In my previous post I introduced the main concept I use to simulate the portfolio of strategies. In this post I will illustrate the mechanics of this approach.We will use a simple portfolio of 3 strategies that are described in this blog: WTAA, MEOM and DVI strategies. We will use Amibroker 5 steps to get to the result.
Requested my several readers, I post here the Custom Backtest File that I use. It includes features like go-in-cash, export stats, multiple entries etc. Credits go to Frank Hassler at engineering-returns.com that has shared his CBT and from which I took several code snippets. Download OutputStatistics.afl (rename file extension to .afl) QD