In any case you'll have to decide on the logic to decide on allocation. After you do that, You could make the meta system a linear combination of the two. Create multiple randoms runs of each and assign a static variable, to the random equity curves. That way you could do a Monte Carlo analysis with both sets together and different allocations. But then again I would I strongly suggest researxhing and understanding the characters of the tendencies you are exploiting instead of smashing them together blindly.
--- In [email protected], "Gonzaga" <gonzag...@...> wrote: > > Hi. > I am lately trying to mix several systems in on meta-system, and I am > observing that is not difficult to obtain good CAR's with low Draw Downs. > For example, system 1 trade against 100 tickers of the NAsdaq-100 and system > 2, against the same 100 tickers. Both systems 'compete' for the money. > This is a 'Meta-system', multi-system and multi-stock. > > Well, I see it's not very difficult to obtain profitable systems.. > I see also that a good filter to improve results is to filter every system > with a volatility value of the index you are using, for example ATR of NQ, or > ATR of SPX. So you trade any system in the best moment for the system. > You have to filter all your systems, and then, mix them in one meta-system. > I thing it's not very hard to obtain annualized CARs 30% and DD less than 20%. > BUT, it's hard to programme and backtest. > Amibroker backtests very easily many stocks, but to mix several systems is a > mess.. difficult and easy to fail.. > Does anybody know a trading platform that creates this kind of meta-system > easily? (perhaps trade station?) > Or a way to mix and backtest 2 or 3 systems easily in Ami? > > Thanks >
