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Hi MG Ferreira:
> One thing we have also used, for a more thorough, automated
solution,
> is to take a number of 'good' systems, say what we feel are the best
> 30 of the 1 ... 100 systems. Then we do not optimise, but
> standardise all of these 30 inputs. Again, this is not trivial and
> there is no simple answer, but we try to generate a value between -1
> and +1 for each of the 30 systems. So in stead of taking the say
> RSI (between 0 and 100), we divide by 50 and subtract 1 to get it to
> between -1 and +1, and do something similar with all the rest. So
it
> is easy to compare and easy to optimise.
This is the process of normalization as you mention, do you have any
suggestion on how to select the appropriate normalization please?
Referring to the article "Normalization" on Oct 2000, TASC, p.58-68.
There are three different types of normalization, such as
1) normalized to standard deviation
2) normalized to average true range
3) normalized to its own historical range
Should I only apply one type of normalization for all indicators, or
should I apply different type of normalization for different
indicators based on their own best performance?
On the other hands, if I don't normalize the indicators, and try to
define +1 for buy signal and -1 for sell signal for each indicator,
then do you know the drawback for this approach?
Thank you
Eric
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