hi Ara,
indeed I did try something similar like:
PositionScore = IIf(Ref(sc1 OR bc1,-1),Ref(dmap,-1),IIf(Ref(sc2 OR
bc2,-1),1/Ref(dmat,-1),Null);
you can combine the signal with the proper ranking but once the backtester goes
through all bars during the backtest it will find for instance 40 signals of
both types and then rank them. However the algorithm I use to calculate the
ranking is different for both type of signals so the numbers that I use to rank
signals of type 1 and 2 can not really be compared. The backtester can not see
this and will rank them as 1 bunch of signals.
So before I start the ranking I want to seperate the signal types per bar and
then rank them separately. But therefor I need to be able to retrieve what type
of signal I am dealing with. I need to be able to read the "label" on the
signal.
regards, Ed
----- Original Message -----
From: Ara Kaloustian
To: amibroker@yahoogroups.com
Sent: Wednesday, July 11, 2007 7:21 PM
Subject: Re: [amibroker] signal type
Ed, I have not used the CBI, but I beleive there is only one ranking
parameter - PositionScore.
How about separating the trending from choppy signals before processing.
Example:
You already know which signals were derived under what conditions... so how
about doing this:
if (sigtype ==1)
{
PositionScore = your type 1 parameter;
}
else
{
PositionScore = your type 2 parameter;
}
Again, I have not done this, but worth looking into. CBI may support this
structure
----- Original Message -----
From: Edward Pottasch
To: amibroker@yahoogroups.com
Sent: Wednesday, July 11, 2007 9:59 AM
Subject: Re: [amibroker] signal type
hi Ara,
what I like to do is use different type of signals in 1 system. I want to
combine signals that are sensitive for trending markets (type 1) and those that
are sensitive for choppy markets (type 2). When I rank these signals Amibroker
will rank them as one bunch of signals. Say I have 20 signals of type 1 and 20
op type 2 then I want to tell Amibroker to rank these 2 types separately and
depending on the market condition divide my money amongst the two types.
In the CBI this would be possible. I just have to be able to label the
signals of which type they are. To my knowledge this is not possible. In the
CBI I need to be able to retrieve whether I am dealing with the choppy market
signal or the trending market signal.
Is this possible or will I need to add this as a request in the feedback
center?
rgds, Ed
----- Original Message -----
From: Ara Kaloustian
To: amibroker@yahoogroups.com
Sent: Wednesday, July 11, 2007 5:52 PM
Subject: Re: [amibroker] signal type
Ed,
I am not sure what the issue is.
A signal type, the way I would define, would be based on its criteria.
For example:
BullishLongPeriod = Criteria(LongPeriod);
BullishShortPeriod = Criteria(ShortPeriod);
----- Original Message -----
From: Edward Pottasch
To: amibroker@yahoogroups.com
Sent: Wednesday, July 11, 2007 2:15 AM
Subject: [amibroker] signal type
hi
as far as I know one can not define a signal type in Amibroker, am I
right? What I mean is that I am working with systems that have multiple signal
types:
for instance:
signalType1 = ....;
signalType2 =....;
signalType3 = ....;
Buy = signalType1 OR signlType2 OR signalType3;
I would like to add to this signal what type of signal it is for
ranking purpose. This way I can rank the different signal types separately.
You can use a different ranking algorithm for each signalType but in the end
the backtester will put all signals together and choose the best ranking ones.
If one uses different algoritms then ranking will not work properly. One will
have to rank them seperately but then you have to be able to retrieve what type
of signal it is in the CBT,
any ideas?
thanks, Ed
