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Brian,
I have just stated looking at this issue... Used it to identify
continuation trades that have very high %win ratios and high returns. My
thought is to increase the investment size if i have no position or get an
extra "unit" of that stock.
I am using a combination of indicstors (CCI and MACD), but studying the
signals that trigger at various levels of the indicators.
Ara
----- Original Message -----
From: "Brian" <brianrichard99@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, March 11, 2006 8:41 AM
Subject: [amibroker] What methods used for system signal weighting?
> What methods are used for determining how to weight signals against
> each other? I am giving each signal a strength score, on a scale of
> 1-10 or 1-100 or ? for each signal. These signals are coming from
> about 15 different indicators.
>
> I am not entirely sure what the best way might be to determine the
> standard for helping me create a weighting scale. I was thinking
> about using the Sharpe Ratio, or also the K Ratio, range found
> during optimization as the scale for determining allocated weight.
> Basically add up all ratio scores and divide by number of different
> signals. I may use some coombination of net% profit, K Ratio and
> Sharpe Ratio. Not sure yet.
>
> I remember reading that Keith Raphael (of Crosscurrents) uses
> Fibonacci levels to determine how close a signal goes off to the Fib
> level. I believe this is how it might work -- the proximity of the
> Fib zone to the price level at the moment the signal is triggered
> helps create a range scale which can then be used to determine a
> standard for weighting each signal. Putting something like that
> together seems so subjective though.
>
> Any advice based on experience?
>
> Thanks in advance,
>
> Brian
>
>
>
>
>
>
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