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--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> 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
>
Hi everybody,
maybe it's just me but I think this is a great discussion.
Just some thoughts:
1) when you use just "one equity pool", you don't assigne X% of capital to system A and Y% of capital to System B: so, there's no need to rebalance anything.
You start applying position sizing rules to your entire capital as soon as Sistem A, B, .... N gives you a signal.
You need to rebalance only when you start dividing your trading capital from the N system which - I concur wuth Hicks - is a less efficient way to use your money (providing both your systems have positive expectation)
2) That's the very same reason you cannot simply add N equity curve to do portfolio testing.... because when mixing in one account (as in the real life) signal from system A and system B AND increasing trading size with the closed profits, it's mandatory to take into account the chronological order of the combined series of trades.
3) Hicks, I'm pretty sure Graham can do it (provided you don't want to run system A on database A and System B on database B.... ).... but if you are a bit like me (I'm not a programmer turned trader..... I'm an investor that thinks his daytime is better spent when I'm not programming.... ) maybe you will find his code a little complicated, would any further manipulation be needed from you.
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