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[amibroker] Re: What methods used for system signal weighting?



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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:
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> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> >
> 
> 
> 
> 
> 
> 
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