KC Kid Member Posts: 23 Joined: 6/20/2013 Location: Olathe, KS  User Profile | One potentially powerful ranking technique is Rank by Strategy. In other words, select trade signals from the most profitable (or most stable) strategies first. In HRE trading, this can be accomplished by first renaming your strategies in use so that alphabetically they sort themselves from highest to lowest performance rank. This assures that when multiple strategies fire on a symbol, the highest ranking strategy is assigned to the signal. Next, you use the strategy column in focus list as a sort column to allow the best strategy signals to rise to the top. Someone correct me if I am wrong, but FL sorting has no impact on perf analysis reports or port sym runs. So there is no way to backtest the effect of ranking by strategy type as I describe above. Extending this to ATMS, can we add the ability to sort by strategy? Potentially, this could be done two ways. 1. Add a second level sort tab that allowed you to add strategy sorting either as the primary or the secondary sort. 2. Add the ability to assign weights to strategies so that strategy becomes part of the ranking formula. This second option does add a level of complication to developing and optimizing the ranking formula, but may prove powerful. Here is how I envision implementation: Assume 3 strats are chosen for a market state - ARM RTM-17, XLS-19, VBX-3. You can assign strategy ranking weights to each strategy that will determine how much the strategy will influence the overall ranking. Example: ARM RTM-17 = 5, XLS-19 = 4, VBX-3 = 1 The strategy ranking individual weights need to be programmable for each market state. While in a long bull state, the above ranking example may make sense, in a bear state, the chosen strategies may all be equally ranked in value. Next, a ranking multiplier is applied to the strat ranks to determine how much influence the strategy impacts the overall ranking. Example: VTY_Price * X + SMA(10)*SMA(V,10) * Y + StratRank() * Z Optimize for X, Y, Z. In retrospect, either of the options could be extended to ATS and made available to all OT 2018 owners. | |
