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Hi Brian,
Below are responses to your post:
> I assume you mean 12 systems?
Yes, 12 systems; I use the terms system and model interchangeably.
> So you are running all 12 systems over the same data and timeframe to get the trade series for each?
I run all 12 systems are over the same portfolio of data. I have a primary timeframe, but I'm evaluating several timeframes.
> Are you collecting the trade series as $, points or %?
I'm not sure what you mean. I think of trades as instruments, entries, exits (stop and sometimes a target), and trade sizes. Dollars, points, and percentages are different views of the trade output. I personally prefer comparing percentages than absolute dollars or points because when working with futures, each instrument can have a different tick size, point value, and margin.
> How do you export to a database?
>From Automatic Analysis, File->Export creates a comma separated file that can be imported into a database table. I use MS Access primarily because I have it available in my version of MS Office.
> Do you find that open trade drawdown is important?
When trading futures, open trade drawdown is very important because trades are "marked-to-market" every day. Margin requirements must be met each day for overnight positions.
Regards,
David
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Hello David,
>
> Thanks for keepting discussion on this issue going.
>
> I tried MSA a few years back .... thought it was one of the better tools around. It seems to have developed a bit since then.
>
> It has been reported in this forum before (as a MonteCarlo tool).
>
>
> A couple of questions to help me with my own private efforts:
>
> > I faced the same issue except I have 12 models
>
> I assume you mean 12 systems?
>
> > I decided to run my models separately in AmiBroker and then export the trades to a database.
>
> So you are running all 12 systems over the same data and timeframe to get the trade series for each?
>
> Are you collecting the trade series as $, points or %?
>
> How do you export to a database?
>
> Which database?
>
> >The caveat is that MSA uses trade information for all it's >statistics and has no knowledge of the chart data used to create >those trades.
>
> IMO using mathematical models, based on the trade series, considered as the return of the investment, is the best way to compare portfolio outcomes. As Howard pointed out in one of his posts, we do have to be very careful when making assumptions based on non-correlation because it can disapear quite quickly (I believe non - correlation, between instruments and markets etc, has been falling, over the last decade or two, because of the growth in algorithmic trading and/or analysis.)
>
> >So statistics like Max System Drawdown are different than the much >more accurate AmiBroker MDD because AmiBroker can look at each chart >bar and determine the actual intra-trade MDD while MSA only knows >the entry and exit prices of each trade.
>
> Do you find that open trade drawdown is important?
> I tend to think that it is irrelevant if the system uses stops .... any intratrade loss must always be less than the stop loss or the trade would have closed, on stop?
>
> I am also inclined to the view that intratrade equity is a hypothetical figure ... the outcome of the trade isn't known until it is closed.
>
>
>
>
> Here is the link to Howard's post that I referred to prev.
> He says that he is including Portfolio Construction in his next book (Advanced AB) ... due out at the end of 09.
>
> http://finance.groups.yahoo.com/group/amibroker/message/138075
>
>
> KEYWORDS
>
> OPTIMAL PORTFOLIO CONSTRUCTION MODELING
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
> >
> > Soham,
> >
> > I faced the same issue except I have 12 models that use a portfolio of 27 futures instruments. The issues involved with running multiple systems simultaneously are much more difficult than dividing the system logic by symbols or watchlists. For example because you are considering trending and counter-trending systems, there is the possibility of being long and short in the same instrument in two separate models each with a different trade size. I tried combining my models in AmiBroker, but my custom stop handling and dynamic position sizing just became a nightmare to manage. After reading through most of the multiple systems threads on this forum, I started thinking about alternative solutions.
> >
> > I decided to run my models separately in AmiBroker and then export the trades to a database. From there I would write a simplistic back-tester that would step through the combined trades, recalculating the trade quantities using a shared equity pool. At this point I did some googling to see if there was any Excel, or C# libraries, or any other software that would give me a simplistic back-tester framework. I thought about feeding the trades back into AmiBroker as signals, but that would amount to a lot of AFL code to handle the models by scaling in and out positions with the possibility of managing long and short positions simultaneously. Also I want to vary the number and mix of models I test in the future, so the AFL programming would have to be generic which makes the task even more daunting.
> >
> > Anyways through my googling, I found a software product called Market System Analyzer by Adaptrade (www.adaptrade.com) that already had implemented the approach I was pursuing. The primary purpose of the MSA software is to explore position sizing models (all of which I think can be written in AmiBroker). I'm able to import my AmiBroker trades into the MSA software. MSA can treat my 12 models as a single portfolio and generate a combined equity curve and other back-tester statistics from a shared equity pool. It recalculates trade sizes (i.e. shares) based on the position sizing model selected. The caveat is that MSA uses trade information for all it's statistics and has no knowledge of the chart data used to create those trades. So statistics like Max System Drawdown are different than the much more accurate AmiBroker MDD because AmiBroker can look at each chart bar and determine the actual intra-trade MDD while MSA only knows the entry and exit prices of each trade.
> >
> > MSA has been a decent solution for me to fill a void that I wasn't able to complete with AmiBroker. Instead of spending days or weeks writing my own multiple system handling logic, within a few hours I had all my 35,000 trades loaded into MSA and was creating the combined system statistics I was after all without any programming (other than a database query to export the AmiBroker trades by symbol into an MSA import format).
> >
> > I'm weary to bring up another software product on the AmiBroker user forum especially since AB can do about 90% of what MSA does, but in this case I have not found anything posted that has given me a doable solution to combining multiple back-testing trading systems.
> >
> > Best of luck with your system development.
> >
> > Regards,
> >
> > David
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> 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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