Re: Backtesting Tradingsystems and Moneymanagement

[tradeshark@xxxx]

Seems the links were not taken over properly by YHOO

here the link to WB script help, where you can find all the info :

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/changemenu?
page=WealthScript%20Help

--- In amibroker@xxxx, tradeshark@xxxx wrote:
> Hello Tomasz,
> I'd like to backtest a strategy, that not only includes particular 
> technical buy and sell signals, but also specific entry and exit 
> calculations and entry/ exit prices resulting from these 
calculations 
> ( comparable to the ones I posted here with my MM system ).
> 
> Is there a possibility, to add either ATR based stops ( profit and 
> loss ) to the backtesting settings or to include specific formulae 
in 
> the trading-system itself, which would override the settings in 
> backtesting ?
> I.e. in Omnitrader, you can set ATR based stops by defining 1. the 
> period to calculate ATR ( 1 - xxx days ) and 2.the range of ATR ( 
> i.e. 1.5 times or 2 times ).
> 
> This means, one can employ a trailing stop based on changing 
> conditions for volatility.
> 
> Furthermore, it would be great to have the possibility, to backtest 
> systems not only for a given account size, but on dynamic-
> positionsizing.
> 
> I.e. , my system is able to determine the optimum positionsize, 
based 
> on my risk rules and account size, for each security by using it's 
5 
> day or 10 day volatility range, stop-loss and profit targets.
> 
> This positionsize can vary considerably from day to day ( or week 
to 
> week ) and makes sometimes adjustments necessary in order to get 
the 
> best out of trade.
> 
> I have yet to find a software, that let's me backtest such a MM 
> system. I know, that wealthlab is able to do this and the formulae 
> look rather similar to AB's.
> 
> Here a few links to WB to demonstrate the functions I mean :
> 
> http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
> page=FnTradingSystem.htm
> 
> http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
> page=FnPositionManagement.htm
> 
> http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/getpage?
> page=SystemsCoding.htm
> 
> As for an example, here the kind of standardcode used in WB for Set 
> position data :
> n := CumDown( Bar, #Close, 4 );
> if n >= 9 then
> begin
> BuyAtMarket( Bar + 1, 5000 );
> SetPositionData( LastPosition, n );
> end;
> 
> I'd like to use now a formula which refers to my system at this 
> point :
> BuyAt(Result of my formula)( Bar + 1, ( result of my formula );
> 
> Do you think something like this would be possible in AB ?
> 
> best regards
> Stefan