Sorry for the typo in the Backtesting-Paragraph:
Should read:
match buy1 and sell1 (NOT: buy1 and sell2)
--- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>,
"Matthias" <meridian...@...> wrote:
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> Hello,
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> 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).
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> 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
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> ///////////////// MA-Crossover //////////////////
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> Ema1=ema(c,10);
> Ema2=ema(c,20);
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> Buy1=cross(ema1,ema2);
> Sell1=cross(ema2,ema1);
> Short1=sell1;
> Cover1=buy1;
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> /////////////// Countertrend /////////////////////////
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> BBupperiod1= 20;
> BBlowperiod1= 20;
> BBupSTD1= 2;
> BBlowSTD1= 2;
> BBtop1= BBandTop(C,BBupperiod1,BBupSTD1);
> BBbot1= BBandBot(C,BBlowperiod1,BBlowSTD1);
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> MA1= ma(C,20);
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> Buy2= C<bbandbot1;
> Sell2= c>ma1;
> Short2= C>bbandtop1;
> Cover2= C<ma1;
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> Buy2= exrem(Buy2,sell2);
> Sell2= exrem(sell2, buy2);
> Short2= exrem(short2,cover2);
> Cover2= exrem(cover2,short2);
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> /////////////////////// HH LL //////////////////
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> TimeFrameSet(inhourly);
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> period1high=20;
> period1low=20;
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> nhigh=HHV(H,period1high);
> nlow=LLV(L,period1low);
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> TimeFrameRestore();
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> Buy3= timeframeexpand(ndayhigh,inhourly) >
timeframeexpand(ref(ndayhigh,-1), inhourly);
> Sell3= timeframeexpand(ndaylow,inhourly) <
timeframeexpand(ref(ndaylow,-1), inhourly);
> Short3=sell3;
> Cover3=buy3;
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> REALIME TRADING:
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> 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?
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> 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
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> if ( name=="") idea.
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> 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)
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> Another suggestion was something with static variables, but I didn't
grasp the concept.
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> Another suggestion was from Keith Mccombs, suggestion one
"MASTER-AFL", to control the other afl's.
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> #include <afl1>
> #include <afl2>
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> ===> how do I match buy1 and sell2?
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> BACKTESTING
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> 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.
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> MONEY MANAGEMENT AND PORTFOLIO COMPOSITION
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> 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:
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> 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.
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> 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.
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> http://www.portfoliomaestro.com/
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> 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 amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "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 amibroker@yahoogroups.com
<mailto:amibroker%40yahoogroups.com>, "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
> > >
> >
>
