Hi all, I also do believe that this question is easy to deal with. I do believe that because I (badly) did it as I showed in a previous post (http://finance.groups.yahoo.com/group/amibroker/message/137900).
An integrated solution made by Tomasz could consist in : 1. adding an afl function "addSystem (<ts_afl_main_file>,TsPositionScore)" to add all the independant Trading System (TS) to make THE Multiple Trading System. The TsPositionScore is a global PositionScore attached to each TS. I attached an associated afl sample below. 2. adding a MultipleSystemBacktest which would consist in : 2.1 backtesting each system independantly and storing all the issued Buy/Sell signals (rather than the trades themselves) with their associated Buy/SellPrice and their PositionScore as coded in the TS. 2.2 backtesting the stored signals using as PositionScore a composite PositionScore (MtsPositionScore) based on the TS PositionScore (the one you know) and the TsPositionScore (the one globally attached to TS) I feel like Tomasz is almost ready to go ahead :-). Could we all of us try to converge to completly convince him ? (ie could we all of us discuss on a concrete implementation rather than philosophiing on the concept - which is very nice sometimes but also slows down the execution some other times) ----MultipleTradingSystem afl code--- addSystem (..\TrendFollower\ts1_main.afl,1) addSystem (..\MaCrossing\ts3_main.afl,2) addSystem (..\Reverse\DDOptimized\ts2_main.afl,3) ----end of MultipleTradingSystem afl code--- To be complete on what I've done, I did not find THE optimized equation to generate the MtsPositionScore. But I'm sure this is just due to my personal limitations ;-) --- In [email protected], "Paolo Cavatore" <pcavat...@...> wrote: > > 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_cons@> 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. > > >
