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Have you guys read Vince .... the first book, chapter 6, "The Total Portfolio Approach"?
He gives a very good account of how to construct an optimal portfolio using system diversification ... it would be quite easy to implement in AB..... his mathematical modelling is quite straightforward..... basically he nets the (special case) period returns (as growth factor) of each system .... net (portfolio) geometric mean == reward and variance of the net (portfolio) geometric mean == risk.
He also discusses Markowitz and the Capital Asset Pricing model and briefly shows why the 'geometric mean portfolio strategy' is a valid extension of those models.
I'm not a Vince, or a portfolio, guru and I don't have the time for an in depth project at this stage ..... just some quick comments ... scanning your posts it seems that an understanding of the theory, or some portfolio theory, needs to precede the implementation ... IMO:
- each system should be optimized independently first
- systems should be standardised to a common time frame e.g. daily returns
- correlation of the period returns of the already optimised systems should be measured (how are you all doing that in AB?)
- the only optimisation that is done at the portfolio level is allocation of capital (this is done on an iterative basis in Vinces model).
- I find that Money Management combined with equity curve analysis (of any kind) is logically flawed because Money Management varies the outcomes e.g.
one trade series .... +10%,-10%;
start $100 -> 110,99;// a 1% loss of capital
start $100 -> 110, add 890 capital -> 900;//approx 10% loss of capital
- an account can never be fully invested unless we find the HolyGrail of systems?
Optimal f was developed specifically to minimise the drag on equity recovery caused by asymmetrical leverage i.e. it calculates the optimum staking to return equity to a postive state after the max loss has been encountered.
- if you want to reopt then you will need to recalc 'all of the above again'.
Out of curiosity ... are you finding it easy to come up with noncorrelated systems?
--- 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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