Hi Ara, Yes, I am already giving higher weight to my best trend signals. The trend system should maybe be an entirely different weighted system, perhaps... last night I thought of breaking my weighting down by timecycle of my indicators (fast, medium, slow), but realized this really breaks down into leading signals vs. trend signals. Both of which would likely do better with their own weighted system, since they are so different from each other.
Basically, the trend screen comes before the leading indicator signal screen. Screen by trend direction then sort by signal weight. So, total market trend > sector trend > stocks within sector > trending stocks > stocks with buy signal Each step of the way might require it's own weighting system. Lots of maintenance. Any nice way to get my cake without having to EAT it? The goal seems to be to automate the decision tree process, since this leaves more room for the intuitive process to take over. IMO, that's how gut-knowledge is accumulated, kind of like the guys who learn to predict the tape by watching the numbers for years, on their PDA, while working as a janitor at Walmart. Except those guys generally aren't trading when they learn this, which is why they have time learn it. ~Brian --- In [email protected], "Ara Kaloustian" <[EMAIL PROTECTED]> wrote: > > 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/
