Thank you very much, you give me the missing informations. I just wondered in the past why AB used margin even if I had enough cash. That's clear now ...
WIth regards, Guido --- In amibroker@yahoogroups.com, "Mike" <[EMAIL PROTECTED]> wrote: > > Tip, > > Sorry, I used AmiBroker terms in the context of a broker in my last > reply, which may have confused things. I'll try again keeping the > terms straight. > > Your broker may have different names for it. But, when trading on > margin we have; cash, stock, equity, maintenance margin, available > funds and buying power. I believe that it goes along the lines of; > maintenance margin equals 1/2 x stock, equity equals cash + stock, > available funds equals cash + stock - maintenance margin. And, > overnight buying power equals 2 x available funds. > > So, given our 100k brokerage account, after taking a 10k trade, we > have: > > cash = 100k - 10k = 90k > stock = 0 + 10k = 10k > maint. margin = 0 + (1/2 x 10k) = 5k > equity = 90k + 10k = 100k > avail. funds = 90k + 10k - 5k = 95k > buying power = 2 x 95k = 190k > > Taking a second 10k trade we have: > > cash = 90k - 10k = 80k > stock = 10k + 10k = 20k > maint. margin = 5k + (1/2 x 10k) = 10k > equity = 80k + 20k = 100k > avail. funds = 80k + 20k - 10k = 90k > buying power = 2 x 90k = 180k > > Continuing to the end we get: > > cash = -90k - 10k = -100k > stock = 190k + 10k = 200k > maint. margin = 95k + (1/2 x 10k) = 100k > equity = -100k + 200k = 100k > avail. funds = -100k + 200k - 100k = 0k > buying power = 2 x 0k = 0k > > We only actually start paying margin interest once our cash falls > below zero. > > Now let's compare that to AmiBroker. AmiBroker does not have a > separate variable for available funds. So, instead it just re-uses > the cash variable to hold available funds. When taking a new position > with 50% margin, AmiBroker takes half from its cash (avail funds) and > charges the other half to margin (maintenance margin). Equity is > calculated as cash + stock - margin. > > After the first 10k trade from starting equity of 100k: > > cash = 100k - (1/2 x 10k) = 95k > stock = 0 + 10k = 10k > margin = 0 + (1/2 x 10k) = 5k > equity = 95k + 10k - 5k = 100k > avail. funds = cash = 95k > buying power = 2 x 95k = 190k > > Taking a second 10k trade we have: > > cash = 95k - (1/2 x 10k) = 90k > stock = 10k + 10k = 20k > margin = 5k + (1/2 x 10k) = 10k > equity = 90k + 20k - 10k = 100k > avail. funds = cash = 90k > buying power = 2 x 90k = 180k > > Continuing to the end we get: > > cash = 5k - (1/2 x 10k) = 0k > stock = 190k + 10k = 200k > margin = 95k + (1/2 x 10k) = 100k > equity = 0k + 200k - 100k = 100k > avail. funds = cash = 0k > buying power = 2 x 0k = 0k > > Assuming that all of the above is correct, you can see that AmiBroker > does in fact give the correct results for a margin backtest. We just > have to understand that AmiBroker's "cash" is our broker's "available > funds". > > Note that some brokers show buying power based on intra day trading > (i.e. 4x available funds) rather than overnight holding (i.e. 2x > available funds). In such cases, you need to adjust the broker's > buying power to match your EOD trading. > > Mike > > --- In amibroker@yahoogroups.com, "tipequity" <l3456@> wrote: > > > > Mike > > > > I had done what you suggested a while back. I sort of hijacked this > > thread to warn portfolio stock traders that the results that they > may > > get in their backtest is NOT correct if they use margin. I am > certain > > that in the US, brokers will not charge you margin expense if you > > have cash in your account. > > > > --- In amibroker@yahoogroups.com, "Mike" <sfclimbers@> wrote: > > > > > > Admittedly, it has been a while since I last looked at this. > > > > > > But, my recollection is that AmiBroker will use the ratio accross > > all > > > trades, regardless of whether or not you have actually expended > all > > > your cash. In other words, in the example given, the distribution > > > would in fact be $5000 from cash and the other $5000 on margin, > > > leaving $95000 in cash. > > > > > > This is consistent with what your broker might show in that > trades > > > made from a marginable account will only deduct part of the cost > > from > > > your cash, and the remainder will show up as being on margin. > > > > > > To see exactly what is going on, go to the Report tab of the AA > > > Settings window and select the "Detailed Log" option, then run > your > > > backtest. The ouput will show changes to cash, margin, equity, at > > > each buy/sell. > > > > > > Mike > > > > > > --- In amibroker@yahoogroups.com, "tipequity" <l3456@> wrote: > > > > > > > > Mike > > > > > > > > Wouldn't this approach create a incorrect results if: > > > > 1. you are a EOD stock trader > > > > 2. want to use 50% margin > > > > 3. no more than 10% in one stock > > > > 4. initial cash $100,000 > > > > on the first buy you should be using $10,000 from cash not from > > > $5000 > > > > and $5000 on margin. It seems to me the correct approach is > once > > > your > > > > cash is exhausted then AB should take on margin loan. > > > > > > > > --- In amibroker@yahoogroups.com, "Mike" <sfclimbers@> wrote: > > > > > > > > > > Hi, > > > > > > > > > > The feature dictates what percentage of the purchase price is > > to > > > be > > > > > paid from your own funds vs. a margin loan. When set to 100, > > you > > > > pay > > > > > the entire amount (i.e. 100%). When set to 75, you pay 75% of > > the > > > > > purchase and take a margin loan for the remaining 25%. When > set > > > to > > > > > 50, you pay half and take a margin loan for the other half, > etc. > > > > > > > > > > The amount in absolute dollars will vary based on the price > and > > > > > number of shares bought. However, the ratio will remain the > > same > > > > for > > > > > all trades. You can do the math to figure out what the actual > > > > amount > > > > > is by multiplying the number of shares by the purchase price > > and > > > > then > > > > > multiplying that by the percentage covered by margin. > > > > > > > > > > Mike > > > > > > > > > > --- In amibroker@yahoogroups.com, "guhu0434" <g.h.h@> wrote: > > > > > > > > > > > > Hello, > > > > > > > > > > > > thank you for the answer. The setting you mention gives the > > > > > > backtester the possibility to make a margin loan. I am > > > interested > > > > > in > > > > > > the actual amount of the loan. I hope I explained it in > such > > a > > > > > manner > > > > > > you get my point. > > > > > > > > > > > > I got the stuff with cash and equity simply by looking at > the > > > > > equity > > > > > > chart in amibroker, right mouse button and click > on "Formula". > > > > > > > > > > > > To my knowledge, this feature isn't documented. > > > > > > > > > > > > WIth regards, Guido > > > > > > > > > > > > --- In amibroker@yahoogroups.com, "Mike" <sfclimbers@> > wrote: > > > > > > > > > > > > > > Hi, > > > > > > > > > > > > > > The easiest approach is to set the margin from the AA > > > Settings > > > > > > window > > > > > > > (e.g. 100 means no margin, 50 means max overnight margin > > > > allowed > > > > > by > > > > > > > U.S. markets, 50% paid by you, 50% by your broker). > > > > > > > > > > > > > > If you want to do it using code, try SetOption > > > ("AccountMargin", > > > > > > 50), > > > > > > > for example. > > > > > > > > > > > > > > Mike > > > > > > > > > > > > > > P.S. Where did you read that Foreign("~~~Equity", "L") > was > > > > equal > > > > > to > > > > > > > cash? Or are you making an assumption? > > > > > > > > > > > > > > --- In amibroker@yahoogroups.com, "guhu0434" <guhu0434@> > > > wrote: > > > > > > > > > > > > > > > > Hello, > > > > > > > > > > > > > > > > I hope somebody can help me with this question. How can > I > > > > > control > > > > > > > the > > > > > > > > MarginLoan during backtest? > > > > > > > > > > > > > > > > As I see, Equity and Cash can be controlled via the > > > ~~~EQUITY > > > > > > > > eq = Foreign("~~~EQUITY", "C"); > > > > > > > > cash = Foreign("~~~EQUITY", "L"); > > > > > > > > > > > > > > > > I tested the other values "H","O","V" as well, but > can't > > > find > > > > a > > > > > > > hint > > > > > > > > for the marginloan. > > > > > > > > > > > > > > > > I would like to improve my moneymanagement... > > > > > > > > > > > > > > > > With thanks in advance... > > > > > > > > > > > > > > > > Guido > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >