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Hi Chuck,
Believe it or not, I might have actually figured this out.
I put the following code into the system:
Filter = Buy OR Short;
AddToComposite(Buy OR Short, "~system", "V");
This does give me a volume array for ~system, which contains the
number of signals for any given day.
(And I am slightly confused about whether I need both statements
above. One seems to apply only to explorations: filter; and the
other seems to apply only to scans: AddToComposite. But I am not
sure.)
Then I added:
CorrSig = Optimize("CS",1,1,10,1); //higher not necessary
Then to the Buy and Short statements I appended:
AND Foreign("~system","V") == CorrSig;
Then running an optimization apparently gives me exactly what I am
looking for: The total number of trades output via the optimization
run equals the correct total trade number.
The results are about as I expected. There is a clear linear
relationship between a higher CorrSig value and percentage winners.
In fact, at a couple of the higher values, there are simply no losers
at all, and the average percent winners at the top 1/2 is better than
83 percent, which beats the basic system by about 14 percent.
Of course, the higher numbers of CorrSig are a low percentage of
overall trades -- the top 1/2 producing only 29 percent of the total
trades. Compounding the difficulty of making something useful out of
this is that fact that my signals are intraday, and there is no way
to know when the first signal hits if any more will follow, or how
many more will follow.
Fortunately, I already know from testing that the system wins even if
I take the trades at the close, rather than intraday. It just
doesn't win as much, and the percentage winners drops off a bit --
it's much better to go in intraday if possible. So the next step will
be to see how it does on these large CorrSig days taking the trades
at the close. If it's worth it, I could consider increasing position
size on those days where by the close I know I have a high number of
signals. So I may get something very useful out of this yet. ^^_^^
Thanks much for giving me the hints. It was a big help.
Yuki
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