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 amibroker@yahoogroups.com, "notanaiqgenius" <notanaiqgen...@...> 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 amibroker@yahoogroups.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 > > >
