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Hello Soham,
We recently had a big discussion that revolved around this subject.
Mainly it involved a difference of opinion on what constitutes a PortfolioModel.
Any solution depends on what your objectives are with regard to your Porfolio and what mathematical formula models those objectives.
The only person who put up any code was Paul Ho ... it is in the AFL library .... refer to his post.
http://finance.groups.yahoo.com/group/amibroker/message/137834
Soon after that Howard discussed some Portfolio issues under his own topic ... I think I referenced it in the above thread (if not search for Howard and Portfolio around the same date).
I also posted some juvenile code, at an earlier date ... it was just intended as a demo example of the principle that the Portfolio returns == the weighted ave of the returns of the constituent systems (if followed through with better code it can lead to a working solution).
Note that the signals I used are rubbish and they are just there to produce a demo trade series to test the later code. I didn't allow for inclusion of open trades (there wasn't any interest in the example so I didn't carry on with working the code up to better versions).
http://finance.groups.yahoo.com/group/amibroker/message/128835
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> You could probably use the same technique as is used for pairs trading. Specifically, check for the name of the symbol and apply the applicable logic.
>
> http://finance.groups.yahoo.com/group/amibroker/message/134492
>
> If you don't want to have a bunch of if (Name() == ...)statements, you could probably add some symbols to watchlist1, the others to watchlist2, all of the above to watchlist3. Then use InWatchList() in your code instead of checking the name. You would run your backtst/optimization/etc. on watchlist3. The danger of that though is if you add a symbol to watchlist3 but forget to also add it to either watchlist1 or watchlist2.
>
> if (InWatchList(1)) {
> ... // Strategy 1
> } else if (InWatchList(2)) {
> ... // Strategy 2
> }
>
> Any custom money management would probably have to be implemented in custom backtester code.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Soham" <sohamdas@> wrote:
> >
> > Any help on this?
> > --- In amibroker@xxxxxxxxxxxxxxx, "Soham" <sohamdas@> wrote:
> > >
> > > Hello Everyone,
> > >
> > > I believe, I have seen this question here itself or one of its forms. But given the "fantastic" search results of Yahoo groups, I am posting this once again.
> > >
> > > Is there any method, to simulate multiple strategy on a portfolio level?For example, consider I want to use a trend following system for Cotton, Coffee, Copper, EuroDollars and FAZ. While, I want to "simultaneously" simulate a trend fading system for SPX,NDX and RYDER.
> > >
> > > Is there any way to do it?
> > >
> > > And very related to this stuff, the one possible way, I can think of is, using multithreaded programming. Is it possible? Interfacing say C# with Ami and handling the two strategies with their own money mgmt algos, and instruments etc?
> > >
> > > It is to be reminded that, they draw their "juice"[$$$] from the same account.
> > >
> > > Thanks, for any light on this
> > > Soham
> > >
> >
>
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