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Angelo,
Some portfolio models can be implemented in AFL e.g. I have posted a basic template in the past that emulated the portfolio outcome (equity curve) for two simultaneous systems ... I did it in a chart pane.
It was very basic and accounted for closed trades only AND only allowed for one trade per symbol at a time AND assumed daily rebalancing.
I intended it as a starting point only ... I had no use for it at the time and so I stopped at the hard part.
(I don't know where it is now or what it was called).
Maybe it wasn't all that clever from a programming point of view but it did prove the point that I set out to prove i.e. that simultaneous trades can be accounted for by their ave ROC or a weighting thereof )this is the key to the easiest form of AFL implmentation.
However, the point is .... whether or not it can be done depends on the model you are using, and the complexity of that model.... how many systems you want to trade and on how many symbols and whether you are in RT or daily bars etc.
I invited discussion on other models because some may more be suitable for AFL than others and also appeal to some users more than others e.g. some models don't neccesitate balancing the account as if in 'real life' and still give you the correct answer.
Of course, if you don't believe in the model then you won't believe in the code either.
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> 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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