Combining systems into one

[ScottMcNab]

I have a few “systems” floating in the scrap heap with great metrics but are not practical due to low exposure…may only have 3% exposure with 6% cagr etc
I thought it may be worth trying to group them all together to see if could get up to a decent level of exposure and cagr
My initial thought is to just have something like:

buysetup1 = cond1 and cond2 etc
buysetup2 = cond3 and cond 4 etc

buysetup = IIf(buysetup1 AND buysetup2,buysetup1, IIf(buysetup1 AND NOT buysetup2, buysetup1, IIf(buysetup2 AND NOT buysetup1, buysetup2,0)));

Anyone tried a similar clumping of outcasts? Better ways to handle buysetup?
Maybe through the ranking..?
eg
rank1 = atr(10)/close;
modifier = IIF(buysetup1,100,0);
rank = rank1 + modifier;

[GlenPeake]

For me, when I’ve looked at combining/testing multiple systems into one, my BUYSETUP/Cond code has looked something along these lines:

System1 = cond1 and cond2 and cond3;….etc etc
System2 = cond4 and cond5 and cond6;….etc etc
System3 = cond7 and cond8 and cond9;….etc etc

Buysetup = System1 or System2 or System3; …..etc etc

Then everything gets passed through on the same RANK calculation…

Were you also thinking/wanting to RANK each system with a different rank calculation?

[ScottMcNab]

Glen Peake wrote:

For me, when I’ve looked at combining/testing multiple systems into one, my BUYSETUP/Cond code has looked something along these lines:

System1 = cond1 and cond2 and cond3;….etc etc
System2 = cond4 and cond5 and cond6;….etc etc
System3 = cond7 and cond8 and cond9;….etc etc

Buysetup = System1 or System2 or System3; …..etc etc

Then everything gets passed through on the same RANK calculation…

Were you also thinking/wanting to RANK each system with a different rank

I was trying to work out what happens when have multiple stocks satisfying different systems and one system (eg A) is superior…so would prefer to trade stocks in system A even if rank would otherwise be lower than some stocks in system B…I prob have it all arse about again

[SaidBitar]

I tried this before same as mentioned sys1, sys2 but it is not accurate. Now i prefer to get the equity curve for each of them and combine them to see the results.

“when have multiple stocks satisfying different systems and one system (eg A) is superior”
Try using NOT in the condition
so lets say
system1 = cond1 AND cond2
system2 = cond3 AND cond4 AND NOT system1
what this means that if a signal (symbol) statisfies system1 it will not be bought in system2

[ScottMcNab]

Will give it a go..thanks Said

[Nick Radge]

Not quite what you’re after Scott, but I recently bought this…

https://alvarezquanttrading.com/multiple-strategies-backtest-and-optimization-tool/

[ScottMcNab]

Thanks Nick..I have been looking at that tool too. Are you happy with it ?
In the end, the results from combining multiple systems into one the way I was trying has not produced the synergy I was hoping for..instead of 1+1+1 the combo is giving something closer to 1.5. Most likely majority of entry signals common to the three systems

[Nick Radge]

Scott,
I think the tool is interesting but not sure its given me any more insights than adding together equity curves using excel. The optimisation function is also interesting, but at the end of the day will allocate the bulk to the highest returning system.

[JulianCohen]

I think the best thing about the tool is the ease of use. Just run the systems, run the tool and there’s the result.

[BenJeffery]

Scott McNab wrote:

Will give it a go..thanks Said

you can also look at using switch().

[ScottMcNab]

Will do Ben…no idea what it is but will do some digging
Cheers

[ScottMcNab]

Nick Radge wrote:

Not quite what you’re after Scott, but I recently bought this…

https://alvarezquanttrading.com/multiple-strategies-backtest-and-optimization-tool/

I have always thought it would be a tool that the company that makes STT could produce with a little modification. At the end of the backtest would (ideally) just copy/paste the list of trades from Amibroker into an excel spreadsheet…repeat for all systems want to test..click upload button….then have a function to select which systems want to combine, how much equity to give to each, if want to rebalance/frequency of rebalance…STT already has the metrics and graphs etc.

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