A tricky little problem....

["Chris Sorensen" <csorensen25@xxxxxxxx>]

Has anyone already solved this tricky little problem?

As we all know the market changes it's "characteristics" from time to time
(trending, choppy, sideways, etc.).

I am trying to devise a program that CHOOSES which of several possible
strategies to apply based on comparing their recent performances.

The tricky little problem is how does one create a strategy that can
EVALUATE the performance of another strategy programmatically?

Ideally, one should be able to call a strategy as if it was a function, and
have it return factors such as "Net Profit" and "Profit Factor"
automatically.

Here is an example of what I am trying to do in pseudo-code:

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Value1 =3D Strategy1(Input, Outputs: Net profit, Profit factor);

Value2 =3D =3D Strategy2(Outputs Net profit, Profit factor);

Apply Strategy1 or Strategy2 based on the larger of value1 or value2.

--------------------------------------------------------------------

Specifically, my questions are:

  1.  Is there some way to call a strategy like a function?

  2.  Is there some way to evaluate a strategy by simulating (back-testing)
it automatically?

  3.  Is there anyway to use a macro language to automate the back-testing?

  4.  Does anyone have any thoughts on the either the concept or the code?

Thanks to all,

Chris

Chris@xxxxxxxx