|
PureBytes Links
Trading Reference Links
|
I've been trying to look at my systems as a portfolio... Want to simulate
them all running in tandem, and them apply money management to the whole
thing. Also want to see how they correlate - do they put on positions at
the same time? How much would I lose if all the stops got hit at together?
It's worth investigating.
I tried setting up a master program where the bet size is calculated. The
idea from here was to call each individual system with an IncludeSystem
statement. TS doesn't allow you to pass variables to included systems (this
is lame) so I fed each one the correct bet size via the GlobPro DLL. So far
so good.
There's just one insidious problem. The systems being called are
unfortunately aware of each other. Among other things the exit statements
from a given system will operate on any contracts that are present, from
whatever system.
I spent all weekend rewriting the systems to get rid of all reference to
"Marketposition", Currentcontracts, Positionprofit and the like. Not good
enough. Then I attempted to set up a routine to count the contracts in each
system, and exit just the ideal amount of contracts using the "total"
qualifier. Too bad this doesn't solve the problem either. At this point
it's turning into a real kluge.
I'm sure hoping someone will know how to set this up. I guess my last
resort is to run the systems separately, on separate charts, and then to
combine the results in a spreadsheet. Not very cool. Isn't there a better way?
P.S I tried the Portfolio Manager program too. It's practically useless.
Can't even see how the positions overlap. And of course there's no way to
apply a money management algorithm. And no way to see where the stops are.
I'd say it's worth about 50 bucks, not 500.
Cheers!
|