|
PureBytes Links
Trading Reference Links
|
ang_60,
Duplicating the symbol data for each model is actually a very interesting idea. In my case that would be 12 x 27 = 324 symbols and 12 watchlists. Is there an easy way to duplicate a symbol? If I export, copy file, rename file, import, manually type in the symbol information (tick size, margin, point value), and manually add to a watchlist, I think I'm looking at about 2 minutes labor per symbol. That would be about 11 hours of setup where it's easy to make a mistake... One little mistake can lead to much more time trying to locate mis-typed symbol information or missing symbol in watchlist...
In addition to the 12 watchlists, I assume there would need to be a super-watchlist with all the symbols that would be specified for use by the portfolio back-tester.
Your excellent suggestion actually gives us a way to run multiple systems simutaneously on the same instruments (via different symbol names) without worrying about scaling-in and out or simultaneous long and short trades. I now have to decide if I want to take on the labor to set it all up and verify... I've read posts in the past of people running back-tests and explorations with hundreds of symbols so I assume AB can handle 324 symbols (I know it will be hardware dependent). AB uses so little resources with 27 symbols, I'm thinking 324 should not be a problem.
Many Thanks,
David
--- In amibroker@xxxxxxxxxxxxxxx, "ang_60" <ima_cons@xxx> wrote:
>
> >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.
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|