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
