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Dans un courrier daté du 04/11/98 19:12:18 Heure d7iver Pari18 Madrid,
jrt@xxxxxxxxxx a écrit :
> have come across some very common problem which appears when one
> constructs trading signals.
>
> What has been bothering me is the following:
>
> Lets say I have got a two indicators which work well across a number
> of markets and which are meant to have a predictive meaning. They
> are implemented in the following way:
>
> IF (Indicator1 > threshold1) and (Indicator2 > threshold2) then buy
> IF (Indicator1 < - threshold1) and (Indicator2 < - threshold2) then
> sell
>
> Basically two conditions must be satisfied before a long position is
> established or reversed.
>
> This system works well however it is wrongly constructed in my
> opinion because if I assume that these indicators have got
> a predictive meaning then one should not be in a position when one of
> the conditions is NOT satsified. So from a logical point of view the
> system should be rather:
>
> IF (Indicator1 > threshold1) and (Indicator2 > threshold2) then buy;
> IF (Indicator1 <= threshold1) or (Indicator2 <= threshold2) then
> exit long;
> IF(Indicator1 < - threshold1) and (Indicator2 < - threshold2) then
> sell;
> IF(Indicator1 >= - threshold1) or (Indicator2 >= - threshold2) then
> exit short;
>
> Basically the system is only in the market when both conditions
> are satisfied and not as in the first case until a new position is
> established.
>
> However this system does not perform at all profits. So what is
> the conclusion from this exercise ?
>
> 1. The indicators are not valid at all.
> 2. The indicators are only wrong for the exit signal.
>
> Has anyone got any suggestion how to test either of these theories ?
>
> Gerrit Jacobsen
>
>
1 and 2 are possible, but there is another one
Your example is a typical one that use crisp values where you limit your
choice to 2*2 boolean conditions, what restricts the power of your indicators.
The complete solution could be given using fuzzy logic for example.
No proof that the exit levels are given by the same values for long and
short entries/ exits.
You can try with our free neurofuzzy thing version 2 and your two
indicators.
I bet that it will find a better solution than any crisp coding.
Within minutes.
Sincerely,
Pierre Orphelin
www.sirtrade.com
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