0 registered members (),
1,119
guests, and 0
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Setting the Margin slider for Z strategies
#427089
08/01/13 23:05
08/01/13 23:05
|
Joined: Aug 2013
Posts: 22
pipclown
OP
Newbie
|
OP
Newbie
Joined: Aug 2013
Posts: 22
|
I'm trying to find out how to set the Margin slider to a proper value for my account. Tried searching the forums, but found no conclusive answer. Is running a test with different margin settings trying to match my starting capital a good way? For example, running Z12 with margin/risk to 100/10 shows a required capital of $11032. Given that my starting capital was just that, are then 100/10 my recommended settings? Thanks! Edit: I see that a similar question was just asked earlier. http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=424411
Last edited by pipclown; 08/02/13 00:02.
|
|
|
Re: Setting the Margin slider for Z strategies
[Re: jcl]
#427110
08/02/13 10:32
08/02/13 10:32
|
Joined: Jul 2013
Posts: 522
dusktrader
User
|
User
Joined: Jul 2013
Posts: 522
|
My understanding is that "Capital required" in the performance report comes from the historical "worst case scenario" that would have occurred, had you been trading during the backtest period. Here is what the manual says: Sum of normalized drawdown and maximum margin. This is the initial capital required when trading is started at the worst possible historical moment, i.e. directly at the balance peak preceding the largest drawdown (see remarks). ... Drawdown dependent performance figures such as Annual return and Capital required are calculated from a normalized drawdown, which is the maximum drawdown normalized to 36 months. This normally generates performance figures that are largely independent on the test period. Do you think it's safe to assume that a trader could start with the minimum "capital required" safely, based on the unlikelihood of that "worst case" being exceeded? I'm asking only to understand your line of thinking -- because I had previously assumed that figure was a bare minimum that we should exceed in real trading. However, for nanolot trading "it sure would be nice" to follow that figure religiously as a rule-of-thumb. Also, what do you mean by the phrase "maximum drawdown normalized to 36 months"? Where does the 36 months come from? Are you saying that in a 10-year backtest, you are only looking at the max drawdown of any consecutive 36-month period? I just want to understand. THANKS
|
|
|
Re: Setting the Margin slider for Z strategies
[Re: pipclown]
#436053
01/17/14 21:07
01/17/14 21:07
|
Joined: Jun 2013
Posts: 1,609
DdlV
Serious User
|
Serious User
Joined: Jun 2013
Posts: 1,609
|
Hi jcl. Been meaning to ask this for a while but I keep forgetting... Since "normalized" has a number of definitions, what does it mean here? For example, let's say a 5 year Test results in 47 drawdowns ranging from 3000 to 7000 over 5 to 17 bars. How are the foregoing "normalized" to 36 months (formula?), and what number is produced as the DDmax? Thanks.
|
|
|
Re: Setting the Margin slider for Z strategies
[Re: DdlV]
#436094
01/19/14 17:49
01/19/14 17:49
|
Joined: Jun 2013
Posts: 1,609
DdlV
Serious User
|
Serious User
Joined: Jun 2013
Posts: 1,609
|
OK, I readily confess that paper is over my (current) head. But it is searchable and "normal" is nowhere within... Is there a "Readers Digest" version of how normalized drawdown is computed and how it compares to DDmax? Thanks.
|
|
|
|