I am using 20+ different signals in my system. Each signal falls into
a specific category (trend, setup, divergence, etc.) and also has a
specific weight.
I am looking for pre-written AFL code that will identify a runup in
price over a specific amount of time, and then analyze the firing
sequence of the signals throughout the runup. Signals firing
immediately before or on the first day of the runup receive highest
weight, second day signals receive less weight, etc...
I then sum all the signal weights for all stock runups to determine
which indicators were the best predictors for all stocks in the
watchlist that were tested, using the system.
Anyone already do something like this and willing to share some code?
Or have some worthwhile advice before I spend some time coding this?
Pitfalls?
Thanks in advance!
Brian
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