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>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.
David (and all),
I knew about MSA. Version 3.0 is a great piece of software, but when you have a lot of models, there a lot of manual work. So, the best workaround I have found is to try not to export anything from Amibroker.
Say you have a portfolio of three symbols with daily data (note that for our purposes, the same symbol in a different timeframe act as a different symbol), for example SPY, QQQQ and IYJ.
Say you have also four models/systems: ts1, ts2, ts3 and ts4.
You have to COPY (*) every symbol in your portfolio in a new file changing a bit the name, for a number of times equals to the number of models.
In this example, at the end, you will have a database of 12 symbols? SPY, SPY2, SPY3, SPY4?.. QQQQ, QQQQ2?. and so on until IYJ4.
You create 4 watchlist (4 is the number of models?): watchlist1 is formed by SPY, QQQQ, and IYJ?. watchlist2 contains SPY2, QQQQ2, and IYJ2 ands so on .
Now you apply the code written by TJ in post #140035 and have removed the limitation of testing different systems only on different symbols but also on the SAME symbols.
Is this a definitive solution? By no means, in my language this is an unsatisfactory workaround.
Is it elegant? Noooooo, it's pretty stupid.
Are there limits? Of course this (implicitly) adopts the option of "different systems but just one drawer cash (as Hicks called it in the previous thread linked by Brian) so you are always rebalancing about winning and losing systems?.. even if you wouldn't do it.
Am I hoping on something better? Absolutely. I'm eagerly waiting Howard's next book?.. or a built in solution by TJ or?. whatever ?..
But?. and this is a big but?.. this don't require a single dedicated line of AFL?.. when you have programmed the models? it's done and I can get back to the markets.
The tricks is: have we just said that things get complicated when you have to open different position on the same symbol?.. and almost impossible to manage when the two positions are opposite?
So, the simplest solution is?. let AB thinks they are not on the same symbol?..
(*) this is based on an advice courtesy by Paul Ho (he explained me a smart trick to reproduce the "multisystem ? monosymbol" so easy to test with Tradestation). Thanks again Paul, you have not worked out a better AFL programmer from me, but were definitely useful.
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