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suppose signal1 has a value of either 0 or 1 for
example a market signal
signal2 has a value between 0 and 100 and you could set
buy = signal2 > 70
now you can create a composite = signal1 + signal2 *
a
set buy = composite > whatever;
you put whatever and a in the optimizer and study how
it affects your performance.
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
> > >
> > >
>
> >
> > >
> > >
> > >
> >
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> >
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> > >
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>
> >
>
>
>
>
>
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