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Wondering if anyone has any success coding a multi-system backtest.
I'm running into an interesting situation.
AFL outline for this test would be something like:
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System1 Code (Buy/Sell Signals)
System2 Code (Buy/Sell Signals)
// In order to sort out multiple signals in multiple symbols...
// ... determine which to trade.
PositionScore = (System1PositionScore * Weight1) +
(System2PositionScore * Weight2);
Buy = System1BuyConds OR System2BuyConds;
Sell = System1SellConds (if bought with sys1) OR System2SellConds (if
bought with sys2)
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I'm having trouble making sure that my exits are matched with the
entries. ie I don't want a trade that was entered with System1 to be
exited by exit from System2, and vice versa.
I've tried using the Flip function as in:
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Sys1Flip = Flip(Sys1Buy, Sys1Sell);
Sell = (Sys1Sell AND Sys1Flip) or (Sys2Sell AND Sys2Flip);
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But this doesn't work for this pattern of signals: Sys1Buy, Sys2Buy,
Sys2Sell.
Now maybe I'm streching too much, but I'm trying to see if I can
developed a combination system for (a) Going Long with Trends and (b)
Grabbing Swings during sideways movement.
- Does anyone have experience with putting something like this together?
- Does anyone know of potential pitfalls with approaching this way?
Thanks,
Chris
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