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The thing about multi system is that you must use CBT. No trades are
generated in the first pass AFL, ie buy=sell=short=cover=0;
I have my way of doing it by passing the individual signals and trade
prices of each system to the CBT via composites, although I believe
new beta has this using staticvarset but would need to check the
memory usage for this. The systems trades then need to be controlled
totally in CBT maintaining the equity and cash available per system.
eg if one system does not have enough cash assigned to it then the
entry does not happen
I do not say it is easy as each system must have the symbols open
trades list controlled etc.
The trades are all controlled in CBT by looping through symbol lists
and reading the signal requirements from the foreign composites.
Entries generally the full list, and exits from open trades through
list of open trades for each system.
I mentioned in earlier post that it is all a matter of juggling
everything and starting with sound flow logic charts for every step.
Then if you want any metrics per system you must calculate these from
basic formula.
--
Cheers
Graham Kav
AFL Writing Service
http://www.aflwriting.com
2009/5/13 ang_60 <ima_cons@xxxxxxxx>:
> --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@xxx> wrote:
>>
>> Surprised that nobody seems to have suggested modern portfolio theory (MPT) in this context (I may have missed something.)
>
>
>
> Hi vlanshot,
>
> I'm not surprised as this thread started asking how to program multisystem in current AFL language, and especially how to match buy1, 2, ... N with sell1, 2, ...N
>
> When - and only WHEN - I will be able to do it with Amibroker, I will start to test if your mostly welcomed comments (and Brian's and Howard's and.... all other) on MPT...Vince.. whatever ....could add value at what I'm already thinking or not (I'd bet no, but this is really another thread's subject)
>
> Gretings,
>
> Angelo.
>
>
>
>
>
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