> >
40yahoogroups.com>
> >
> > > >
> > > > > > *Sent:* Wed, February 10, 2010 2:18:41 PM
> > > > > > *Subject:* Re: [amibroker] Multiple Systems & Risk Mgmt in one
> > formula
> > > > > >
> > > > > >
> > > > > >
> > > > > > Setting different ranges of scores and buy-sell prices for
> > different
> > > > > > systems by simple IIF function may be a solution, at least lightens
> > the
> > > > > > problem I guess.
> > > > > >
> > > > > > 2010/2/10 B S bs2167@xxxxxx com <bs2167@>>
> > > >
> > > > > >
> > > > > >>
> > > > > >>
> > > > > >> Hi-
> > > > > >>
> > > > > >> I asked Marcin a question related to this earlier, but given the
> > > > > >> considerable interest in the past on this board regarding managing
> > > > multiple
> > > > > >> systems, I'd thought put some further thoughts here. My
> > understanding
> > > > of
> > > > > >> the conclusion reached during the last round of discussions was
> > that
> > > > each
> > > > > >> individual should use low-level CBT to accomplish their multiple
> > > > systems
> > > > > >> management goals. So I've done that, but in the end its of no
> > > > practical use
> > > > > >> because of the incredible number of static arrays that were
> > required
> > > > to do
> > > > > >> it - it 'works' on small samples/tests but the memory demands are
> > too
> > > > great
> > > > > >> for things that I'd actually use it for. As my objectives were
> > rather
> > > > > >> simple, I imagine that others are still wrestling with similar
> > issues.
> > > > > >>
> > > > > >> As an example, part of my plan was to limit the % of equity that
> > was
> > > > > >> employed by any one system at a given time. Therefore, while in
> > the
> > > > > >> backtester I needed to know which system or systems generated the
> > > > signal.
> > > > > >> So I started by creating a static array that i could later access
> > in
> > > > the
> > > > > >> CBT which contained flags (1,2,4,etc.) indicating which system or
> > > > systems it
> > > > > >> came from. However, because of the memory issues, I decided to
> > stuff
> > > > these
> > > > > >> flags into the positionsize property and just determine the actual
> > > > size
> > > > > >> later while looping through CBT. That allowed me to determine
> > which
> > > > systems
> > > > > >> signals were coming from, and then choose which model to allocate
> > the
> > > > trade
> > > > > >> to (in the event of multiple simultaneous signals), but I still
> > needed
> > > > to
> > > > > >> get the correct entry price. There could be as many entry prices
> > as I
> > > > have
> > > > > >> systems, and since I don't know which I'll be using until I get to
> > the
> > > > > >> backtester, I needed to store all of them - another static array.
> > This
> > > > > >> process continued like this and then it occurred to me that just
> > about
> > > > all
> > > > > >> of these issues would go away if I could just attach the
> > information I
> > > > > >> needed to the entry signal object. So for example, the user could
> > set
> > > > > >> PositionSize1, PositionSize2, PositionScore1, PositionScore2,
> > > > BuyPrice1,
> > > > > >> BuyPrice2, and so on...or perhaps just dummy variables... Dummy1,
> > > > Dummy2,
> > > > > >> etc.. I'm sure there's a memory cost to doing this, but it can't
> > be
> > > > > >> anything like storing all these static arrays (is this correct? i
> > > > really
> > > > > >> have no idea what i'm talking about). Also, I'm sure just making
> > these
> > > > > >> additional property slots available will come at some performance
> > > > cost, but
> > > > > >> perhaps adding them could be an option in settings.
> > > > > >>
> > > > > >> For all I know, editing the number of properties that can be
> > stored in
> > > > a
> > > > > >> signal object is already possible - is it? If not, do others think
> > > > this
> > > > > >> would be useful? Is there a better way of achieving the types of
> > > > things
> > > > > >> that I'm trying to do?
> > > > > >>
> > > > > >> Appreciate any dialogue whatsoever on this - have spent an
> > embarassing
> > > > > >> amount of time on it without much to show for it.
> > > > > >>
> > > > > >>
> > > > > >>
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