Que tal gonzaga?
After sending this email, I figured that this might happen: I was answering to Paul's post. Strange Yahoo, sorry for the confusion. I'm afraid I cannot help you on your custom backtest proc, yet. 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 Answer: > 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...
