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Tomasz,
Is there a way I could optimize() PostionSize for both strategies simultaneously e.g. when Strategy 1 is invested with 1% of Portfolio then Strategy 2 is invested with the balance of the account i.e. 99% and so on for all values or a selected range of values?
I am not sure where to put the optimize statement or if I can even do that.
Do you see any value in me doing that kind of opt?
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> Hello,
>
> Exactly, if watch lists (or groups of symbols trading different systems) are mutually exclusive
> then simple if-else does the job.
>
> Slightly extending Mike's example:
>
> if (InWatchList(1))
> {
> // Strategy 1 here
> buy = ...
> sell = ...
> short = ...
> cover = ...
> SetPositionSize( ... );
> }
> else
> if (InWatchList(2))
> {
> // Strategy 2
> buy = ...
> sell = ...
> short = ...
> cover = ...
> SetPositionSize( ... );
> }
>
>
> The only case when things can get complex is when you want to trade more than one system
> on very same symbol (i.e. that two or more systems open simultaneous/overlapping positions on same symbol).
>
> Position sizing can be applied without custom backtester for many cases (dollar value, % of portfolio equity, specific number of
> shares)
> using SetPositionSize function http://www.amibroker.com/f?setpositionsize
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Mike" <sfclimbers@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, July 06, 2009 10:29 AM
> Subject: [amibroker] Re: Multiple Strategy System
>
>
> > 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
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
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> > This is *NOT* technical support channel.
> >
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> >
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> >
> >
> >
>
------------------------------------
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