Re: Multi-symbol backtesting and optimization

["Bob Dice" <bobdice@xxxxxxxxxxxxxx>]

>I find that particularly negative to backtest some long-term-daily systems,
>for which I could have only a handful of signals for the entire 5 years
>historical period...Doing statistics on 3 or 4 trades...would not be of a
>great interest, would it ?
>
>Do any of you know of a method allowing to do some multi-stock backtesting
>and optimization and to bypass this structural limitation of Tradestation
??
>Any idea welcome...


I, too, have found this a limitation.

While not an ideal solution, one approach I use regularly for a number of
purposes (including multi-trade analysis) is to create an ASCII file using
the Easy Language "FileAppend" construct.

"FileAppend" provides the capability to write an ASCII (string) to a file...
concatenated to what was already in the file.  Development of the string and
end-of-record is your responsibility but is straightforward.
This tool enables one to format the ASCII file in such a way so as to be
importable to Excel (or virtually any other spreadsheet) for further
analysis.  I have used both space-delimited and comma-delimited files with
equal success.  With your computer background, you should find this quite
easy.

One example would be to write one record for each closed trade including the
relevant statistics and/or data you desire for additional analysis.  To get
you started, a sample might be something like:

 FileAppend("x:\Directory\Filename",
        GetSymbolName          +","+
        NumToStr(Date,0)        +","+
        NumToStr(Value1,0)    +","+
        NumToStr(Value2,2)    +","+
        .........                              +
        NewLine);

Hopefully, this helps...

-=Bob=-