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Re your portfolio model:
You are still allocating a % of your funds to each system although you don't think of it in that way e.g.
(assuming that SysA and SysB generate 30 signals each for 'today').
systemA = 30 sym * 1.66% position size == 49.8% of TotalEquity to A
systemB = 30 sym * 1.66% position size == 49.8% of TotalEquity to B
cash (the balance) == 0.4%
Generally we are discussing the possibility that other allocations might produce a better outcome, in the long run, and also that the combination of systems that works the best isn't necessarily the systems that are individually the best (hence the objective function used to select the 'best' systems for inclusion in a portfolio may be different to those used to select standalone systems).
--- In amibroker@xxxxxxxxxxxxxxx, "Paolo Cavatore" <pcavatore@xxx> wrote:
>
> 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@> 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@>
> > 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.
> > >
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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
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TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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