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Tomasz,
Re The Matrix Backtester versus AB's "Old Backtester"
I don't think the old version of AB's BT does the same thing as my template (on an apples for apples comparison).
When I run the "Old Backtester" on my test data it returns the same number of trades as the "Individual Backtest" BT version, whereas in my version I get a larger number of trades (because my look forward 'cheating' counts any trades that occur while I am theoretically already in a trade).
Anyway, I won't report back on blow by blow comparisons, or cross comparisons with any of AB's Backtesters..... I am just sharing some ideas and some code ... anyone who is interested can so their own thinking and perform their own checks.
Collecting all of the trades, on a symbol by symbol basis (a TradeMatrix), is not The Matrix Backtester or even a Matrix Backtester ... it is only a pre-requisite i.e. the input that a MB requires.
The Trade Matrix (still the same whatever it is called) can also be used for other analyses, besides Protfolio Modeling, within or without AB.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Tomasz,
>
> Thanks.
>
> I hadn't noticed that.... I will have a close look at what you did there (of course I am learning from your examples and benchmarking against them, as the starting point).
>
> It is still good training..... also I want to extend it further so I need to walk through it from the ground up plus have control of everything as I go along.
>
> In the end, if the old Backtester does everything I want, then it will be easier for me to use that, rather than maintain my own code.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@> wrote:
> >
> > Brian,
> >
> > >>whereas AB's default BT is limited to reporting on a % of all trades.
> >
> > Not true.
> > What you are trying with your "dream matrix backtester" seems to be actually
> > what so called "old backtester" did 10+ years ago.
> >
> > The old backtester simply took all trades regardless of portfolio limitations
> > (virtually traded each symbol in its seprate virtual account).
> >
> > Old backtester is still accessible usign drop down arrow on the "Backtest"
> > and "Optimize" buttons in the AA window.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "brian_z111" <brian_z111@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, July 11, 2009 3:14 AM
> > Subject: [amibroker] Re: Multiple Strategy System
> >
> >
> > > 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@> 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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>
------------------------------------
**** IMPORTANT PLEASE READ ****
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