Combine Out of Sample Equity Curves (Trades) from Multiple Symbols

AFL Programming
1

Dear Amibroker Community,

I hope you're all doing well. I've been exploring a way to merge the out-of-sample equity curves generated on individual symbols through walk-forward analysis into a single portfolio. However, I'm uncertain whether Amibroker supports this functionality. While I did come across a somewhat relevant post, it didn't provide a solution for this specific idea.

The primary objective is to combine the multiple out-of-sample equity curves generated from individual symbol's walk-forward analysis and determine the optimal allocation of funds to each symbol to achieve the best results. It's worth noting that all of these strategies use percentage position sizing, such as allocating 10% of the total equity. Consequently, simply summing up the equity curves won't yield the desired outcome.

I've considered the possibility of addressing this challenge with Python, but I'm curious to know if Amibroker offers a solution for this purpose.

I would greatly appreciate any assistance or insights you can offer. Thank you in advance for your help.

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Why don’t you just run portfolio backtest with equity being equal N times more and proper position sizing so each symbol only gets 1/N equity.

This way AmiBroker will generate OOS equity for many symbols just by itself, no need to combine anything.

https://www.amibroker.com/guide/h_portfolio.html

1 Like
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Hi Tomasz, thanks for the response. Not sure if I understand correctly but you are suggesting to backtest as a portfolio? My initial idea is to perform walk forward analysis on each symbol to generate a multi-year OOS period for each symbol. Then merge those OOS equities for different symbols as a single portfolio. How does the portfolio backtest achieve that?

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Please re read me previous answer. I explained how to do that.