The difference between pow(0.9) and pow(1) in the backtest is marginal.
Thanks, as I understand the new Z9 is heavily focused on reinvestments because difference between pow(0.9) and pow(1) will be not so big: not much to withdraw.
Also I have a question about a margin call conditions. Below is a piece of Z9_test.log and a first trade:
TLT 1.00 0 -> 123
[TLT::L2301] Long 123@81.06330 at 00:00:00
Vol $9973 Bonds $9973 Margin 4986 Levg 2.0
[424: Thu 08-09-18 00:00] 5000 +51.50 1/0 (81.83)
[425: Fri 08-09-19 00:00] 5000 -94.87 0/1 (81.04)
[426: Mon 08-09-22 00:00] 5000 -409 0/1 (77.65)
[427: Tue 08-09-23 00:00] 5000 -410 0/1 (76.88)
[428: Wed 08-09-24 00:00] 5000 -446 0/1 (77.45)
To avoid margin call MarginVal should be < Equity.
MarginVal on [428: Wed 08-09-24 00:00] equals (9973 - 446) * 0.5 = 4763.5, where 9973 - volume , 446 - open loss, 0.5 - 50% margin requirement.
Equity on [428: Wed 08-09-24 00:00] equals 5000 - 446 = 4554, where 5000 - current balance, 446 - open loss.
In this case Equity(4554) < MarginVal(4763). So, it's a margin call.
I wonder where my calculation are wrong?
