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I tried your optimization idea, but how can I set my Buy, when my Buy
was based on a specific value (>= 18), now that I weight each
variable from 1 to 3 ??
opt1 = Optimize("Opt1", 1,1,3,1);
opt2 = Optimize("Opt2", 1,1,3,1);
opt3 = Optimize("Opt3", 1,1,3,1);
opt4 = Optimize("Opt4", 1,1,3,1);
opt5 = Optimize("Opt5", 1,1,3,1);
Buy = Binarys >= 18;
Sell = Binarys <= 9;
Binarys = ((BB_Phases_Binary*Opt1) + (EMABinary*Opt2) +
(ADXBinary*Opt3) + (MACDBinary*Opt4) + (SARBinary*Opt5));
Thanks for the guidance.
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> 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@> 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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