I must admit, I had to look up those terms. Of the three, "Genetics" (or a simplified version of it) was how I planned on tackling the problem. I came across this page while researching those terms and it looks pretty cool! http://blog.equametrics.com/2013/06/genetic-algorithms-and-its-application-in-trading Random Forest training is a bit over my head at this point...at least based on the research I have done thus far. thanks! fan27
I still don't understand why you think there are walls while in fact all your issues can be achieved for example with AmiBroker etc. 1. Multi timeframe. What is the big deal? No problem. 2. Yes, can be done too 3. Conditions with multiple tickers? Yes, can be done too. 4. That one is doable also. No problem. In fact all that you've described is rather looking pretty simple. In this picture it took me 5 minutes to write 50 lines of code trying to solve your issue #4. Most of it is copy&paste and using code snippets
Thanks for taking the time to post that. Regarding #4, you essentially moved part 2 of the two parts to the machine (which is having the app determine which combination is best rather than having to manually look at the results of each combination yourself). What still has to be done with your technique is manually construct each of the switch statements and variables (MAPeriod, bbperiod,bbwidth, etc). Ideally how this would work, is you add a condition to the system ( close > moving avg(x), close > close yesterday, etc.). At this point, the manual work is done as the system will take all conditions in the system and do what you did in your script, except there is no more code to write as the code has already been written. Can you write script code at run time with Amibroker? That could possibly solve the problem. Whatever the case, Amibroker is certainly an impressive piece of Software which I could see myself using to augment what I write myself. fan27
It was supposed to be an example. You could certainly do it more generally like this way. As for AFL, yes, if you click save then the code is immediately applied in realtime. Anway if you are used to writing NET there is also a NET SDK available called .NET for AmiBroker. As well as a SDK for C/C++ being available. AB is open architecture.
What is the best way to test a portfolio of strategies with Amibroker? I found this post which hints at some techniques: http://www.inditraders.com/amibroker/8649-amibroker-backtesting.html thanks fan27
For example you could do it the way shown below if multi-systems and single security. You create x number of clones of your symbol that is same number (or more doesn't matter) as the number of your systems. The process takes just milliseconds. Then you move those clones to a watchlist and set that watchlist number in the code. Then you run a portfolio backtest.
Amibroker is interesting. I wonder how easy is to do allocation backtesting based on technical conditions. I have not tried it but it shouldn't be hard. For example: 1. Start long 30% in XYZ1 and 70% in XYZ2 2. If cond1 or cond2 then change the allocation to 40% in XYZ1, 50% in XYZ2 and 10% cash. Can Amibroker handle cash based on an interest rate series?