I have a portfolio consisted of a regular stock trading, stocks rotational system, and futures. I was wondering if there's a way to use Amibroker to backtest the entire portfolio with portfolio level money management calculation.
As I understand it you can't run regular backtest and rotational system from the same AFL, and you can't run stocks and futures together. Please correct me if I'm wrong.
Any suggestions on the best way to do portfolio backtest or where to start will be greatly appreciated.
Yes you can use both together. Just make sure you set proper values for MarginDeposit and PointValue. If you are mixing both types you need to either NOT set MarginDeposit at all for stocks (then they will default to MarginDepost equal current close price, which means that
the deposit is equal to close price) and pointvalue to 1 (also the default). For futures you need to specify correct values on per-contract basis (in Symbol Information window).
Thanks, good to know.
What about running regular backtest and rotational system from the same AFL for a complete portfolio?
Both can be run without problems.
Great, can you please direct me on how can I run regular backtest and rotational system from the same AFL? I tried to combine them but either the regular section is ignored or I get the 'In Rotational trading you MUST NOT use buy/sell/short/cover signals' error.
Do you mean that I need to build the rotational system by myself using the custom backtest or is there an easier way?
You can run ONE or the OTHER because these are mutually exclusive.
Rotational mode does NOT use signals at all.
I guess you may be unaware that regular mode natively supports ranking the same way as rotational, so if you want signals AND ranking just use regular mode as explained in manual: