> > a
> > > > > hint
> > > > > > for the marginloan.
> > > > > >
> > > > > > I would like to improve my moneymanagement...
> > > > > >
> > > > > > With thanks in advance...
> > > > > >
> > > > > > Guido
> > > > > >
> > > > >
> > > >
> > >
> >
>
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