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Hi MG Ferreira:
For Kalman Filter's weighting factor, in term of selecting periods
for evaluation and out of sample. If I evaluate 4 indcators'
performance using the periods between 2000 and 2003 and adjust each
weighting factors based on their own ROIs, then each indicator has
been trained/optimized during this periods [2000 - 2003] for getting
the system's steady state. However, If I load any data within the
evaluation period by opening the chart, such as opening and loading
data between 2002 to present [2002 and 2003 overlapping the period
for evaluation] then will each indicator re-trained again during this
period by using the same information and cause the problem of curve
fitting? Do you have any suggestion on how to select the length of
period for evaluation and out-of-sample?
p1 = 20% [2000 - 2003] then w1 = 1000
p2 = 20% [2000 - 2003] then w2 = 1000
p3 = 40% [2000 - 2003] then w3 = 2000
p4 = 20% [2000 - 2003] then w4 = 1000
Should I open the chart and load the data starting after 2003 to
avoid this problem?
================================================================
On the other hands, if I combine 4 different indicators together,
such as
INDICATOR 1 - RSI
Sl = +(RSI(14)>30)*(REF(RSI(14),-1)<=30);
Ss = -(RSI(14)<70)*(REF(RSI(14),-1)>=70);
S = Ss+Sl+(Ss=0)*(Sl=0)*REF(S,-1);
Vl = RSI(14)-30;
Vs = RSI(14)-70;
T = Vs*(S<0)+Vl*(S>0);
Tfin1 = T/Max(ABS(T));
INDICATOR 2 - Moving Average
Sl = +(C-MOV(C,40,S));
Ss = -(MOV(C,40,S)-C);
S = Ss+Sl+(Ss=0)*(Sl=0)*REF(S,-1);
Vl = RSI(14)-30;
Vs = RSI(14)-70;
T = Vs*(S<0)+Vl*(S>0);
Tfin2 = T/Max(ABS(T));
...
Peroformance
p1 = 20% then assign w1 = 1000
p2 = 30% then assign w2 = 1500
...
For indicator 2, should I use 14 for moving average rather than 40
for avoid the potential problem of out of sync? or will penalty
function solve this problem as show below?
dr = C-REF(C,-1);
p1 = (dr*Tfin1>0)-(dr*Tfin1<0);
p2 = (dr*Tfin2>0)-(dr*Tfin2<0);
pc = 0.01
w1 = w1*(1+p1*pc);
w2 = w2*(1+p2*pc);
...
w = w1 + w2 + w3 +w4;
T = (w1*Tfin1 + w2*Tfin2 + w3*Tfin3 + w4*Tfin4) / w / 4;
If yes, then will it be no problem by combining different indicators
with different periods together as long as each one multiply each own
weighting factor? such as
Indicator 1 using 10 periods * w1 +
Indicator 2 using 30 periods * w2 +
Indicator 3 using 50 periods * w3 +
Indicator 4 using 60 periods * w4
Do you have any advise?
Thank you
Eric
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