Hello, The main problem is not technical but "human" - i.e. I guess that everyone that would be interested, would like to have rebalancing implemented differently. The devil is always in the details.
So, let us discuss *your* preference. Let assume the following: a) we have 2 systems, and initially system A gets 60% of initial equity and system B gets 40% of initial equity b) system A is making trade every 2 days and is losing on average 1% per trade c) system B is making trade every 3 days and is gaining on average 2% per trade Now, the rebalancing, the way you like it: a) would it only occur when trade is closed or would it shrink/grow existing positions everyday to maintain initial balance between systems ? b) if rebalancing occurs only when trade is closed, how would money be divided ? Just spread the cash to maintain 60/40% balance in cash? (this will inevitably lead to inbalance in equity) or to maintain 60/40% in equity (cash+positions)? If latter is the case, what to do if already open position value is greater than target ? Scale out ? Or allow inbalances till positions are closed ? These questions barely scratch the surface. As always things are much more complicated once you start thinking how to do that in practice. Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "bh.hicks" <[email protected]> To: <[email protected]> Sent: Wednesday, May 06, 2009 1:46 AM Subject: [amibroker] Re: testing multiple systems simultaneously > Tomasz, > Thanks for the suggestion. That is the "old-school" way I have been doing it > in excel but may of the drawbacks to that approach > were discussed here... > > http://finance.groups.yahoo.com/group/amibroker/message/137869 > > The basic flaw is that the equity pools are never rebalanced so if one system > performs better than the other, the stronger system > eventually dilutes the impact of the weaker one to the point where it > basically has no effect. > > The real goal is to test multiple systems on the same equity pool so a higher > percentage of available capital is deployed through > diversified systems. > > > > --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: >> >> To examine how multiple systems running concurrently affects drawdowns, you >> can run your systems sequentially, save portfolio equity as explained in the >> Knowledge Base >> http://www.amibroker.com/kb/2006/03/11/how-to-create-copy-of-portfolio-equity/ >> automatically as a composite >> and later SUM equity curves afterwards and you will see resulting combined >> equity curve >> and see the drawdown of such multiple -system setup. >> >> >> Best regards, >> Tomasz Janeczko >> amibroker.com >> ----- Original Message ----- >> From: "ang_60" <ima_c...@...> >> To: <[email protected]> >> Sent: Tuesday, May 05, 2009 11:04 AM >> Subject: [amibroker] Re: testing multiple systems simultaneously >> >> >> > --- In [email protected], "bh.hicks" <bh.hicks@> wrote: >> >> >> >> I am basically looking for a way to have AmiBroker run multiple systems >> >> concurrently in order to examine how trading multiple >> >> non-correlated strategies affect drawdowns. >> > >> > >> > As you are migrating from another software I happen to know a bit, the >> > short answer: as of today, Amibroker is not capable of >> > "built in multiple systems testing" as TraderStudio's trading plan >> > approach. >> > >> > This matter was raised long ago by myself and others: if you are a >> > registered user, you can check suggestion #406 in the >> > feedback >> > center, dated 16 August 2006. >> > >> > In this list you can find very good programmers, claiming they are able to >> > get the multisystem/multimarket approach to work >> > programming it by scratch, but - to my knowledge - I've never seen a >> > public (that is.... free) code able to do what I think is >> > needed (and that's includes the two links provided in this discussion). >> > >> > Just for clarity, this doesn't want to sound as a critic: I own >> > TraderStudio too, but by now the software I most use for >> > testing >> > is - by far - Amibroker. >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > ------------------------------------ >> > >> > **** IMPORTANT PLEASE READ **** >> > This group is for the discussion between users only. >> > This is *NOT* technical support channel. >> > >> > TO GET TECHNICAL SUPPORT send an e-mail directly to >> > SUPPORT {at} amibroker.com >> > >> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at >> > http://www.amibroker.com/feedback/ >> > (submissions sent via other channels won't be considered) >> > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> > http://www.amibroker.com/devlog/ >> > >> > Yahoo! Groups Links >> > >> > >> > >> > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links > > >
