0 registered members (),
1,173
guests, and 0
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Capital slider and required capital for Z systems
#469761
12/06/17 19:30
12/06/17 19:30
|
Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
|
OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
|
Hello, I am trying to understand capital and required capital for Z systems (Z8 and Z9 to be exact). Let's say capital = 5000. Run a test. Perf report gives us Required capital = 5400.
As I understand, I should run the system live with capital slider = 5000. However, I should deposit at least 5400 to the broker account. Right?
What's the recommended amount in case of Z9. Is it twice the required capital? Or 10800 is too much?
Do Z systems notify in case of a margin call?
Last edited by kujo; 12/06/17 19:35.
|
|
|
Re: Capital slider and required capital for Z systems
[Re: DMB]
#469862
12/12/17 01:06
12/12/17 01:06
|
Joined: Dec 2017
Posts: 129 Halifax, NS
kujo
OP
Member
|
OP
Member
Joined: Dec 2017
Posts: 129
Halifax, NS
|
Think of the Required capital as the largest historical drawdown, because that is what it is. Then ask yourself how much pain am I willing to experience as I go through this drawdown again. And worse, since statistically, a larger drawdown is in the future.
Let's say you are will thing to sit through a 20% draw down. Then if $5400 is 20% of your account, then you need to deposit $27,000.
So now you can take the annual return amount from your backtest and divide that by $27,000 to get your roughly calculated real ROI. Just think about that a little.
Just take some time to understand what Required Capital (aka maximum drawdown) is and how that affects you risk profile and drawdown tolerance. Thank you for the comments and I agree with the concept. However, I believe that Required Capital is maximum DD (normalized) + maximum open margin. Not only the maximum DD. So, depositing 27,000 is a way to much...
|
|
|
Re: Capital slider and required capital for Z systems
[Re: jcl]
#470002
12/18/17 19:11
12/18/17 19:11
|
Joined: Jun 2013
Posts: 1,609
DdlV
Serious User
|
Serious User
Joined: Jun 2013
Posts: 1,609
|
Hi jcl. Doesn't this mean "The Z Strategies" page in the manual has become misleading with the introduction of Z8/9? I.e., for Z1/2/3/7/12 which trade Forex/CFD if it's recommended that Tested CRequired should be exceeded by, say, increasing it to 2X to get a CRecommended, shouldn't that be listed in the comparison table and the Tested AR be then divided by that same 2X to get to a True AR? Which then compares apples-to-apples to the Z8/9 AR? Something like:
System Z1/2/3/7/12 Z8/9
Test CR 1000 1000
Safety Factor 2 1
CRecommended 2000 1000
Test AR 100% 35%
True AR 50% 35%
Thanks.
|
|
|
|