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My point? Sorry.
My point is that it would be nice if AB provided the same return and mdd for my leverage 2 ETF and my leverage 1 ETF with 50% margin. That is, both would have return of 30% and mdd of 10%.
That is my only comment. There will be others that do not agree and that is fine. It it just what I would like to see. :)
--- In amibroker@xxxxxxxxxxxxxxx, Mark Hike <markhike@xxx> wrote:
>
> What's your point?
>
> DD = (Equity-PeakEqity)/PeakEquity;
>
> I don't see any leverage or margin in the formula.
> If you are talking about theoretical DD of a system without leverage and
> actual DD of an account. There is some relationship between these two DDs
> which has something to do with leverage. But the original question is about
> MDD in backtest account.
>
>
> On Thu, Sep 17, 2009 at 12:06 PM, bistrader <bistrader@xxx> wrote:
>
> >
> >
> > 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 <amibroker%40yahoogroups.com>, Mark Hike
> > <markhike@> 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@> 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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