One thing to keep in mind is that open position gains are not added to the Cash property and are thus not available for taking additional positions (i.e. the taking of positions is dependent upon the availability of Cash).
http://finance.groups.yahoo.com/group/amibroker/message/148014 Mike --- In [email protected], "raymondpconnolly" <raymondpconno...@...> wrote: > > Thanks Mike...I will go through it...I greatly appreciate your response. > > Ray > > --- In [email protected], "Mike" <sfclimbers@> 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 [email protected], "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 > > > > > >
