Tomasz, Is there a way I could optimize() PostionSize for both strategies simultaneously e.g. when Strategy 1 is invested with 1% of Portfolio then Strategy 2 is invested with the balance of the account i.e. 99% and so on for all values or a selected range of values?
I am not sure where to put the optimize statement or if I can even do that. Do you see any value in me doing that kind of opt? --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: > > 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" <sfclimb...@...> > 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" <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 > >> > > >> > > > > > > > > > > ------------------------------------ > > > > **** IMPORTANT PLEASE READ **** > > This group is for the discussion between users only. > > This is *NOT* technical support channel. > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > http://www.amibroker.com/feedback/ > > (submissions sent via other channels won't be considered) > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > Yahoo! Groups Links > > > > > > >
