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[amibroker] Re: Multiple Strategy System



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Dave, Sanjay, interested parties.

Dave,

Looks like you are a happy camper with your new gear.
This post is not specifically for you ... I put it here because it is topical to the subject and some other recent posts:

- it uses a cheats version of recursive formulation (equivalent to Metastocks PREV in this example)
- it creates CSV files, (potentially) of all system signals as trades (expressed as GrowthFactor) .... suitable for exporting to software for external analysis of systems, mutiple systems and portfolio analysis
- potentially it can be used for the same, within AB.

Sanjay,

The code has a few different possibilities, depending on what code is active or commented out and where it is used. ProfitStops% with StopLoss% make a very good tool for studying and testing the basics of using stops in general (maybe I will elaborate at the zboard, in the future, but time is always limited).

The file is only intended as a template that can be used as the basis for extending into other stop types and on towards advanced analysis.
It is a transparent version of what is happening in AB'S Backtester except that it does not involve Money Management and potentially it can collect all trades, whereas AB's default BT is limited to reporting on a % of all trades.
I think it can also report on intraday trade returns if necessary.

Scroll down to find the AFL file B_TestMultiSignals_ABVersion.txt at this site:

http://zboard.wordpress.com/downloads/

The MatrixBacktester is a big dream.
Big dreams necessarily have to start with a first limited step.

 "It must be considered that there is nothing more difficult to carry out nor more doubtful of success nor more dangerous to handle than to initiate a new order of things; for the reformer has enemies in all those who profit by the old order, and only lukewarm defenders in all those who would profit by the new order; this lukewarmness arising partly from the incredulity of mankind who does not truly believe in anything new until they actually have experience of it".  


Machiavelli



KEYWORDS

MATRIX BACKTESTER
SIMULTANEOUS TRADES
TRADE SERIES
TRADE RETURNS
EQUITY CURVE ANALYSIS
TRADE DEPENDENCY
MULTIPLE SYSTEM ANALYSIS
INTRA DATABASE ANALYSIS
TRADE SERIES VARIANCE
CORE METRIC EVALUATION

--- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@xxx> wrote:
>
> A little advice for anyone in the future that decides to duplicate symbols as a way to back-test multiple systems; make sure you set the "Max. Open Positions" in the back-tester settings (Portfolio tab) to a number large enough to accommodate all the duplicated symbols (e.g # systems times # symbols).  Duh..., I've wasted more hours than I care to admit trying to figure out why my combined systems produced output significantly different than what I would expect based on the individual systems. 
> 
> Regards,
> 
> David
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "dbwyatt_1999" <dbw451@> wrote:
> >
> > Brian,
> > 
> > I've done a some prototyping of the duplicating symbol process for running multiple strategies.  It turns out, as Angelo pointed out in an earlier post, that duplicating and renaming exported symbol text files for import is not much of an issue.  I've found several programs that can rename all the files at one time (much like I could do using wild chars in DOS 20 years ago...).  Importing the symbols back into AB is also fairly easy because multiple import files can be specified at once.  Thus, the most time consuming task is the manual entering the symbol information like margin, tick size, and point value since unlike stocks, with futures most of the symbols have different values.  I'm not going to dwell on how best to duplicate symbols too much because it's generally a do once process.  By the time I can automate the process, I can probably do it manually.
> > 
> > BTW, I'm still verifying the idea of combining multiple systems using duplicate symbols.  I'm testing it with 2 systems and so far the results appear to be correct.
> > 
> > Regards,
> > 
> > David
> > 
> >
>




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