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I am currently developing & backtesting my trading systems on stocks
EOD data and up to several years back.
I'd like to backtest a trading system like for living, i.e to
simulate cash withdrawal in reccuring periods if there is any profit,
of course.
Is there any way to code it with AFL, say the following way :
1. At the end of a distinct period = Param( month, quarter or year) I
check whether there is any profit during this period
2. If so, I will set my "Period Salary" as Cash Withdrawal = Param
(percent Of Profit).
3. If I can't withdraw all that amount due to current lack of cash ->
I'll wait for some period = Param( # of days ) and don't open any
new position while checking whether I can withdraw an extra cash by
closing currently opened and profiting position(s) just only after my
trading system send a signal to close it.
4. I then make a record on cash withdrawal and begin opening new
positions according to available cash and gradual position closing
like with plain system backtesting.
Does anyone have an idea to code it ?
Thanks
Svatopluk
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