PureBytes Links
Trading Reference Links
|
Paul,
If I understand what you are suggesting, it sounds very much like
something I did awhile ago, but did not get very good results with
it.
Could you give a clearer explanation about what you are talking
about? What you wrote may be interpreted in more ways than one.
Not sure if you suggest using "AddToComposite", or are thinking
something else.
Thanks!
Brian
--- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>
> Make a composite signal and backtest it, no?
> composite signal = signal1* signal^a or
> composite signal = signal1 + signal2*a;
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Brian
> Sent: Sunday, 12 March 2006 4:22 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: What methods used for system signal
weighting?
>
>
> 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@> 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@>
> > 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
> Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+management+software&w1=Inves
>
tment+management+software&w2=Real+estate+investment+software&w3=Inves
tment+p
>
roperty+software&w4=Software+support&w5=Real+estate+investment+analys
is+soft
> ware&w6=Investment+software&c=6&s=200&.sig=_XXUzbE9l5lGlZNcMu4KNQ>
> management software Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+software&w1=Inve
>
stment+management+software&w2=Real+estate+investment+software&w3=Inve
stment+
>
property+software&w4=Software+support&w5=Real+estate+investment+analy
sis+sof
>
tware&w6=Investment+software&c=6&s=200&.sig=5_sgDczz3ArKGMtJ9tFSJA>
estate
> investment software Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+property+software&w1=Investm
>
ent+management+software&w2=Real+estate+investment+software&w3=Investm
ent+pro
>
perty+software&w4=Software+support&w5=Real+estate+investment+analysis
+softwa
> re&w6=Investment+software&c=6&s=200&.sig=_N6zcwefgp4eg5n6oX5WZw>
property
> software
> Software
> <http://groups.yahoo.com/gads?
t=ms&k=Software+support&w1=Investment+manageme
>
nt+software&w2=Real+estate+investment+software&w3=Investment+property
+softwa
>
re&w4=Software+support&w5=Real+estate+investment+analysis+software&w6
=Invest
> ment+software&c=6&s=200&.sig=MJ2jP31F3n64RDZkDadU8w> support Real
> <http://groups.yahoo.com/gads?
t=ms&k=Real+estate+investment+analysis+softwar
>
e&w1=Investment+management+software&w2=Real+estate+investment+softwar
e&w3=In
>
vestment+property+software&w4=Software+support&w5=Real+estate+investm
ent+ana
>
lysis+software&w6=Investment+software&c=6&s=200&.sig=GmF8PlAJASx0wrSa
X5-Zlw>
> estate investment analysis software Investment
> <http://groups.yahoo.com/gads?
t=ms&k=Investment+software&w1=Investment+manag
>
ement+software&w2=Real+estate+investment+software&w3=Investment+prope
rty+sof
>
tware&w4=Software+support&w5=Real+estate+investment+analysis+software
&w6=Inv
> estment+software&c=6&s=200&.sig=aMgGsKT4w29dMAYUzQUKzg> software
>
> _____
>
> YAHOO! GROUPS LINKS
>
>
>
> * Visit your group "amibroker
> <http://groups.yahoo.com/group/amibroker> " on the web.
>
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/> .
>
>
> _____
>
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM
--------------------------------------------------------------------~->
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|