Hello,
I'm also looking for a multiportfolio-system to backtest two completely different systems in one portfolio with one equity curve.
In the code below is a system from the forum, I think it could fit for my requirements. My problem is that there comes the error "insufficient funds...". I know this error, but I can't find out why in this code. The size is 10 % or 20 % and there is enough equity.
If I activate the code line "size = 10" or "buy = 1" after the multiplex the system buys and sells stocks but then the requirement two systems with different parameters is not considered (attachment)
Can someone give me a hint how to make work the code ?
Thanks for every help
function multiplex(Buy1, Sell1, BuyPrice1, SellPrice1,size1,PositionScore1,
Buy2, Sell2, BuyPrice2, SellPrice2, size2, PositionScore2)
{
global Buy, Sell, PositionScore, size;
Buy = Sell = False;
PositionScore = 0;
size = 0;
BuyPrice =SellPrice = Null;
sys = 0;
for(i = 0; i < BarCount; i++)
{
switch(sys)
{
case 0:
if(Buy1[i] && Buy2[i])
{
if(PositionScore1[i] >= PositionScore2[i])
{
sys = 1;
size[i] = size1[i];
BuyPrice[i] = BuyPrice1[i];
PositionScore[i] = PositionScore1[i];
Buy[i] = buy1[i];
}
else
{
sys = 2;
size[i] = size2[i];
BuyPrice[i] = BuyPrice2[i];
PositionScore[i] = PositionScore2[i];
Buy[i] = Buy2[i];
}
}
else if (Buy1[i])
{
sys = 1;
size[i] = size1[i];
BuyPrice[i] = BuyPrice1[i];
PositionScore[i] = PositionScore1[i];
Buy[i] = Buy1[i];
}
else if (Buy2[i])
{
sys = 2; //both used at the same time;
size[i] = size2[i];
BuyPrice[i] = BuyPrice2[i];
PositionScore[i] = PositionScore2[i];
Buy[i] = Buy2[i];
}
break;
case 1: //system 1 in use
if(Sell1[i])
{
sys = 0;
Sell[i] = Sell1[i];
SellPrice[i] = SellPrice1[i];
}
break;
case 2:
if(Sell2[i])
{
sys = 0;
Sell[i] = Sell2[i];
SellPrice[i] = SellPrice2[i];
}
}
}
return;
}
buy1 = Ref(C,-1) > Ref(MA(C, 30),-1);
Sell1 = Ref(C,-1) < Ref(MA(C, 30),-1);
size1 = 10;
PositionScore1 = 10;
BuyPrice1 = SellPrice1 = C;
r = RSI();
buy2 = Ref(C,-1) > Ref(MA(C, 50),-1);
Sell2 = Ref(C,-1) < Ref(MA(C, 50),-1);
size2 = 20;
BuyPrice2 = SellPrice2 = O;
PositionScore2 = 20;
multiplex(Buy1, Sell1, BuyPrice1, SellPrice1,size1,PositionScore1,
Buy2, Sell2, BuyPrice2, SellPrice2, size2, PositionScore2);
//buy = 1;
//size = 10;
Short = Cover = False;
SetPositionSize(size, spsPercentOfEquity);
SetOption("MaxOpenPositions", 10 ); // 10 and 100 as max pos makes 7 point
SetOption("InitialEquity", IE=100000);
SetOption("AllowPositionShrinking", 0);
SetOption("CommissionMode", 1);
SetOption("CommissionAmount", 0);
SetOption("AllowSameBarExit", False);
SetOption("PriceBoundChecking", True);
SetOption("ActivateStopsImmediately", False);
Filter = Buy OR Sell;
AddColumn(Buy, "Buy", 7.0);
AddColumn(Sell, "sell", 7.0);
AddColumn(size, "size", 7.0);
AddColumn(positionscore, "score", 7.0);
) and secondly as you wrote there are many “novices” who perhaps do not realize they can easily post the codes with “copy and paste”, and finally it may serve as a reminder to the poster that the rest of us on the forum are not foolish enough to believe that “writing the code would be too tedious”, so do not take us for fools.
.
) either from the AA window of results, or from the Backtest Report results page.