Hello,
Exactly, if watch lists (or groups of symbols trading different systems) are
mutually exclusive
then simple if-else does the job.
Slightly extending Mike's example:
if (InWatchList(1))
{
// Strategy 1 here
buy = ...
sell = ...
short = ...
cover = ...
SetPositionSize( ... );
}
else
if (InWatchList(2))
{
// Strategy 2
buy = ...
sell = ...
short = ...
cover = ...
SetPositionSize( ... );
}
The only case when things can get complex is when you want to trade more than
one system
on very same symbol (i.e. that two or more systems open
simultaneous/overlapping positions on same symbol).
Position sizing can be applied without custom backtester for many cases (dollar
value, % of portfolio equity, specific number of
shares)
using SetPositionSize function http://www.amibroker.com/f?setpositionsize
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Mike" <[email protected]>
To: <[email protected]>
Sent: Monday, July 06, 2009 10:29 AM
Subject: [amibroker] Re: Multiple Strategy System
> You could probably use the same technique as is used for pairs trading.
> Specifically, check for the name of the symbol and apply
> the applicable logic.
>
> http://finance.groups.yahoo.com/group/amibroker/message/134492
>
> If you don't want to have a bunch of if (Name() == ...)statements, you could
> probably add some symbols to watchlist1, the others
> to watchlist2, all of the above to watchlist3. Then use InWatchList() in your
> code instead of checking the name. You would run
> your backtst/optimization/etc. on watchlist3. The danger of that though is if
> you add a symbol to watchlist3 but forget to also
> add it to either watchlist1 or watchlist2.
>
> if (InWatchList(1)) {
> ... // Strategy 1
> } else if (InWatchList(2)) {
> ... // Strategy 2
> }
>
> Any custom money management would probably have to be implemented in custom
> backtester code.
>
> Mike
>
> --- In [email protected], "Soham" <soham...@...> wrote:
>>
>> Any help on this?
>> --- In [email protected], "Soham" <sohamdas@> wrote:
>> >
>> > Hello Everyone,
>> >
>> > I believe, I have seen this question here itself or one of its forms. But
>> > given the "fantastic" search results of Yahoo groups,
>> > I am posting this once again.
>> >
>> > Is there any method, to simulate multiple strategy on a portfolio
>> > level?For example, consider I want to use a trend following
>> > system for Cotton, Coffee, Copper, EuroDollars and FAZ. While, I want to
>> > "simultaneously" simulate a trend fading system for
>> > SPX,NDX and RYDER.
>> >
>> > Is there any way to do it?
>> >
>> > And very related to this stuff, the one possible way, I can think of is,
>> > using multithreaded programming. Is it possible?
>> > Interfacing say C# with Ami and handling the two strategies with their own
>> > money mgmt algos, and instruments etc?
>> >
>> > It is to be reminded that, they draw their "juice"[$$$] from the same
>> > account.
>> >
>> > Thanks, for any light on this
>> > Soham
>> >
>>
>
>
>
>
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