Let me correct my previous e-mail first (corrections are in red): Considering bo is the backtester object;
In Amibroker: - bo.Equity is the bar by bar value of the equity - bo.Equity = bo.Cash + total value of positions //see below for definition - bo.Cash = (Entry Bar)Equity - total(margindeposit*shares) // Stays constant as long as the positions are maintained - Value of position = margindeposit*shares +- position P&L In real life: - Equity is the day by day value of the equity - Equity = Cash + total(margindeposit*shares) +- total(position P&L) - Cash = Equity - total(margindeposit*shares) +- total(position P&L) - value of position - no need to define (at most the initial margindeposit*shares is required to keep the position) --- Mike Let me give you an extreme example: Please assume that you enter some positions at a bar and you have $50 cash left. All the positions are profitable and you have total(position P&L) of $50,000. Your "buyingPower" variable increases to $50,050. Backtester's buying power stays as $50. It cannot open a position as long as it doesn't have cash. I wonder your additional comments. Thank you. Ilhan Ketrez 2010/3/3 Mike <[email protected]> > > > It's been a while since I looked at this, so do your own testing. But, try > something like this: > > gain = bo.Equity - bo.Cash + bo.MarginLoan; // Unrealized gain from > holdings > > buyingPower = (bo.Cash + gain) * 2; // Half equity : half margin. > > Mike > > > --- In [email protected] <amibroker%40yahoogroups.com>, Ilhan > Ketrez <ketrezil...@...> wrote: > > > > Hello > > > > Thank you for participating. > > As you mention and as I understand, considering bo is the backtester > object; > > > > In Amibroker: > > - bo.Equity is the bar by bar value of the equity > > - bo.Equity = bo.Cash + total value of positions //see below for > definition > > - bo.Cash = bo.Equity - total(margindeposit*shares) > > - Value of position = margindeposit*shares +- position P&L > > > > In real life: > > - Equity is the day by day value of the equity > > - Equity = Cash + total(margindeposit*shares) +- total(position P&L) > > - Cash = Equity - total(margindeposit*shares) +- total(position P&L) > > - value of position - no need to define (at most the initial > > margindeposit*shares is required to keep the position) > > > > Amibroker states that due to the ambiguity & variance in initial margin > > deposits and maintenance margin deposits, > > they prefer to include it in the position value variable. However this > > solution prevents coding margin calls and > > hence also prevent playing at the limits in terms of position sizing such > as > > opening positions by using > > profits of open positions. > > > > I wonder your additional comments on the subject. > > > > Sincerely, > > Ilhan > > > > > > > > > > > > > > 2010/2/25 tf28373 <tom...@...> > > > > > > > > > > > > I've thought that it's just required to define the difference between > > > bo.Equity (which - as I've understood - is current value of our intial > > > equity and all open positions) and bo.Cash (initial capital minus cost > of > > > opening position that is margin deposit) in order to estimate if trades > are > > > gainers/losers and, thus, current available capital...? Isn't it like > that? > > > > > > --- In [email protected] <amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com>, Ilhan > > > > Ketrez <ketrezilhan@> wrote: > > > > > > > > Yes. Simple backtester doesn't know the equity and capital available. > > > > CBI does know the Equity. > > > > Even the CBI doesn't know the actual available capital unless we > define > > > and > > > > calculate ourselves. > > > > And even if we define and calculate, we still cannot utilize it when > we > > > need > > > > since we cannot define it as BacktesterObject.Cash. > > > > BacktesterObject.Cash gives the difference of Equity - entry time > (shares > > > * > > > > margindeposit). Cash earned/lost by the position stays in the > position > > > and > > > > doesn't change the BacktesterObject.Cash. > > > > > > > > > > > > 2010/2/10 B S <bs2167@> > > > > > > > > > > > > > > > > > > > > > > Yes, thanks...that's similar logic to what Paul Ho suggested with > his > > > > > multiplex function, but it unfortunately does not address the issue > of > > > > > picking between simultaneous signals from