--- In [email protected], i cs <ics4...@...> wrote: > I think the beauty and power of running a > mulit system/multi instrument BT would be to optimise > the use of cash (and leverage ) in your account. If this > is the case, then I don't think that the pseudo code > you provided would do the job. I do appreciate that > it is a simplified version of the final product, but > looking at it I ask myself the following questions: > - Does the Unit Size script "know" how much each > other system/instrument strategy has allocated? > - Is the account "infinite" ? If it isn't an > infinite account, then the first systems in the loop > get the most of the allocation because all the fills > are checked before the next system is tested. >
Thaks ics, you looked with great attention at the flow chart.... and you are right. That software is Trading Blox Builder - which by the way, cost N times more than Amibroker - and does ask the user to specify the percent allocated to each strategy at the start of the test. Like hicks (who started this thread and disappeared, maybe he has already found a working solution!) I don't endorse that approach because: 1) in my humble opinion, it is a less efficient way to use your capital; 2) it doesn't mimic my real time trading: when I trade (and as old Larry once said... I do trade) I don't pretend that x% of my account is allocated to system A and so on........ I have just one bucket and signal arriving from different sources... that's as simple as that.
