[amibroker] Re: Multiple Strategies in one backtest - help needed

["dbwyatt_1999" <dbw451@xxxxxxxxxxxxx>]

There was a long discussion on this back in July.  Search "Multiple Strategy System" in this yahoo group.  The solution entails:

1. Duplicating the instrument data for each strategy with different names (e.g. ZZZ_1, ZZZ_2, ZZZ_3 where ZZZ is the instrument ticker symbol).  I do this by renaming the historical source data ASCII files and re-importing each duplicated instrument.  If you are testing futures or Forex, make sure you manually update the contract specification information for each duplicate instrument.

2. Creating a watchlist for each strategy.  Put the duplicated instruments for each strategy in each individual strategy watchlist (e.g. for strategy 1 watchlist, put all instruments with the name ZZZ_1, for strategy 2 watchlist, put all instruments with the name ZZZ_2, etc.).

3. Creating a master watchlist with all duplicated instruments (e.g. ZZZ_1, ZZZ_2, and ZZZ_3).

4. In your system AFL, use the function InWatchListName() to determine which strategy code to execute:

  if (InWatchListName("Strategy_1") {
     Strategy 1 code...
  }
  else if (InWatchListName("Strategy_2"){
     Strategy 2 code...
  }

5. SetPositionSize to 1/3 of Equity:

  SetPositionSize( 33, spsPercentOFEquity );

6. In Automatic Analysis, use your master watchlist with all the instruments as a filter (Apply to: use filter->Define...)

The backtester will pass all the duplicated instruments in your master watchlist to your system AFL code which determines the strategy logic to apply.

All this is a little time consuming to setup and a major pain to maintain, but it enables portfolio testing across multiple strategies...

Regards,

David

--- In amibroker@xxxxxxxxxxxxxxx, "jens_lueckhof" <jens_lueckhof@xxx> wrote:
>
> Hi, I need some help in AFL.
> 
> Suppose I have 3 strategies set-up and want to backtest them together.
> On each entry 1/3 of the equity should be invested.
> 
> How do I do that in one backtest?
> 
> Many thanks
> J
>



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