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Hi Eric,
The second version is correct, with the small numbers. It looks fine
and it does not matter that the weights are small, since they are all
small. It is the same thing to use W1 of say 1000 and W2 of 2000,
since relatively we use twice as much of W2 as of W1. Now this is 1
and 2. It could also be say 0.001 and 0.002, as long as the relative
relationship is maintained. Also, we now increase it by a percentage,
so again the size does not matter. If you increase 0.001 or 1 or 100
or 1000 by 10%, it all will increase by the same relative amount.
The PC and SM values become more important now. What are you
currently using for PC? I think it needs to be bigger (say enter 90
or 100) rather than smaller.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx> wrote:
> 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? since the
> weight took a long time to adjust a little bit.
>
> Thank you
> Eric :>
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