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John -
I have not yet coded this for TS, only in offline code, but I'm confident it
can be done within TS also.
The simplest way to ensure that your composite result will exactly match the
aggregate result of two independent systems is to code the composite as two
independent systems. In other words, keep your own separate position
variables to retain the position of each system and then provide code to
interpret the proper actual buy/sell actions.
For example, if system A is long and system B is short (your actual position
should be flat at this point) and system B exits its short position, your
code must interpret this and issue a buy. On the other hand, if A is long
and B is flat and B goes short, your code must interpret this as a
close-long.
Carroll
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