I believe, I have seen this question here itself or one of its forms. But given
the "fantastic" search results of Yahoo groups, I am posting this once again.
Is there any method, to simulate multiple strategy on a portfolio level?For
example, consider I want to use a trend following system for Cotton, Coffee,
Copper, EuroDollars and FAZ. While, I want to "simultaneously" simulate a trend
fading system for SPX,NDX and RYDER.
Is there any way to do it?
And very related to this stuff, the one possible way, I can think of is, using
multithreaded programming. Is it possible? Interfacing say C# with Ami and
handling the two strategies with their own money mgmt algos, and instruments
etc?
It is to be reminded that, they draw their "juice"[$$$] from the same account.
Hello Everyone, I believe, I have seen this question here itself or one of its forms. But given the "fantastic" search results of Yahoo groups, I am posting...
You could probably use the same technique as is used for pairs trading. Specifically, check for the name of the symbol and apply the applicable logic. ...
Soham, I faced the same issue except I have 12 models that use a portfolio of 27 futures instruments. The issues involved with running multiple systems...
Hello David, Thanks for keepting discussion on this issue going. I tried MSA a few years back .... thought it was one of the better tools around. It seems to...
Hi Brian, ... Yes, 12 systems; I use the terms system and model interchangeably. ... I run all 12 systems are over the same portfolio of data. I have a...
Thanks, It is very helpful to me to find out how traders are actually doing it (instead of just talking about it, as Ang points out). I am working on some AFL...
... Yes Brian, as this matter keep on arising in the list every now and then (but you can also look at how many feedback notes has received my message posted...
Angelo, No not annoying.... apologies for being brusque. Nothing to say Vince/Markowitz is the best. I am making my own solutions anyway.... I am nervous about...
... Entry Date, Entry Price, Exit Date, Exit Price, Stop Price, Long/Short, Profit, Risk, Contracts (i.e. trade size). The Stop and Risk are not part of the...
David, O.K That covers it, thanks. It is possible that I can squeeze out intratrade changes, on a % basis, but then don't think MSA can analyze them anyway. ...
Since we have had such a big discussion and it is linked/tagged for future reference, by searching .... FTR: Why do I want to analyze all trading signals? - I...
... David (and all), I knew about MSA. Version 3.0 is a great piece of software, but when you have a lot of models, there a lot of manual work. So, the best...
ang_60, Duplicating the symbol data for each model is actually a very interesting idea. In my case that would be 12 x 27 = 324 symbols and 12 watchlists. Is...
... David, every solution ha s its pro's and con's. As you know, the csv file you export from AB, is not instantly readable from MSA, you need to label every...
David, If you could rename tickers internally would it help? I am pretty certain that the only way to internally rename tickers is via OLE .... I think there...
Brian, I've done a some prototyping of the duplicating symbol process for running multiple strategies. It turns out, as Angelo pointed out in an earlier post,...
A little advice for anyone in the future that decides to duplicate symbols as a way to back-test multiple systems; make sure you set the "Max. Open Positions"...
Dave, Sanjay, interested parties. Dave, Looks like you are a happy camper with your new gear. This post is not specifically for you ... I put it here because...
... Hi Soham, just in case you won't to read all the thread posted by Brian (in my humble opinion, that thread was very interesting at the beginning.... but...
Hello Ang_60, ... I am biased towards a mathematical solution. Why? Quoting Howard, who was speaking about the approach needed to model portfolios (refer...
Hello, Exactly, if watch lists (or groups of symbols trading different systems) are mutually exclusive then simple if-else does the job. Slightly extending...
Tomasz, Is there a way I could optimize() PostionSize for both strategies simultaneously e.g. when Strategy 1 is invested with 1% of Portfolio then Strategy 2...
Brian, ... Not true. What you are trying with your "dream matrix backtester" seems to be actually what so called "old backtester" did 10+ years ago. The old...
Tomasz, Thanks. I hadn't noticed that.... I will have a close look at what you did there (of course I am learning from your examples and benchmarking against...
Tomasz, Re The Matrix Backtester versus AB's "Old Backtester" I don't think the old version of AB's BT does the same thing as my template (on an apples for...
Hello, I don't think that "forward cheating" is good idea when working with systems at all, but as far as "larger number of trades" is considered, that is...
... Re 'bad' maths and 'bad' programming: Since I do not have a math or programming education bad for me is reserved for code doesn't work or the maths that...
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