So basically I need to do: Fraction = 1/NumberOfSymbols SetPositionSize( Fraction, spsPercentOfEquity );
1) Would be above code acheive the intended result? 2) Is there a way to count the number of symbols in a watchlist? 3) Does the SetPositionSize function use the last bar equity or initial equity? (I do see there is a checkbox on the AA > Report tab, but I can't find the AFL version.) --- In [email protected], "Mike" <sfclimb...@...> wrote: > > If by aggregate result you mean that you want to see what would happen to > total equity, win/loss ratios, etc. when taking all signals together, then I > think that you have answered your own question. > > Given that gains and losses in the other stocks have a direct impact on what > is available to apply to the current signal, I believe that you must employ > some form of portfolio allocation. > > Taking it to the extreme, you need to know that you are bankrupt before > considering the next signal. Similarly, even at $1 position size, if you > generate more signals than you have cash, something has to give. > > If you just want to see how each symbol individually would perform, you can > select "Individual Backtest" from the drop list of the Backtest button in the > AA window. > > Mike > > --- In [email protected], "lucianomt" <lucianomt@> wrote: > > > > Thanks for the reply Mike. > > I believe I have the strategy and watchlist part nailed down. I am actually > > looking for specific instructions on how to use the AA to test the strategy > > for all the symbols in the watchlist and getting an aggregate result. I am > > not looking to optimize returns by choosing between alternative positions > > (using positionscore, etc), rather an analysis that will trade all the > > signals in every stock. > > > > I guess I could set position size to 1/nth of equity (n = number of symbols > > in watchlist). But I was wondering if AA had a built-in feature that > > produced the same result without the need to set up a portfolio allocation > > logic. > > > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > Run it against a watch list. If your single stock is representative of > > > its sector, you might try including other stocks in the same sector. > > > Conversely, you might try offsetting it by including stocks with > > > "opposite" behavior to counter the drawdowns (typically at the expense of > > > reduced peaks also). > > > > > > Create your own watchlist, or use one provided by your data provider > > > (e.g. components of the S&P 500, etc). Use portfolio backtester from AA > > > window. > > > > > > Alternatively, if you don't want to maintain a watch list, add logic to > > > only Buy if the symbol belongs to a chosen sector/industry/whatever, then > > > run against all symbols. > > > > > > If you've managed to capture a generic pattern you could apply it to all > > > stocks in the database in search of as many signals as possible. > > > > > > The combinations are endless, and 'best' is subjective. > > > > > > Mike > > > > > > --- In [email protected], "lucianomt" <lucianomt@> wrote: > > > > > > > > I've developed a trading strategy and have tested/optimized it using > > > > one stock. What is the best way to test it with a list of stocks? > > > > > > > > I don't have a portfolio allocation logic, I just need the aggregate > > > > numbers for all the stock on the list. > > > > > > > > > >
