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Hi MG Ferreira:
How about to define LONG AND SHORT signals separately? such as
LONG: RSI(14)>30;
SHORT: RSI(9)<70;
Ss =-(RSI(9)<70)*(Ref(RSI(9),-1)>=70);
we get a -1 value every time we have to short.
Sl =+(RSI(14)>30)*(Ref(RSI(14),-1)<=30);
and we get a +1 every time we have to go long.
At this moment, I cannot combine all of this into a single indicator,
because I want to apply penalty function for LONG and SHORT signals
separately.
Do you have any suggestion on how to approach Kalman filter in this
case?
Indicating the strength for each sigals, then
we add the following:
Vs = RSI(9) - 70
Vl = RSI(14) - 30
Ts = min(0,Vs)*(Ss<0);
Tl = max(0,Vl)*(Sl>0);
Normalization between -1 and +1
Ts_Norm = Ts/ABS(min(Ts));
Tl_Norm = Tl/max(Tl);
At this moment, LONG AND SHORT signals could occur at the same time.
Do you have any idea how to handle the signals in this case?
Under different kinds of situation, LONG signal will be triggered.
For example, Tl_Norm > 30% or Ts_Norm>Ref(Ts_Norm,-1)
Do you have any more suggestion on how to trigger the LONG signal in
another way?
Thank you
Eric
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