1 registered members (AndrewAMD),
1,018
guests, and 6
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Re: Interest on leverage for Z8 and Z9
[Re: jcl]
#469743
12/05/17 16:38
12/05/17 16:38
|
Joined: Sep 2017
Posts: 235
Hredot
Member
|
Member
Joined: Sep 2017
Posts: 235
|
How do you arrive at -0.0009?
My calculation gives: -$50/100/240=-$0.0021 rollover per business day.
Last edited by Hredot; 12/05/17 16:39.
|
|
|
Re: Interest on leverage for Z8 and Z9
[Re: jcl]
#469757
12/06/17 16:45
12/06/17 16:45
|
Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
|
OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
|
In fact it's -0.0007, since calendar days are counted, not business days. -$50 / leverage 2 / 365 days * 0.01 interest = -0.0007. thanks for clarification! As I understand, it's initial RollLong value. When I test a system will this value be recalculated every day based on a current stock price?
Last edited by kujo; 12/06/17 16:49.
|
|
|
Re: Interest on leverage for Z8 and Z9
[Re: kujo]
#469760
12/06/17 19:21
12/06/17 19:21
|
Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
|
OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
|
Also, I have a question about MarginCost and Leverage in AssetsZ9.csv 1st test: MarginCost=0 and Leverage=2. According to the manual MarginCost can be left at 0 when Leverage is used for determining the margin. Ok
2nd test: MarginCost=25 and Leverage=0. Again, according to the manual when MarginCost is nonzero, Leverage is ignored and the Leverage variable is calculated from MarginCost and the initial price.
Initial price = 50, PIP = PIPCost = 0.01 As I understands, these tests are equal and should produce the same results. However, they are different. Is it a bug or I miss something?
Last edited by kujo; 12/06/17 19:22.
|
|
|
Re: Interest on leverage for Z8 and Z9
[Re: jcl]
#469823
12/10/17 03:38
12/10/17 03:38
|
Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
|
OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
|
Yes, when you know the interest per day and contract. Enter it in the RollLong column of the AssetsZ8/Z9 asset list. F.i. for a $50 stock with 1% annual interest and a USD account, enter -0.0009 in that column. Maybe I'm missing something, but, as I understand, the RollOver cost model came from Forex. It's not really applicable to stock market. In stock market there is no overnight fee. However, there is an interest that should be paid to a broker for borrowing money (in case of leverage) or securities (in case of short selling). So for the Z9 strategy that trades ETFs, if I enter interest in the RollLong column and leverage = 2, Zorro calculates interest fee for every security that I hold overnight. But the interest is only applicable for the borrowed money/securities. Could you please comment on this? How to tailor Z9 strategy's cost model for real stocks/ETFs? Thank you!
Last edited by kujo; 12/10/17 04:06.
|
|
|
|