Sorry for the typo in the Backtesting-Paragraph: Should read:
match buy1 and sell1 (NOT: buy1 and sell2) --- In [email protected], "Matthias" <meridian...@...> wrote: > > > > > > > > > > > > > Hello, > > I am having trouble understanding the same issue. If anyone here has a > solution I'd like to read up on it as well. Angelo, I have read literally > every discussion in this forum regarding this topic and I understand why your > reffering to TJ, and please: Yes, I did read the user manual and yes, I did > read custom backtester procedure. I believe that I am not the only one who's > facing this. Help appreciated. I'd like to post 3 sample strategies for > better understanding (which won't work, btw). > > BASE-TIME: 5min; [ONLY 3 Strategies] > > Setpositionsize(number, spsshares) // number varies depending on which > strategy gets the signal > Setoption("maxopenpositions",3) //i.e. every strategy can open 1 position at > a time which is not reflected in this command > > > ///////////////// MA-Crossover ////////////////// > > Ema1=ema(c,10); > Ema2=ema(c,20); > > Buy1=cross(ema1,ema2); > Sell1=cross(ema2,ema1); > Short1=sell1; > Cover1=buy1; > > /////////////// Countertrend ///////////////////////// > > BBupperiod1= 20; > BBlowperiod1= 20; > BBupSTD1= 2; > BBlowSTD1= 2; > BBtop1= BBandTop(C,BBupperiod1,BBupSTD1); > BBbot1= BBandBot(C,BBlowperiod1,BBlowSTD1); > > MA1= ma(C,20); > > Buy2= C<bbandbot1; > Sell2= c>ma1; > Short2= C>bbandtop1; > Cover2= C<ma1; > > Buy2= exrem(Buy2,sell2); > Sell2= exrem(sell2, buy2); > Short2= exrem(short2,cover2); > Cover2= exrem(cover2,short2); > > /////////////////////// HH LL ////////////////// > > TimeFrameSet(inhourly); > > period1high=20; > period1low=20; > > nhigh=HHV(H,period1high); > nlow=LLV(L,period1low); > > TimeFrameRestore(); > > Buy3= timeframeexpand(ndayhigh,inhourly) > timeframeexpand(ref(ndayhigh,-1), > inhourly); > Sell3= timeframeexpand(ndaylow,inhourly) < timeframeexpand(ref(ndaylow,-1), > inhourly); > Short3=sell3; > Cover3=buy3; > > > REALIME TRADING: > > What do I need to do is to put these 3 into one AFL for real-time trading - > that's what people were saying. How do I arrange the code? > > I do not trade a lot of underlyings, but say, this one needs to be run on the > FDAX(German bluechip future) and on the FDAX only, allowing shorts and longs > at the same time. > I have read up on the > > if ( name=="") idea. > > but I want to realtime trade this on ONE underlying only (Trying to express: > I cannot change the name of the underlying in realtime trading, so that > amibroker would think it's 3 differnt tickers, even though it's only one) > > Another suggestion was something with static variables, but I didn't grasp > the concept. > > Another suggestion was from Keith Mccombs, suggestion one "MASTER-AFL", to > control the other afl's. > > #include <afl1> > #include <afl2> > > > ===> how do I match buy1 and sell2? > > BACKTESTING > > I believe that the issue above differs from the actual backtest-logic and has > been vastly mixed causing a lot of confusion. The way I currently see it is, > in order to get a proper backtest of multiple systems, one would either need > custom backtest proc or --- in this (my case above) case with only one > underlying traded --- name the same underlying differently e.g. FDAX1 for > system #1 FDAX2 for system #2. Not so elegant, but if it works I'm fine with > it. > > > > MONEY MANAGEMENT AND PORTFOLIO COMPOSITION > > Obviously, if you have figured out what and how much to trade, this one is > already resolved. But maybe sometimes one would like to try different things > or at least check different inputs. Such as: > > One Equity Pool > Several equity pools, > manipulate position size if one system is performing poorly, > have a system ranking funtion ("which system to trade now - based on equity > curve, e.g.) > do some sort of modern portfolio theory. > > > I don't want to go in the details on "MONEY MANAGEMENT AND PORTFOLIO > COMPOSITION" and for now I'd be delighted if someone could show me how to > match my buy/sell signals for realtime trading. One software which I know of > and is capable of adressing all these problems "easier" is rina portfolio > maestro. > > http://www.portfoliomaestro.com/ > > I haven't tried it and I'm also not planning on doing so (10k$ per year), but > I wanted to understand what's possible. > > > > Greetings, > > M > > > --- In [email protected], "Jeff" <jeffro861@> wrote: > > > > 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" <gonzagags@> 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 > > > > > >