multiple systems based > upon > > > the > > > > > capital available to each system (unknown until you get to that bar > in > > > the > > > > > backtest loop). > > > > > > > > > > ------------------------------ > > > > > *From:* Ilhan Ketrez <ketrezilhan@> > > > > > *To:* [email protected] > > > > > <amibroker%40yahoogroups.com><amibroker% > 40yahoogroups.com> > > > > > > > > > *Sent:* Wed, February 10, 2010 2:18:41 PM > > > > > *Subject:* Re: [amibroker] Multiple Systems & Risk Mgmt in one > formula > > > > > > > > > > > > > > > > > > > > Setting different ranges of scores and buy-sell prices for > different > > > > > systems by simple IIF function may be a solution, at least lightens > the > > > > > problem I guess. > > > > > > > > > > 2010/2/10 B S <bs2...@yahoo. com <bs2167@>> > > > > > > > > > > > > >> > > > > >> > > > > >> Hi- > > > > >> > > > > >> I asked Marcin a question related to this earlier, but given the > > > > >> considerable interest in the past on this board regarding managing > > > multiple > > > > >> systems, I'd thought put some further thoughts here. My > understanding > > > of > > > > >> the conclusion reached during the last round of discussions was > that > > > each > > > > >> individual should use low-level CBT to accomplish their multiple > > > systems > > > > >> management goals. So I've done that, but in the end its of no > > > practical use > > > > >> because of the incredible number of static arrays that were > required > > > to do > > > > >> it - it 'works' on small samples/tests but the memory demands are > too > > > great > > > > >> for things that I'd actually use it for. As my objectives were > rather > > > > >> simple, I imagine that others are still wrestling with similar > issues. > > > > >> > > > > >> As an example, part of my plan was to limit the % of equity that > was > > > > >> employed by any one system at a given time. Therefore, while in > the > > > > >> backtester I needed to know which system or systems generated the > > > signal. > > > > >> So I started by creating a static array that i could later access > in > > > the > > > > >> CBT which contained flags (1,2,4,etc.) indicating which system or > > > systems it > > > > >> came from. However, because of the memory issues, I decided to > stuff > > > these > > > > >> flags into the positionsize property and just determine the actual > > > size > > > > >> later while looping through CBT. That allowed me to determine > which > > > systems > > > > >> signals were coming from, and then choose which model to allocate > the > > > trade > > > > >> to (in the event of multiple simultaneous signals), but I still > needed > > > to > > > > >> get the correct entry price. There could be as many entry prices > as I > > > have > > > > >> systems, and since I don't know which I'll be using until I get to > the > > > > >> backtester, I needed to store all of them - another static array. > This > > > > >> process continued like this and then it occurred to me that just > about > > > all > > > > >> of these issues would go away if I could just attach the > information I > > > > >> needed to the entry signal object. So for example, the user could > set > > > > >> PositionSize1, PositionSize2, PositionScore1, PositionScore2, > > > BuyPrice1, > > > > >> BuyPrice2, and so on...or perhaps just dummy variables... Dummy1, > > > Dummy2, > > > > >> etc.. I'm sure there's a memory cost to doing this, but it can't > be > > > > >> anything like storing all these static arrays (is this correct? i > > > really > > > > >> have no idea what i'm talking about). Also, I'm sure just making > these > > > > >> additional property slots available will come at some performance > > > cost, but > > > > >> perhaps adding them could be an option in settings. > > > > >> > > > > >> For all I know, editing the number of properties that can be > stored in > > > a > > > > >> signal object is already possible - is it? If not, do others think > > > this > > > > >> would be useful? Is there a better way of achieving the types of > > > things > > > > >> that I'm trying to do? > > > > >> > > > > >> Appreciate any dialogue whatsoever on this - have spent an > embarassing > > > > >> amount of time on it without much to show for it. > > > > >> > > > > >> > > > > >> > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
