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Thanks D,
Thanks for the references. It seems as if the subject lines of these are never very intuitive for searching.
The Feb 25, 2009 post has some pertinent info but doesn't quite solve the issue. If I had 1 long + 1 short system, i know how it would be done but I am still not sure how to handle it with multiple long systems, or multiple short systems.
For example, say there are 4 system, one that trades long and short the SPY, another system that buys dips on high RS equities, another system that shorts failed breakouts, and a long only system that buys when there is a full moon (these are only hypothetical).
Each of these 4 systems might has their own entry, exit and position sizing rules and I'd like to be able to test the cumulative totals of these 4 systems trading from the same equity pool (and staying more fully invested as a result) rather than running each partially invested with their own equity pool.
I am learning my way around the custom backtester so I am not afraid to go there if need be. I have mentioned this in previous post but I am in the process of migrating over from Traders Studio and this is one of the last "big" issues left to tackle.
Thanks again for your time. I fully understand it is everyone's most precious commodity.
--- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@xxx> wrote:
>
> Look for these:
>
> Mar 16, 2009 - two backtest questions
>
> Feb 25, 2009 - How do two systems with two different positionsizes in one
> afl?
> here: http://finance.groups.yahoo.com/group/amibroker/messages
>
> d
>
> On Sat, May 2, 2009 at 3:32 PM, bh.hicks <bh.hicks@xxx> wrote:
>
> > Thank you for your suggestion. While I am certain my Googling skills could
> > use some improvement, I'm sure you will be pleased to know I searched
> > through over 1500 post yesterday looking for this information. Perhaps you
> > could offer some more specific search criteria?
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@> wrote:
> > >
> > > This has been asked many times - suggest you search/browse the forum
> > list.
> > >
> > > d
> > >
> > > On Sat, May 2, 2009 at 2:05 PM, bh.hicks <bh.hicks@> 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@> 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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> > > >
> > >
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
> > This group is for the discussion between users only.
> > This is *NOT* technical support channel.
> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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