There was a long discussion on this back in July. Search "Multiple Strategy
System" in this yahoo group. The solution entails:
1. Duplicating the instrument data for each strategy with different names (e.g.
ZZZ_1, ZZZ_2, ZZZ_3 where ZZZ is the instrument ticker symbol). I do this by
renaming the historical source data ASCII files and re-importing each
duplicated instrument. If you are testing futures or Forex, make sure you
manually update the contract specification information for each duplicate
instrument.
2. Creating a watchlist for each strategy. Put the duplicated instruments for
each strategy in each individual strategy watchlist (e.g. for strategy 1
watchlist, put all instruments with the name ZZZ_1, for strategy 2 watchlist,
put all instruments with the name ZZZ_2, etc.).
3. Creating a master watchlist with all duplicated instruments (e.g. ZZZ_1,
ZZZ_2, and ZZZ_3).
4. In your system AFL, use the function InWatchListName() to determine which
strategy code to execute:
if (InWatchListName("Strategy_1") {
Strategy 1 code...
}
else if (InWatchListName("Strategy_2"){
Strategy 2 code...
}
5. SetPositionSize to 1/3 of Equity:
SetPositionSize( 33, spsPercentOFEquity );
6. In Automatic Analysis, use your master watchlist with all the instruments as
a filter (Apply to: use filter->Define...)
The backtester will pass all the duplicated instruments in your master
watchlist to your system AFL code which determines the strategy logic to apply.
All this is a little time consuming to setup and a major pain to maintain, but
it enables portfolio testing across multiple strategies...
Regards,
David
--- In [email protected], "jens_lueckhof" <jens_lueck...@...> wrote:
>
> Hi, I need some help in AFL.
>
> Suppose I have 3 strategies set-up and want to backtest them together.
> On each entry 1/3 of the equity should be invested.
>
> How do I do that in one backtest?
>
> Many thanks
> J
>
