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I would make the wieghting of each one an Optimize variable and run it
through the opitimizer.
Determing when to buy & sell would require additional optimization
variables.
After you do all that, you will probably get an answer of "it
depends". Because the optimum weighting will depend on many things:
your universe, your time horizon, your risk tolerance, your objective,
and many more.
--- In amibroker@xxxxxxxxxxxxxxx, "gmorlosky" <gmorlosky@xxx> wrote:
>
> I have an end of day system that will use the following indicators
with
> binary values for each. I was wondering if anyone has an opinion on
how
> to weight each indicator?
>
> 1. Bear_Bull phases = 4 is bullish and 0 is bearish (4,3,2,1,0).
> 2. EMA = 3 is price is above all moving averages and they are stacked
> bullish and -3 is bearish (3,1,-1,-3).
> 3. ADX = 4 is bullish and increasing and 0 is bearish, with 2 being
no
> trend zone (4,3,2,1,0).
> 4. MACD = 4 is bullish and 0 is bearish (4,3,2,1,0).
> 5. SAR = 1 is bullish and 0 is bearish (1,0).
>
> Thanks
>
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