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Hi MG Ferreira:
Thank for your suggestion, in order to compare only the performance
of entry signals for many indicators, I use a volatility exit
strategy for all of them, so I can compare only the entry efficiency
among indicators. After that, the highest entry efficiency can be
determined based on an arbitrary level of volatility exit strategy.
The problem I am facing is how to determine the appropriated level of
volatility exit strategy after that, if I change the level of
volatility, then the prior entry efficiency for each indicator will
be changed too. I need to determine both entry and exit efficiencies
independently, but they both are influenced each other. Therefore, I
am facing the problem of how to evaluate the exit efficiency. Should
I set an arbitrary entry strategy as a baseline or should I use the
prior indicator of the best entry efficiency as a baseline?
Do you have any suggestion?
Thank you
Eric
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
>
> Just a suggestion, if you are going to test a lot of indicators,
> use one of the simpler ones as a benchmark or use one that you know
> about, say that was published somewhere. Let's call it the baseline
> system. Then you can see if the others outperform or underperform
> relative to the baseline. Also, use the baseline to determine the
> stop loss and use this for all the rest.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
> http://www.ferra4models.com
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx>
wrote:
> >
> >
> > Does anyone know how to select the most appropriated level of
> > volatility stop loss indicator for a group of indicators?
> > There are a group of indicators to trigger their buy signals only
and
> > their exiting strategies are based on a volatility stop loss
> > indicator. For each indicator, their stop loss indicator can be
> > optimized for different levels of volatility, but there will be
> > difficult for comparing their buy signals' performance, since
their
> > exiting strategies are using different levels of volatilities or
> > comparing apples with oranges. If I set an arbitrary level for
the
> > volatility stop loss indicator for all indicators, then their buy
> > signals' performance can be compared, since we are comparing
apples
> > with apples. However, I get no idea how to determine the most
> > appropriated arbitrary level of volatility for the stop loss
> > indicator, does anyone have any great idea?
> > Thank you
> > Eric
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