Thanks Mike...I will go through it...I greatly appreciate your response. Ray
--- In amibroker@yahoogroups.com, "Mike" <sfclimb...@...> wrote: > > A reply that I made to an earlier thread might be helpful. Note that despite > the verbal description in the link below, I seem to recall that AmiBroker > stores bo.MarginLoan as a negative number that gets added to equity. > > http://finance.groups.yahoo.com/group/amibroker/message/127764 > > Mike > > --- In amibroker@yahoogroups.com, "raymondpconnolly" <raymondpconnolly@> > wrote: > > > > Hi All, > > > > I've written some CBT code to calculate custom metrics Max_Equity, > > Min_Cash, Max_Margin_loan. The problem I am having Is that I'm not sure > > how to interpret the output because I'm uncertain about the definition of > > backtester object properties bo.Equity, bo.Cash, bo.MarginLoan where bo is > > the bactester object. > > > > From the User Guide topic "Portfolio-level back testing" : "New backtester > > works on PORTFOLIO LEVEL, it means that there is single portfolio equity > > and positionsizing refers to portfolio equity. Portfolio equity is equal > > to available cash plus sum of all simultaneously open positions at given > > time." > > > > Is it correct to conclude from the above that for a margin account > > Portfolio equity includes Marginloan? Therefore if I defined the equity > > that I provide as "Owners Equity" vs. the broker provided "Maginloan" the > > following would be true: > > > > (1) bo.Equity = Owners Equity + bo.MarginLoan = bo.Cash + sum of all > > simultaneously open positions at given time? > > > > (2) bo.Equity = Owners Equity/MarginRate = bo.Cash + sum of all > > simultaneously open positions at given time? > > > > or is it the case that: > > > > (3) bo.Equity = Owners Equity = bo.Cash + sum of all simultaneously open > > positions at given time. (and bo.MarginLoan is simply a separate number)? > > > > or are there other components in Portfolio equity that I've missed > > completely? > > > > If anyone can help with this I would really appreciate it. > > > > Regards, > > Ray > > >
