Brian, I have just stated looking at this issue... Used it to identify continuation trades that have very high %win ratios and high returns. My thought is to increase the investment size if i have no position or get an extra "unit" of that stock.
I am using a combination of indicstors (CCI and MACD), but studying the signals that trigger at various levels of the indicators. Ara ----- Original Message ----- From: "Brian" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Saturday, March 11, 2006 8:41 AM Subject: [amibroker] What methods used for system signal weighting? > What methods are used for determining how to weight signals against > each other? I am giving each signal a strength score, on a scale of > 1-10 or 1-100 or ? for each signal. These signals are coming from > about 15 different indicators. > > I am not entirely sure what the best way might be to determine the > standard for helping me create a weighting scale. I was thinking > about using the Sharpe Ratio, or also the K Ratio, range found > during optimization as the scale for determining allocated weight. > Basically add up all ratio scores and divide by number of different > signals. I may use some coombination of net% profit, K Ratio and > Sharpe Ratio. Not sure yet. > > I remember reading that Keith Raphael (of Crosscurrents) uses > Fibonacci levels to determine how close a signal goes off to the Fib > level. I believe this is how it might work -- the proximity of the > Fib zone to the price level at the moment the signal is triggered > helps create a range scale which can then be used to determine a > standard for weighting each signal. Putting something like that > together seems so subjective though. > > Any advice based on experience? > > Thanks in advance, > > Brian > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> Try Online Currency Trading with GFT. Free 50K Demo. Trade 24 Hours. Commission-Free. http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
