|
PureBytes Links
Trading Reference Links
|
Bravo Bob......brilliant solution.
As far as memory limits, this is probably practical only on
TS2000i....unless deployed as a DLL.
> -----Original Message-----
> From: Bob Fulks [mailto:bfulks@xxxxxxxxxxxx]
> Sent: Thursday, March 29, 2001 8:27 AM
> To: fritz@xxxxxxxx
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: Portfolio testing
>
>
> At 10:17 AM -0700 3/28/01, Gary Fritz wrote:
>
> >I want to do basket testing of N systems on M markets -- a
> >"portfolio" of systems/markets, for one account. Should be able to
> >handle any mix of systems, markets timeframes, etc. I want to be able
> >to automatically run the tests in parallel, have the option to
> >optimize them all simultaneously (i.e. test Param1 with a value X on
> >all systems, then a value X+1 on all systems, etc) or individually
> >(different value of Param1 on each system), see portfolio-level
> >statistics and equity curves, be able to add/subtract individual
> >tests to see how that affects the portfolio performance, etc.
> >
> >This TS's biggest weakness IMHO. If TS4 would do that, I'd have very
> >little need to move to any other platform. I've considered:
>
> I did something like this to trade a basket of 20 commodities with
> Aberration in TradeStation 4.0 once.
>
> You can use up to 30 data series and refer to them with an index
> such as in:
>
> for j = 1 to 30 begin
> Val = Close of data(j);
> end;
>
> so by being clever, you can usually rewrite your systems so that they
> could appear in such a loop.
>
> You need to do all the profit accounting in code rather than use
> TradeStation's accounting, since TradeStation can only trade on
> data1, but that is pretty easy.
>
> You need to define arrays to save the values for each market:
>
> Array:MP[20](0), nMP[20](0), ePrice[20](0), eDate[20](0),
> Num[20](0), nProfit[20](0), eRisk[20](0), rLim[20](0);
>
> Then you need to keep track of the values yourself:
>
> {------Update Accounting-----}
>
> MP[j] = nMP[j]; {Update market positions}
>
> {On an entry, save entry price and date}
> if (MP[j] = +1 or MP[j] = -1) and MP[j][1] = 0 then begin
> ePrice[j] = Open of data(j);
> eDate[j] = Date of data(j);
> end;
>
> {On ExitLong update statistics}
> if MP[j] = 0 and MP[j][1] = +1 then begin
> posProfit = Num[j] * (Open of data(j) - ePrice[j])
> * BigPointValue of data(j);
> nProfit[j] = nProfit[j] + posProfit;
> tProfit = tProfit + posProfit;
> if prTrSumm then
> Print(Date of data(j):8:0, EDate[j]:7:0, j:3:0, " XL",
> Num[j]:3:0, " ", GetSymbolName of data(j),
> Open of data(j):5:2, ePrice[j]:5:2, eRisk[j]:6:0,
> posProfit:6:0, nProfit[j]:8:0, tProfit:10:0);
> end;
>
> It is a lot of work but is fairly straightforward.
>
> If your trading system is complex, you will need to watch the memory
> usage in TradeStation 4.0 or use Include Systems.
>
> Bob Fulks
>
|