Stock Borrowing Interest Cost for Short Sell Order in Enhanced System Tester.

Please consider incoporating function on borrowing interest for stock in EST in patching and future release version.

I first encountered this problem when using the ready-made "Equis - MACD - Expert System" formula given in the Enhanced System Tester. The simulation is based on EOD trade. The length of the shorting trade is governed by MACD signals according to the given formula.

Regarding the stock borrowing interests, it calculated on daily closing price.

An example given by a Hong Kong Broker for stock borrowing cost for 10,000 shares on ABC Company at 8% annual interest, the stock borrowing cost for 6 days from Monday to next Monday (inclusively) is illustrated as follows:-

DAY 1 - Mon Closed Price = $100 * 10,000 share * 8% / 365 = $219

DAY 2 - Tue Closed Price = $110 * 10,000 share *8% / 365 = $241

DAY 3 - Wed Closed Price = $110 * 10,000 share *8% / 365 = $241

DAY 4 - Thr Closed Price = $110 * 10,000 share *8% / 365 = $241

DAY 5 - Fri Closed Price = $110 * 10,000 share *8% / 365 = $241

DAY 6 - Sat Closed Price (as Fri) = $110 * 10,000 share *8% / 365 = $241

DAY 7 - Sun Closed Price (as Fri) = $110 * 10,000 share *8% / 365 = $241

DAY 8 - Mon Closed Price = $120 * 10,000 share *8% / 365 = $263

Total Interest Incurred from Stock Borrow charging by Broker = $219 x 1d + $241 x 6d + $263 x 1d = $1928.

Thank you

BH2007

2013-02-22