Combining Strategies

AFL Programming
1

Hello,

I am in the process of writing code to combine equity curves from different strategies. To avoid excessive approximation, my approach is to export buy and sell signals along with the equity curve. The buy signals allow me to properly scale the position size of the strategy as a function of its allocation and current combined equity, and then to calculate the combined equity contribution until the sell signal is found.

Easy for strategies with a single symbol and single position, but becomes hard once you have strategies with a singal position drawn from a watchlist, and even harder once you get to strategues with multiple open positions.

For the single symbol/single position case I simply export the buy and sell signals along with the equity curve accessed from bo.EquityArray.

As I am not CBT expert, could somebody point me in the direction of how to access final buy and sell signals for the multiple symbol/single position case? Assuming of course that CBT is the only possible route.

Or any other ideas should my approach be unnecessarily complicated ...

Thanks

Robert

2

A simpler approach is to treat each equity curve as a trading instrument. Begin by opening positions for each "instrument" (equity curve) using the target allocations for each strategy. Then rebalance the positions on some periodic basis by closing them all and reopening at the target allocation. The approximation is not perfect, but generally works pretty well.

1 Like
3

Sorry for my late reply ... Thanks!

Yes this can work. In the mean time - as I am a bit OCD - I pressed ahead with my approach and got it to work.

The simple approach you suggest is defnitely better for systems that trade often and open more than one positions.

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