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I'd like to stress again what I wrote in http://finance.groups.yahoo.com/group/amibroker/message/137973
There are 2 important linked points
1. the same logic used in portfolio backtesting should be used in multi-systems portfolio backtesting.
Different average holding periods are therefore not an issue since even with a single-system portfolio I can hold a position much longer than another but that position is not preventing the system to trade other names with lower holding periods WHEN USING PROPER POSITION SIZE.
2. you don't assigne X% of capital to system A and Y% of capital to System B so there is no need to rebalance anything.
I should assign a proper positionsize of the equity line every time I get a signal whatever system it comes from - for instance I can always take a 2% position on every signal no matter if it comes from system A or B if I'm not supposed to potentially get more than 50 signals at the same time.
I can even use different position size for each system but what is important is to never reach 100% of the equity when all signals could take place at the same time.
Let me make a simple example that can clarify my view on this.
Let's say I have 2 systems applied to a universe of 30 stocks.
I must use a proper PositionSize (this is essential), in this case SetPositionSize( 100/(30*2), spsPercentOfEquity) = 1.66% of the equity poll and no system will prevail on the other whatever holding period they have.
I hope this can help,
paolo
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> As I wrote it is not technical problem but human problem.
> The problem of understanding.
>
> You simply don't see that there is BIG difference between:
>
> a) multiple-system on individual symbols
> which is currently possible and quite easy in fact
> and described back in 2006
> http://www.amibroker.com/kb/2006/09/29/how-to-set-individual-trading-rules-for-symbols-in-the-same-backtest/
>
> b) multiple-system portfolio backtesting where portfolios have more than one symbol and
> possible overlap between symbols traded.
>
> In this case you MUST resolve problem on *when* and *how* to rebalance positions between systems.
> Without that you would end up with trading only "winning" system after some time, because worse
> systems would run out of money. Why? Simply because if winning system does not go to the cash
> but opens other positions or reverses positions the other systems would not get the chance
> to use the cash from winning trades of the other system, because at the time when worse
> systems want to open positions, the cash from winning system would be allocated to the new
> trades of winning system, simply because entry/exit moments are (in most cases) not synchronized between systems.
>
> Therefore one needs to have a method of reallocating equity to restore original allocation percentages
> between symbols. The simplest method to do is to rebalance periodically. For example quarterly.
> You can close all open positions quarterly and then re-open them with corrected position sizes
> to reflect ideal (desired) balance between systems.
>
> But that is just one (simplest) method of doing rebalancing different system portfolios.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "benoitek1" <benoit.marchand@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, May 07, 2009 12:00 PM
> Subject: [amibroker] Re: testing multiple systems simultaneously
>
>
> > 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@> 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.
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** 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
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> >
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> >
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> >
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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
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