No, I use one equity pool.
Both systems have to compete for the same money.
In fact, both systems should be multi-stock, because I use this code:
//SETTINGS BOTH SYSTEMS------------------
posQty=Param("Positions",10,1,100,1);
SetOption("InitialEquity", 100000 );
SetOption("MaxOpenPositions", PosQty );
PositionSize = -100/(posqty);
// END SETTINGS-------------------------
Any of them could buy 10 stocks. But both systems use the same money.
And I assign 10% of the money to each purchase (if PosQty = 10)
So I think I need further code..
Greetings!
--- In [email protected], "Matthias" <meridian...@...> wrote:
>
>
>
> As you can see from my questions/answers, I'm always interested in finding
> new solutions. but quote me if I'm wrong: with your approach you are NOT
> using ONE equity pool.
>
> Say you have 100k$,
> with your methodology you would do one of the following:
>
> Assign 50k$ or 50% to System1
> Assign 50k$ or 50% to System2
>
> ==> Backtest and combine equity curves as you said.
>
> Alternativley you might prop up "the result" in using 100k$ to backtest your
> 2 Systems. If you operate on a non-percent-risk model, it might work, but a
> non-percent-risk model ( e.g. fixed number of shares) is not really
> state-of-art.
>
> ...just thinking out loud...
>
>
> --- In [email protected], "notanaiqgenius" <notanaiqgenius@> wrote:
> >
> > Hi System Mixers,
> >
> > I've been following this thread. I see people want to do different things
> > when they say mix systems. If all you want to do is backtest on daily bars
> > with multiple systems, yet be able to test each system by itself first, one
> > simple way might be to obtain each system's equity curve (preferably
> > walk-forward OOS curve), and then export that curve to a CSV file.
> >
> > Once you have say, 2 or more systems that you want to time / combine, you
> > can then create a new AB database with nothing in it, and then import the
> > equity curves as pseudo/fake symbols using just Date and Close, where the
> > Close is your equity value from that system.
> >
> > Then you could write one code to rank or time the equity curves.
> >
> > Sure, that's quite a bit different than controlling and combining all the
> > individual orders of all the systems, but if you want to keep your system's
> > separate and just time their individual equity curves, then this sort of
> > approach might work.
> >
> > The down side is that you wouldn't be able to see how much risk you are
> > taking on 1 stock. Like, if all systems pile into AAPL Long, that might be
> > pretty bad. Another down side is I could see it being a pain to update
> > going forward.
> >
> > -Paul
> >
> > --- 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
> > >
> >
>
