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Sure, I'm actually quite familiar with how these things behave long term, Dennis. In fact, that's the reason I'm doing this; to delve deeper into the nuances during different market conditions, the 2x vs. the 3x, etc. The main reason for the price decay of leveraged ETFs is because of simple math and the compounding factor. The code I'm looking for can duplicate that part of it, although I'll also have to factor in some depreciation due to expenses and hidden derivative & transaction costs.
Thanks for the warning though. :-)
Grant
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Grant,
>
> Be careful with your assumptions about leveraged EFTs. They are good
> for day trading, but their long term performance may lose ground
> compared the underlying. In other words, if you bought equal values
> of long and short versions of a leveraged EFT, you may find that over
> time you lose big. It is best to just use the actual data that is
> available since inception on which to base your testing.
>
> Best regards,
> Dennis
>
>
> On Apr 26, 2009, at 8:31 PM, longarm61 wrote:
>
> > Hi, I'm guessing that this is a simple thing, but of course, it's
> > not for me. I'm trying to simulate the performance of leveraged ETFs
> > going back farther than they go back themselves, hence the following:
> >
> > I would like to plot a line which moves 2x percentage-wise the gain/
> > loss of a particular stock PER DAY (bar). E.g., if I have SPY up,
> > and SPY moves up 1% on Monday, the line moves up 2%. If SPY moves
> > down .5% on Tuesday, the line moves down 1%. And so on. It'd be
> > nice to have an option to switch between PRICE and PERCENTAGE on the
> > current value (from the first bar showing to the last), but if it's
> > a choice between one or the other, I'd prefer price.
> >
> > Thanks so much for any assistance on this.
> >
> > Grant
> >
>
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