Grant, Shorting the longs and the shorts would make an interesting play, but I think that is the game the big boys are playing, and they don't want to share. :(
BR, Dennis On Apr 26, 2009, at 10:45 PM, longarm61 wrote: > Sure, I'm actually quite familiar with how these things behave long > term, Dennis. In fact, that's the reason I'm doing this; to delve > deeper into the nuances during different market conditions, the 2x > vs. the 3x, etc. The main reason for the price decay of leveraged > ETFs is because of simple math and the compounding factor. The code > I'm looking for can duplicate that part of it, although I'll also > have to factor in some depreciation due to expenses and hidden > derivative & transaction costs. > > Thanks for the warning though. :-) > > Grant > > > --- In [email protected], Dennis Brown <se...@...> wrote: >> >> Grant, >> >> Be careful with your assumptions about leveraged EFTs. They are good >> for day trading, but their long term performance may lose ground >> compared the underlying. In other words, if you bought equal values >> of long and short versions of a leveraged EFT, you may find that over >> time you lose big. It is best to just use the actual data that is >> available since inception on which to base your testing. >> >> Best regards, >> Dennis >> >> >> On Apr 26, 2009, at 8:31 PM, longarm61 wrote: >> >>> Hi, I'm guessing that this is a simple thing, but of course, it's >>> not for me. I'm trying to simulate the performance of leveraged ETFs >>> going back farther than they go back themselves, hence the >>> following: >>> >>> I would like to plot a line which moves 2x percentage-wise the gain/ >>> loss of a particular stock PER DAY (bar). E.g., if I have SPY up, >>> and SPY moves up 1% on Monday, the line moves up 2%. If SPY moves >>> down .5% on Tuesday, the line moves down 1%. And so on. It'd be >>> nice to have an option to switch between PRICE and PERCENTAGE on the >>> current value (from the first bar showing to the last), but if it's >>> a choice between one or the other, I'd prefer price. >>> >>> Thanks so much for any assistance on this. >>> >>> Grant >>> >> > > > > > ------------------------------------ > > **** 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/ > > Yahoo! Groups Links > > >
