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Grant,
Shorting the longs and the shorts would make an interesting play, but
I think that is the game the big boys are playing, and they don't want
to share. :(
BR,
Dennis
On Apr 26, 2009, at 10:45 PM, longarm61 wrote:
> 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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