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Yuki,
You might try a "calibration" run without any quantification of number of
trades first and store results in an ATC or just manually read the results
of numbes longs and shorts....
For your final run incorporate the values into your trading conditions.
Ara
----- Original Message -----
From: "Yuki Taga" <yukitaga@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 20, 2004 4:16 PM
Subject: [amibroker] testing signal correlation
> Hi guys,
>
> I already have a pretty good idea just from looking over back test
> results that signal success seems highly correlated with the number
> of signals I get on any particular day. That is to say, out of a
> basket of, say, 20 stocks, if 8 or 10 of them signal the same way, it
> seems highly likely that a very high percentage of those signals are
> going to be good, whereas if only a single stock triggers on a
> particular day, the odds of success, while still good, are not nearly
> as good as when many issues signal at the same time.
>
> I'd like to try and quantify that in a back test, but I am not sure
> how to write the code. I need to include some argument in the buy
> and short statements that requires a certain level of "participation"
> before any signals are taken. (This would allow me to run various
> back tests for that level, in an attempt to discover if this is even
> a condition I should consider requiring.)
>
> Can anyone help with the argument part of this?
>
> Best,
>
> Yuki
>
>
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