Recruitment of participants Multiple Strategies Backtest and Optimization Tool

Multiple Strategies Backtest and Optimization Tool

• Are you an AmiBroker user and trade multiple strategies?
• Frustrated that you cannot see how your strategies perform when traded together?
• Do you know how much you should allocate to each strategy?

Now using the Multiple Strategies Backtest and Optimization Tool you can answer these questions and more. All it takes is about 5 minutes. Watch the video below of me going from start to finish and see how quickly you can learn how your strategies are doing together.

As a quantitative trader, one of the best ways of improving performance and reducing risk is by trading multiple strategies.

Features

Combine up to 10 strategies
Select rebalance frequency: daily, weekly, monthly, quarterly, semi-annual, yearly
Set allocations per strategy and backtest to see how they do together
Optimize to find the right allocation for each of your strategies
Custom backtest report metrics: yearly returns, top 5 drawdowns, Sharpe Ratio and correlation
Generate a correlation matrix of your strategies

Simple Steps

Add a few lines of AFL code to your current strategy
Run backtest on each strategy to generate an equity curve
Load the Multiple Strategies Backtest and Optimization Tool in AmiBroker AFL
Set a couple of parameters
Run a backtest to see how your strategies work together
Run an optimization and find the best allocations

Watch me do it.



Assumptions/Limitations

Rebalancing is cost free
No knowledge about trades in each strategy. This means you have multiple trades in one symbol
Most trade metrics are meaningless
Exposure metric is not actual strategy exposure
Code does not work with walf-forward testing

Requirements

AmiBroker 6.0 or higher
Two or more of your strategies written in AmiBroker
Ability to add simple code to your current strategy AFL

What is delivered?

You will get the following

• Videos showing you how to add code to your existing strategies and then running the Multiple Strategies Backtest and Optimization code
• PDF explaining how to add code to your existing strategies and then running the Multiple Strategies Backtest and Optimization code
• Multiple Strategies Backtest and Optimization AFL code
• Three sample AFL files