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Hi all,
I also do believe that this question is easy to deal with. I do believe that because I (badly) did it as I showed in a previous post (http://finance.groups.yahoo.com/group/amibroker/message/137900).
An integrated solution made by Tomasz could consist in :
1. adding an afl function "addSystem (<ts_afl_main_file>,TsPositionScore)" to add all the independant Trading System (TS) to make THE Multiple Trading System. The TsPositionScore is a global PositionScore attached to each TS. I attached an associated afl sample below.
2. adding a MultipleSystemBacktest which would consist in :
2.1 backtesting each system independantly and storing all the issued Buy/Sell signals (rather than the trades themselves) with their associated Buy/SellPrice and their PositionScore as coded in the TS.
2.2 backtesting the stored signals using as PositionScore a composite PositionScore (MtsPositionScore) based on the TS PositionScore (the one you know) and the TsPositionScore (the one globally attached to TS)
I feel like Tomasz is almost ready to go ahead :-). Could we all of us try to converge to completly convince him ? (ie could we all of us discuss on a concrete implementation rather than philosophiing on the concept - which is very nice sometimes but also slows down the execution some other times)
----MultipleTradingSystem afl code---
addSystem (..\TrendFollower\ts1_main.afl,1)
addSystem (..\MaCrossing\ts3_main.afl,2)
addSystem (..\Reverse\DDOptimized\ts2_main.afl,3)
----end of MultipleTradingSystem afl code---
To be complete on what I've done, I did not find THE optimized equation to generate the MtsPositionScore. But I'm sure this is just due to my personal limitations ;-)
--- In amibroker@xxxxxxxxxxxxxxx, "Paolo Cavatore" <pcavatore@xxx> wrote:
>
> First of all I'd like to say this discussion is very interesting and a key point according to me.
>
> Secondly I do believe the issue is much easier than what many are suggesting.
> Multiple Systems testing should be considered with the same logic that Portfolio backtesting is using with underlying securities.
> Therefore I believe a new AB feature would be required. This feature should ask the user which AFL systems combine and then the user can simply use standard Portfolio functions like:
> -PositionSize (this would take care of Sizing each position and could be tied up to each single system)
> -PositionScore (this would take care of multiple signals coming from different systems)
> -MaxOpenPositions (to avoid having several open positions due to different systems giving a signal at the same time)
>
> Furthermore I fully agree with ang_60 that 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.
>
> I cannot imagine anything easier than that and there wouldn't be any need to rebalance actually.
>
> paolo
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> 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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