[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[EquisMetaStock Group] Re: Rules Management for Trading System



PureBytes Links

Trading Reference Links

Hi MG Ferreira:
  I need to take some time to test a lot of variables, such as PC amd 
SM. Due to the limitations of Metastock, it limits 20 variables for 
maximum. Will it be ok to determine each indicator's PC and SM in 
following approach, such as

For the inital stage, the PC and SM for all indicators are 
determined, which is PC=85 [0-100] and SM=10 [0-100] and 
PC=240 [0-500] and SM=15 [0-200], then I pick PC=240 and SM=15 to be 
the default value for all indicators, then 
when I determine PC and SM for W1 

STEP 1
PC=??? and SM=?? for W1 [after evaluation PC=200 and SM=10]
PC=240 and SM=15 for W2 [default value]
PC=240 and SM=15 for W3 [default value]
PC=240 and SM=15 for W4 [default value]

STEP 2
PC=200 and SM=10 for W1 
PC=??? and SM=?? for W2 [after evaluation PC=250 and SM=20]
PC=240 and SM=15 for W3 [default value]
PC=240 and SM=15 for W4 [default value]

STEP 3
PC=200 and SM=10 for W1 
PC=250 and SM=20 for W2
PC=??? and SM=?? for W3 [after evaluation PC=80 and SM=5]
PC=240 and SM=15 for W4 [default value]

STEP 4
PC=200 and SM=10 for W1 
PC=250 and SM=20 for W2
PC=80  and SM=5  for W3
PC=??? and SM=?? for W4 [after evaluation PC=130 and SM=7]

RESULTS
PC=200 and SM=10 for W1 
PC=250 and SM=20 for W2
PC=80  and SM=5  for W3
PC=130 and SM=7  for W4

Does it cause any problem if I determine each PC and SM in this 
approach?  I assume that each indicator has his own learning rate, so 
the PC and SM for each indicator will not be influenced each other. 
Am I right?

On the other hands, in term of managing indicators, divergence 
indicator is hard to manage too, since it is a leading indicator and 
has no clearly defined buy and sell signal. There is no problem on 
normalizating it, but can divergerence indicator be added into the 
pool too?  such as, if RSI(14) divergence occurs, and I assume that 
trend could be changed in the near future, but there is no way to 
know how long, then the period between the first day for divergence 
[first] and the first day for changing in trend [later] will affect 
the weight's performance if I do the same approach as what I have 
done. Do you have any suggestion on managing divergence indicator?
Thank you
Eric :>


--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx> 
wrote:
> 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 :>




------------------------ Yahoo! Groups Sponsor --------------------~--> 
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~-> 

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/equismetastock/

<*> To unsubscribe from this group, send an email to:
    equismetastock-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/