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John:
>I have two independent signals: one only goes short, the other only
>goes long. Each has its own set of rules, stop losses, breakeven
>stops etc. I have tested and optimised each of them independently
>and each produced good results. I now wish to combine them in a
>single system reasoning that the long signal is not likely to be
>going long when the short is going short and vice versa. However
>when I combine them the combined system does worse than each of the
>other systems. I suspect that the problem may be that if you issue
>a long signal and the system is short it implies getting out of the
>short. Has anybody encountered a similar problem and is there a way
>to combine a system and still allow it to operate as though it were
>two independent systems?
This is interesting.
What I suggest is make a small modification to each signal, so that
they enter a new position ONLY when marketposition=0.
if marketposition=0 then buy....
This will ensure that, when one of the signal starts a trade, that
trade is allowed to complete without interference from the other
signal.
This will also result in one or the other signal missing a trade
here and there. But try it, and see if performance improves.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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