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Hi MG Ferreira:
DR:=(C/Ref(C,-1)-1)*C;
P1:=DR*((T1>0)-(T1<0));
Sample for P1:
04-27-05 -19.9116
04-28-05 70.1324
04-29-05 -0.4502
05-03-05 14.9729
05-04-05 -51.2578
05-05-05 -117.6266
05-06-05 27.6853
05-09-05 0.0000
05-10-05 66.3936
05-11-05 78.9304
P1 is the penalty function, if I redefine the daily return to be
DR:=(C/Ref(C,-1)-1), then
Sample for P1
04-29-05 -0.0000
05-03-05 0.0011
05-04-05 -0.0037
05-05-05 -0.0084
05-06-05 0.0020
05-09-05 0.0000
05-10-05 0.0047
05-11-05 0.0057
which seem solve fit the range, and the W1 is more stable,
Sample for W1
Loading 2000 days for data, current W1 = 1.156153
Loading 1000 days for data, current W1 = 1.055910
Loading 500 days for data, current W1 = 1.023015
Does it what you expect for the result?
Am I on the right track to solve this problem by redefining the daily
return? Learning seems a little bit too slow, isn't it?
Thank you
Eric :>
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