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Hi MG Ferreira:
I have tested it, and select 85 for PC and 10 for SM.
In term of ratio between 3 indicators, what should I need to pay
attention? such as
CASE 1
W1 = 10%
W2 = 30%
W3 = 60%
TOTAL = 100%
CASE 2
W1 = 33%
W2 = 33%
W3 = 34%
TOTAL = 100%
CASE 3
W1 = 3%
W2 = 17%
W3 = 80%
In above samples, do you have any idea on how to handle or adjust it
when the above situation occur? such as replacing a better indicator
for the worst one (3%), adjusting inital weights ... etc.
Do you have any suggestion please?
Thank you
Eric :>
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> 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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