Profile Picture

Multiple systems in same backtest

Posted By GB15 3 Years Ago
Posted Wednesday February 03 2016
I'd like to code a system that will keep track of returns of three sub-systems simultaneously but only place actual trades on one of the sub-systems at any particular time.  The sub-system that is active at any particular time will depend on the theoretical returns of the two inactive sub-systems.  In other words, the code will always be tracking theoretical returns of each of the three sub-systems, but will only be actually trading one of the sub-systems at a time.  Any ideas on how this can be done?  Many thanks for any advice.  Loving RightEdge!  Greg
Posted Friday February 12 2016
Hi Greg,

There's not a great way to do keep track of theoretical returns in RightEdge today.  One way would be to just keep track of it and write all the calculations yourself.

Another possible way would be to use an optimization plugin.  Run separate optimization runs for each of the three systems, and then do a fourth run where the trades that are taken are based on the returns from the previous results.

Posted Sunday July 03 2016
Hi Greg,

I'm working on something similar. If the account value drops to a 1 year low, it closes all positions, then enters again when the 2 week average of the account value crosses above that 1 year low line.

Managed to do it by running the simulation, storing the equity curve as an 'instrument' in the watchlist, then refresh the instrument in the watchlist and re-run the simulation using indicators on the instrument to decide when to trade or not.

Running this with batch command, together with a bunch of Excel macros and C# programs.

Carlos Mata
Posted Sunday June 25 2017

Regarding "...One way would be to just keep track of it and write all the calculations yourself....", is there any chance to make the code of calculating the system performance publicly available? Where I'm attempting to head to is to track the strategy in the Position's Tag/Description, and then basically just replicating all the existing performance calculations in RE, but it breaks down/groups by the strategy (again, via the Position's Tag).  RE looks like a dead product, is there any thought of giving the source code to the licensees (with some additional fees perhaps) so at least we can further enhance RE for our own use? 

Posted Sunday June 25 2017
I second the request to consider giving source code to licensees if development of RE has reached the end of the road.  I'd pay more than a liitle bit and suspect others would as well - it's a great product.  Greg
Posted Sunday July 09 2017
I agree with Brian. It would be great to have a chance to enhance RE for our own use.
Best regards,

Similar Topics

Reading This Topic

2005-2019 © RightEdge Systems