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Ang,
Yes, we are thinking exactly the same. Rebalancing is just a work-around for a problem with the less-desirable approach anyway.
No, I am not a programmer. I run my own non-trading business that keeps my pretty busy during the week but I love trading and have found system development (and programming) a necessary component of that but it is only a means to an end for me.
The problem with #3 is exactly that. One of my current systems trade mean reversion on index futures, one is a short only system that trades equities, and one is a long-only system that trades equities.
Graham's approach still might work for the two equity based systems, I'll have to dig more into. There are some issues in that one is an EOD system that trades the open but the short only system sells the open and covers on the close of the same day so the trade delays and several other settings will need to be adjusted via code as well.
> 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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