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Thank you very much,
you give me the missing informations. I just wondered in the past why
AB used margin even if I had enough cash. That's clear now ...
WIth regards, Guido
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Tip,
>
> Sorry, I used AmiBroker terms in the context of a broker in my last
> reply, which may have confused things. I'll try again keeping the
> terms straight.
>
> Your broker may have different names for it. But, when trading on
> margin we have; cash, stock, equity, maintenance margin, available
> funds and buying power. I believe that it goes along the lines of;
> maintenance margin equals 1/2 x stock, equity equals cash + stock,
> available funds equals cash + stock - maintenance margin. And,
> overnight buying power equals 2 x available funds.
>
> So, given our 100k brokerage account, after taking a 10k trade, we
> have:
>
> cash = 100k - 10k = 90k
> stock = 0 + 10k = 10k
> maint. margin = 0 + (1/2 x 10k) = 5k
> equity = 90k + 10k = 100k
> avail. funds = 90k + 10k - 5k = 95k
> buying power = 2 x 95k = 190k
>
> Taking a second 10k trade we have:
>
> cash = 90k - 10k = 80k
> stock = 10k + 10k = 20k
> maint. margin = 5k + (1/2 x 10k) = 10k
> equity = 80k + 20k = 100k
> avail. funds = 80k + 20k - 10k = 90k
> buying power = 2 x 90k = 180k
>
> Continuing to the end we get:
>
> cash = -90k - 10k = -100k
> stock = 190k + 10k = 200k
> maint. margin = 95k + (1/2 x 10k) = 100k
> equity = -100k + 200k = 100k
> avail. funds = -100k + 200k - 100k = 0k
> buying power = 2 x 0k = 0k
>
> We only actually start paying margin interest once our cash falls
> below zero.
>
> Now let's compare that to AmiBroker. AmiBroker does not have a
> separate variable for available funds. So, instead it just re-uses
> the cash variable to hold available funds. When taking a new
position
> with 50% margin, AmiBroker takes half from its cash (avail funds)
and
> charges the other half to margin (maintenance margin). Equity is
> calculated as cash + stock - margin.
>
> After the first 10k trade from starting equity of 100k:
>
> cash = 100k - (1/2 x 10k) = 95k
> stock = 0 + 10k = 10k
> margin = 0 + (1/2 x 10k) = 5k
> equity = 95k + 10k - 5k = 100k
> avail. funds = cash = 95k
> buying power = 2 x 95k = 190k
>
> Taking a second 10k trade we have:
>
> cash = 95k - (1/2 x 10k) = 90k
> stock = 10k + 10k = 20k
> margin = 5k + (1/2 x 10k) = 10k
> equity = 90k + 20k - 10k = 100k
> avail. funds = cash = 90k
> buying power = 2 x 90k = 180k
>
> Continuing to the end we get:
>
> cash = 5k - (1/2 x 10k) = 0k
> stock = 190k + 10k = 200k
> margin = 95k + (1/2 x 10k) = 100k
> equity = 0k + 200k - 100k = 100k
> avail. funds = cash = 0k
> buying power = 2 x 0k = 0k
>
> Assuming that all of the above is correct, you can see that
AmiBroker
> does in fact give the correct results for a margin backtest. We
just
> have to understand that AmiBroker's "cash" is our
broker's "available
> funds".
>
> Note that some brokers show buying power based on intra day trading
> (i.e. 4x available funds) rather than overnight holding (i.e. 2x
> available funds). In such cases, you need to adjust the broker's
> buying power to match your EOD trading.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "tipequity" <l3456@> wrote:
> >
> > 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@> 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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