First of all I'd like to say this discussion is very interesting and a key point according to me.
Secondly I do believe the issue is much easier than what many are suggesting. Multiple Systems testing should be considered with the same logic that Portfolio backtesting is using with underlying securities. Therefore I believe a new AB feature would be required. This feature should ask the user which AFL systems combine and then the user can simply use standard Portfolio functions like: -PositionSize (this would take care of Sizing each position and could be tied up to each single system) -PositionScore (this would take care of multiple signals coming from different systems) -MaxOpenPositions (to avoid having several open positions due to different systems giving a signal at the same time) Furthermore I fully agree with ang_60 that when you use just "one equity pool", you don't assigne X% of capital to system A and Y% of capital to System B: so, there's no need to rebalance anything. I cannot imagine anything easier than that and there wouldn't be any need to rebalance actually. paolo --- In [email protected], "ang_60" <ima_c...@...> wrote: > > --- In [email protected], "Tomasz Janeczko" <groups@> wrote: > > > > 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 > > > > > Hi everybody, > > maybe it's just me but I think this is a great discussion. > > Just some thoughts: > > 1) when you use just "one equity pool", you don't assigne X% of capital to > system A and Y% of capital to System B: so, there's no need to rebalance > anything. > > You start applying position sizing rules to your entire capital as soon as > Sistem A, B, .... N gives you a signal. > > You need to rebalance only when you start dividing your trading capital from > the N system which - I concur wuth Hicks - is a less efficient way to use > your money (providing both your systems have positive expectation) > > 2) That's the very same reason you cannot simply add N equity curve to do > portfolio testing.... because when mixing in one account (as in the real > life) signal from system A and system B AND increasing trading size with the > closed profits, it's mandatory to take into account the chronological order > of the combined series of trades. > > 3) Hicks, I'm pretty sure Graham can do it (provided you don't want to run > system A on database A and System B on database B.... ).... but if you are a > bit like me (I'm not a programmer turned trader..... I'm an investor that > thinks his daytime is better spent when I'm not programming.... ) maybe you > will find his code a little complicated, would any further manipulation be > needed from you. >
