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Re: [amibroker] Re: System tweak



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Hi Ed,

Can you tell more about the 'signal to noise" ratio and how to build it?

In the same way, I am looking for a way to integrate a zigzag function related to ETF in a formula.  Is it possible to automatically set the zigzag function and select, let's say the 100 best results (that is, reacting like the ETF)  in the last 252 days which would then be automatically traded?  I want to avoid having to redo a new watchlist all the time...

Thanks,

Louis

2008/5/20 Ed Hoopes <reefbreak_sd@xxxxxxxxx>:

1. 200 symbols sounds like a lot. Spend some time on CAREFULLY
selecting a universe of NON-correlated ETFs. You can find an .afl
that produces a correlation matrix either here or at the AB website.
Only include low correlated ETFs in your list say < 0.6 and > -0.6 (or
whatever bounds you like).

This should drop your list down to several dozen.

2.(with all due credit to Howard Bandy) Think of a reversion to mean
system rather than a trend following system you have outlined below.

3.Think about the signal to noise ratio of your ranking system. ROC
only uses 2 values to compute the ROC. This produces a very noisy
signal and lots of buys / sells based solely on random noise - not
good. Think about all of those estimates of the value of the ETF in
between.

Reef Break
"Headed for Acid Drops in a few days - can hardly wait"



--- In amibroker@xxxxxxxxxxxxxxx, "upsidetarget" <digimax@xxx> wrote:
>
> I use a simple ETF RS system (on 200 symbols) which I want to put into
> Amibroker. Here is what I have so far:
>
> PosQty = 14;
> SetOption("MaxOpenPositions", PosQty );
> PositionSize = -100/PosQty;
> PositionScore = ((ROC(C,63)+ROC(C,252))/2);
> Buy=ROC(C,63)>0 AND ROC(C,252)>0 AND Percentile(ROC(C),63,69) AND
> Percentile(ROC(C),252,69);
> Sell=???;
>
> I don't think this will do it...
>
> What I want is to take a percentile ranking of ROC(C,63)
> and a percentile ranking of ROC(C,252), add them and divide by 2.
>
> Example: ROC(63) rank = 70, ROC(252) rank = 90
> ... result (70+90)/2=80 [average rank]
>
> Buy: Average Rank =>80
> Sell: Average Rank <80
>
> Problem is, I don't think I can use percentile ranking to get this
> done. Is there another way?
>
> Thank for any ideas...
>
> Michael
>


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