Combining systems

["Gary Fritz" <fritz@xxxxxxxx>]

I'd like to combine several systems together into one strategy.  
This would give me a better idea of how the two systems work 
together, give me unified statistics, make it possible to trade 
it on only one chart instead of two, etc. 

TS2k supports all kinds of things that make you *think* it should 
be easy, but as far as I can tell you can't do it without extra 
pain.

* TS supports "strategies" and "signals," and it's easy to add in 
different signals.  But the positions from one signal affect the 
positions initiated in other signals.

* TS supports named entries, so you can exit from a specified 
position:
    if XYZ then buy("XYZ entry");
    if ZYX then exitlong("ZYX exit") from entry("XYZ entry");
The exitlong will correctly exit from the XYZ entry.  However, 
any SELL order will immediately close any open longs, and vice 
versa.

So if signal 1 goes short while signal 2 is still long, you end 
up short one instead of net flat.

I know you can use workarounds for this (see e.g. my post in 
http://www.purebytes.com/archives/omega/2001/msg09180.html) but 
this is clumsy, and I'm not convinced it would work properly if, 
for example, both signals tried to act on the same bar.  (Would 
MarketPosition be correct?)

Has anybody come up with a good, straightforward, reliable way to 
work around this "feature" ?

Thanks,
Gary