Re: [amibroker] Re: testing multiple systems simultaneously, AmiBroker Email List Archive

On Sat, May 2, 2009 at 2:05 PM, bh.hicks <bh.hicks@xxxxxxxxx> wrote:

I wanted to take a minute to elaborate on this a bit...

The way I currently do this in excel is to split equity out based on the number of systems I am trading and run each system one independently. I then export daily equity amounts into excel and add simply add them together to examine the composite results. For example, if testing 4 systems with $500,000 in starting equity, I would run each system with $125k in starting equity and then combine their results.

The main drawback to this approach is that I use percent risk position sizing and am rarely fully invested in a single system. By combining multiple systems together in AB, it would allow each system to draw from the same equity pool and more complex position scores could be created that allow the system to choose perhaps from the most profitable strategy in the event the multiple system approach ever becomes fully invested.

--- In amibroker@xxxxxxxxxxxxxxx, "bh.hicks" <bh.hicks@xxx> wrote:
>
> I am basically looking for a way to have AmiBroker run multiple systems concurrently in order to examine how trading multiple non-correlated strategies affect drawdowns. I think if there was a way to "name" an entry condition so that stops and position sizing rules could be applied to a particular entry criteria, it would be possible to do without too many changes to AB architecture.
>
> I can already do this in excel using exported equity curves but it would be nice to be able to do this internally so that the optimizer engine could be exploited.
>
> Is anyone aware of a technique to do this and if not, is this something others would find useful if integrated into a future version?
>
> As always - thank you.
>

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