[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: [amibroker] Re: Quick Question about Max System Drawdown; + Article Link



PureBytes Links

Trading Reference Links



http://www.amibrokeru.com/FreeLibrary/FreeArticles/tabid/63/articleType/ArticleView/articleId/96/Leveraged-Funds-and-ETFrsquos-vs-Margined-Investments-ndash-Important-Differences.aspx

 

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of bistrader
Sent: Tuesday, September 22, 2009 10:27 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Quick Question about Max System Drawdown

 

 

A agree. I assumed that they were in my example. I can, of course, address my area of concern with a different example. Let say that one can buy an ETF that is leverage 1 and lets say that the return over the period is 20% with mdd of -10%. What would the return be with margin at 50%? It would be 50%. What will be the mdd? It will be -20%. Without the cost of borrowing included.

--- In amibroker@xxxxxxxxxxxxxxx, "re_rowland" <rowland@xxx> wrote:
>
>
> Bistrader, that is not how leveraged ETFs work. A 2x ETF is not the same as a 1x ETF on 50% margin. Your 1x on 50% margin never rebalances unless you get a margin call. Your 2x ETF rebalances EVERY day and the daily compounding will produce results very different, sometimes vastly different, than twice your 1x ETF.
>
> Since they are different animals, AB will not try to tell you they are the same. They are the same for approximately one-day. After that, all bets are off.
>
> I have written many articles on this subject as have others. There is no shortage of information on this subject on many investment websites. For starters, check the websites of the 2x ETF providers.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bistrader" <bistrader@> wrote:
> >
> > 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@> 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@> 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!
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
>

No virus found in this incoming message.
Checked by AVG - www.avg.com
Version: 8.5.409 / Virus Database: 270.13.112/2390 - Release Date: 09/23/09 05:52:00



__._,_.___


**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/





Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___