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Hi MG,
If you have a formula for strengt (?) then you van
examine on a great sample what value of strengt is statistical
significant. For instance the 2%,1%,0.5% highest
strengt.
I can examine this for the Euronext equities, but
its necessary to have a mesure for strengt.
Succes.
Paul Lerno (paul.lerno@xxxxxxxxxx)
----- Original Message -----
Sent: Saturday, June 04, 2005 11:53
AM
Subject: [EquisMetaStock Group] System
building - philosophical question
Hi there,
This is a general, almost philosophical
question, but some of you may
have had to deal with it before or may have
some ideas on it. It
pertains to automated trading and system
building. If you build an
automated trading system, you often create
some 'signal' and trade
based on this. Now, this signal could be say
the difference between
two moving averages, and you trade whenever they
cross which will be
exactly when the signal crosses the zero
line.
When you evaluate such a system, you buy when the signal goes
positive
and sell when it goes negative. All of this is fairly
general and
fairly common. Note in this example, however, that the
actual value
or magnitude of the signal does not play any role - the
important
thing is when it crosses the zero line. Again, no rocket
science in this.
I am toying with the idea to build a system based on
the *strength* of
the signal rather than when it crosses zero, which
introduces some
problems. The question really is, when do you then
enter a trade?
One obvious way is to put some band around zero and
trade when the
signal goes outside of this band. This complicates
matters as you
also have to create this band. Another way is to still
trade on the
zero-line crossover, which is fine but then you could just as
well
stick with the original where the whole system is built around this.
You could use a moving average of the signal line and trade when
they
cross, but this is just the same as trading a zero line
crossover.
What ideas do you have for automatically trading a system
using some
signal, that are not triggered by this signal crossing
zero?
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model
builder
http://www.ferra4models.com
http://fun.ferra4models.com
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