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Hmmm...
Lets say that you have 2 ETFs, one with leverage 1 and the other with leverage 2. Lets also assume that these are perfect ETFs, implying that the only difference between them is the leverage. Now, look at the return and mdd for the one with leverage 1 and lets assume that it is 15% return with 5% mdd over a period. What will the stats be for the ETF with leverage 2? It will be 30% and with 10% mdd. In AmiBroker and elsewhere.
Lets assume that the leverage 2 ETF is no longer available but you still want to invest with leverage of 2. You still can with leverage 1 ETF with 50% margin, providing an implied leverage of 2. What would the return and mdd be when you look at your brokerage statement numbers? If will be 30% return with 10% mdd.
...
--- In amibroker@xxxxxxxxxxxxxxx, Mark Hike <markhike@xxx> wrote:
>
> DrawDown has nothing to do with your margin, it is the percentage drop from
> peak equity.
> Margin controls how much you can trade.
>
> On Wed, Sep 16, 2009 at 5:02 PM, Brandon_Ridenour <
> brandon_ridenour@xxx> wrote:
>
> >
> >
> >
> > Hi All,
> >
> > A quick simple question about Max System Drawdown -- if I am using margin
> > in the backtest (for example, set to 50), does the max drawdown only reflect
> > my % loss of equity? Or is it loss of portfolio value?
> >
> > For example, if i were setting margin to 50, and MDD reached 50%, I would
> > be at risk of a total wipeout. If, on the other hand, MDD only represents a
> > loss of personal equity, it wouldn't be as big a deal.
> >
> > Thanks!
> >
> >
> >
>
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