|
PureBytes Links
Trading Reference Links
|
Make a composite signal and backtest it,
no?
composite signal = signal1* signal^a or
composite signal = signal1 +
signal2*a;
Hi Ara,
Yes, I am already giving higher weight to my best
trend signals. The
trend system should maybe be an entirely different
weighted system,
perhaps... last night I thought of breaking my weighting
down by
timecycle of my indicators (fast, medium, slow), but realized this
really breaks down into leading signals vs. trend signals. Both of
which
would likely do better with their own weighted system, since
they are so
different from each other.
Basically, the trend screen comes before the
leading indicator
signal screen. Screen by trend direction then sort by
signal weight.
So, total market trend > sector trend > stocks within
sector >
trending stocks > stocks with buy signal
Each step of
the way might require it's own weighting system. Lots
of maintenance. Any
nice way to get my cake without having to EAT it?
The goal seems to be to
automate the decision tree process, since
this leaves more room for the
intuitive process to take over. IMO,
that's how gut-knowledge is
accumulated, kind of like the guys who
learn to predict the tape by watching
the numbers for years, on
their PDA, while working as a janitor at Walmart.
Except those guys
generally aren't trading when they learn this, which is
why they
have time learn it.
~Brian
--- In
amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx>
wrote:
>
> 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@xxx>
> 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
>
>
> >
> >
> >
> >
> >
>
> Please note that this group is for discussion between users only.
>
>
> > To get support from AmiBroker please send an e-mail directly
to
> > SUPPORT {at} amibroker.com
> >
> > For other
support material please check also:
> > http://www.amibroker.com/support.html
>
>
> >
> > Yahoo! Groups Links
> >
>
>
> >
> >
> >
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
SPONSORED LINKS
YAHOO! GROUPS LINKS
|