Hi Brian, Below are responses to your post:
> I assume you mean 12 systems? Yes, 12 systems; I use the terms system and model interchangeably. > So you are running all 12 systems over the same data and timeframe to get the > trade series for each? I run all 12 systems are over the same portfolio of data. I have a primary timeframe, but I'm evaluating several timeframes. > Are you collecting the trade series as $, points or %? I'm not sure what you mean. I think of trades as instruments, entries, exits (stop and sometimes a target), and trade sizes. Dollars, points, and percentages are different views of the trade output. I personally prefer comparing percentages than absolute dollars or points because when working with futures, each instrument can have a different tick size, point value, and margin. > How do you export to a database? >From Automatic Analysis, File->Export creates a comma separated file that can >be imported into a database table. I use MS Access primarily because I have >it available in my version of MS Office. > Do you find that open trade drawdown is important? When trading futures, open trade drawdown is very important because trades are "marked-to-market" every day. Margin requirements must be met each day for overnight positions. Regards, David --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Hello David, > > Thanks for keepting discussion on this issue going. > > I tried MSA a few years back .... thought it was one of the better tools > around. It seems to have developed a bit since then. > > It has been reported in this forum before (as a MonteCarlo tool). > > > A couple of questions to help me with my own private efforts: > > > I faced the same issue except I have 12 models > > I assume you mean 12 systems? > > > I decided to run my models separately in AmiBroker and then export the > > trades to a database. > > So you are running all 12 systems over the same data and timeframe to get the > trade series for each? > > Are you collecting the trade series as $, points or %? > > How do you export to a database? > > Which database? > > >The caveat is that MSA uses trade information for all it's >statistics and > >has no knowledge of the chart data used to create >those trades. > > IMO using mathematical models, based on the trade series, considered as the > return of the investment, is the best way to compare portfolio outcomes. As > Howard pointed out in one of his posts, we do have to be very careful when > making assumptions based on non-correlation because it can disapear quite > quickly (I believe non - correlation, between instruments and markets etc, > has been falling, over the last decade or two, because of the growth in > algorithmic trading and/or analysis.) > > >So statistics like Max System Drawdown are different than the much >more > accurate AmiBroker MDD because AmiBroker can look at each chart >bar and > determine the actual intra-trade MDD while MSA only knows >the entry and exit > prices of each trade. > > Do you find that open trade drawdown is important? > I tend to think that it is irrelevant if the system uses stops .... any > intratrade loss must always be less than the stop loss or the trade would > have closed, on stop? > > I am also inclined to the view that intratrade equity is a hypothetical > figure ... the outcome of the trade isn't known until it is closed. > > > > > Here is the link to Howard's post that I referred to prev. > He says that he is including Portfolio Construction in his next book > (Advanced AB) ... due out at the end of 09. > > http://finance.groups.yahoo.com/group/amibroker/message/138075 > > > KEYWORDS > > OPTIMAL PORTFOLIO CONSTRUCTION MODELING > > --- In [email protected], "dbwyatt_1999" <dbw451@> wrote: > > > > Soham, > > > > I faced the same issue except I have 12 models that use a portfolio of 27 > > futures instruments. The issues involved with running multiple systems > > simultaneously are much more difficult than dividing the system logic by > > symbols or watchlists. For example because you are considering trending > > and counter-trending systems, there is the possibility of being long and > > short in the same instrument in two separate models each with a different > > trade size. I tried combining my models in AmiBroker, but my custom stop > > handling and dynamic position sizing just became a nightmare to manage. > > After reading through most of the multiple systems threads on this forum, I > > started thinking about alternative solutions. > > > > I decided to run my models separately in AmiBroker and then export the > > trades to a database. From there I would write a simplistic back-tester > > that would step through the combined trades, recalculating the trade > > quantities using a shared equity pool. At this point I did some googling > > to see if there was any Excel, or C# libraries, or any other software that > > would give me a simplistic back-tester framework. I thought about feeding > > the trades back into AmiBroker as signals, but that would amount to a lot > > of AFL code to handle the models by scaling in and out positions with the > > possibility of managing long and short positions simultaneously. Also I > > want to vary the number and mix of models I test in the future, so the AFL > > programming would have to be generic which makes the task even more > > daunting. > > > > Anyways through my googling, I found a software product called Market > > System Analyzer by Adaptrade (www.adaptrade.com) that already had > > implemented the approach I was pursuing. The primary purpose of the MSA > > software is to explore position sizing models (all of which I think can be > > written in AmiBroker). I'm able to import my AmiBroker trades into the MSA > > software. MSA can treat my 12 models as a single portfolio and generate a > > combined equity curve and other back-tester statistics from a shared equity > > pool. It recalculates trade sizes (i.e. shares) based on the position > > sizing model selected. The caveat is that MSA uses trade information for > > all it's statistics and has no knowledge of the chart data used to create > > those trades. So statistics like Max System Drawdown are different than > > the much more accurate AmiBroker MDD because AmiBroker can look at each > > chart bar and determine the actual intra-trade MDD while MSA only knows the > > entry and exit prices of each trade. > > > > MSA has been a decent solution for me to fill a void that I wasn't able to > > complete with AmiBroker. Instead of spending days or weeks writing my own > > multiple system handling logic, within a few hours I had all my 35,000 > > trades loaded into MSA and was creating the combined system statistics I > > was after all without any programming (other than a database query to > > export the AmiBroker trades by symbol into an MSA import format). > > > > I'm weary to bring up another software product on the AmiBroker user forum > > especially since AB can do about 90% of what MSA does, but in this case I > > have not found anything posted that has given me a doable solution to > > combining multiple back-testing trading systems. > > > > Best of luck with your system development. > > > > Regards, > > > > David > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > 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" <sohamdas@> 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 > > > > > > > > > > > > > > >
