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Title: An Automation/Backtesting Challenge
I have an EOD day procedure that is Tedious/Error-prone to operate. I would like to automate this system but do not want to take time away from my primary project to study OLE/CBT. I also would like to Backtest this system, if possible.
If you can help me then perhaps I can return the favor by writing some afl for you. Consider it bartering. Publicly or privately.
1) THE DAILY TRADING PROCEDURE:
The AFL is working, I am using it, I only need high level OLE automation code that I can call from the AB Tool's menu. For example:
DailyProcedure()
{
Initialize( initAFLFile ) // This afl could be included in the first exploration
Explore( ExploreAFL1, Startdate, Enddate ) // Other options are set, and data/WL is saved, in afl
BackTest( SysAFL1, StartDate, Enddate ) // Other options are set, and data/WL is saved, in afl
BackTest( SysAFL2, StartDate, Enddate ) // Backtests use CBT to collect/save a number of performance metrics
BackTest( SysAFL3, StartDate, Enddate )
BackTest( SysAFL4, StartDate, Enddate )
...
Explore( ExploreAFL2, StartDate, Enddate ) // This step sorts and populate the final trading WLs with n tickers from each system.
}
It would seem that only two OLE functions are required. The idea is that i can call these functions in any order.
I take care of exports, Watchlist maintenance, and settings in my afl code.
As always, if/when this gets implemented, some other requirements may show up and follow-up support me be needed.
2) BACKTESTING
This would involve calling the above procedure bar by bar to create daily trading lists. This step may involve the WalkForward Backtester that calls the OLE, and/or CBT. I have no idea if this is possible and where to start with this.
Any help or suggestions would be appreciated,
herman
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