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Hi Eric,
I am glad you are smiling again!
In terms of the ratio between the weights. PC will not influence it a
lot and SM will only influence it in the shorter term. Since the
weights adjust themselves, a weight of 3% means in effect that that
indicator has been discarded from the system. So you do not really
have to worry about physically taking it out - it is out in practise!
Also, I'd be hesitant to change a system too much based on hindsight.
I am sure superf can write many comments on such an approach! You
can now think of adding more indicators to the system. Maybe also
change the range on PC from 0-100 to 0-200 or even 0-500 and play
around with some of the bigger numbers, say 200. But there is not too
much in there - the next step is to have individual PC and SM values,
but the complexity it adds I think outweigh the benefit it delivers.
By the way, I think the system now resembles a neural network to some
extent.
Since weights are adjusted dynamically they will change over time.
This is good and it fades different indicators in and out as they
deliver or fail to deliver performance. The only thing that can
happen, and probably will happen a lot, is that a particular indicator
be faded out completely (like 3% weight). It is also common to have a
lot of indicators fade out and just one or two dominant ones remain.
We sometimes force indicators to remain present in a system even if
they don't work. You sometimes want to retain an indicator to keep
the system from being overoptimised even if it does not seem to add
value. This depends on the optimisation process too, so I am not sure
how it would apply here. Again, we are *not* optimising since we
adjust weights on observed performance and we are not iterating over
the whole sample. To do this you need the individual PC and SM
variables, so I am not sure we really want to go that far here.
Anyhow, keep us informed of the system's developments.
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:
> 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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