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Hello,
The main problem is not technical but "human" - i.e. I guess that everyone
that would be interested, would like to have rebalancing implemented differently.
The devil is always in the details.
So, let us discuss *your* preference. Let assume the following:
a) we have 2 systems, and initially system A gets 60% of initial equity
and system B gets 40% of initial equity
b) system A is making trade every 2 days and is losing on average 1%
per trade
c) system B is making trade every 3 days and is gaining on average 2%
per trade
Now, the rebalancing, the way you like it:
a) would it only occur when trade is closed or would it shrink/grow existing positions
everyday to maintain initial balance between systems ?
b) if rebalancing occurs only when trade is closed, how would money
be divided ? Just spread the cash to maintain 60/40% balance in cash? (this will
inevitably lead to inbalance in equity) or to maintain 60/40% in equity (cash+positions)?
If latter is the case, what to do if already open position value is greater than target ?
Scale out ? Or allow inbalances till positions are closed ?
These questions barely scratch the surface.
As always things are much more complicated once you start thinking
how to do that in practice.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "bh.hicks" <bh.hicks@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, May 06, 2009 1:46 AM
Subject: [amibroker] Re: testing multiple systems simultaneously
> Tomasz,
> Thanks for the suggestion. That is the "old-school" way I have been doing it in excel but may of the drawbacks to that approach
> were discussed here...
>
> http://finance.groups.yahoo.com/group/amibroker/message/137869
>
> The basic flaw is that the equity pools are never rebalanced so if one system performs better than the other, the stronger system
> eventually dilutes the impact of the weaker one to the point where it basically has no effect.
>
> The real goal is to test multiple systems on the same equity pool so a higher percentage of available capital is deployed through
> diversified systems.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>>
>> To examine how multiple systems running concurrently affects drawdowns, you
>> can run your systems sequentially, save portfolio equity as explained in the Knowledge Base
>> http://www.amibroker.com/kb/2006/03/11/how-to-create-copy-of-portfolio-equity/
>> automatically as a composite
>> and later SUM equity curves afterwards and you will see resulting combined equity curve
>> and see the drawdown of such multiple -system setup.
>>
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "ang_60" <ima_cons@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Tuesday, May 05, 2009 11:04 AM
>> Subject: [amibroker] Re: testing multiple systems simultaneously
>>
>>
>> > --- 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.
>> >
>> >
>> > As you are migrating from another software I happen to know a bit, the short answer: as of today, Amibroker is not capable of
>> > "built in multiple systems testing" as TraderStudio's trading plan approach.
>> >
>> > This matter was raised long ago by myself and others: if you are a registered user, you can check suggestion #406 in the
>> > feedback
>> > center, dated 16 August 2006.
>> >
>> > In this list you can find very good programmers, claiming they are able to get the multisystem/multimarket approach to work
>> > programming it by scratch, but - to my knowledge - I've never seen a public (that is.... free) code able to do what I think is
>> > needed (and that's includes the two links provided in this discussion).
>> >
>> > Just for clarity, this doesn't want to sound as a critic: I own TraderStudio too, but by now the software I most use for
>> > testing
>> > is - by far - Amibroker.
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> > ------------------------------------
>> >
>> > **** 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/
>
> 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/
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