KC Kid Member Posts: 23 Joined: 6/20/2013 Location: Olathe, KS  User Profile | If your market state includes RTM-17 and other strategies, perhaps 10 signals will be generated on a given day. Assume 3 are from RTM-17, our preferred strat (for sake of argument) and the other 7 come from a mix of the other strategies. Current ranking uses an OT indicator combination. So it is quite possible that if market balance is set to say 4, that the ranking function may select all, some or none of the RTM-17 trades. What I am proposing is to allow the strategy to play a role in the ranking. If two level ranking is implemented: 1. You could rank first on the strategy and then on the ranking function. The result in our example here is that the 3 RTM-17 trades will all be included in the 4 allowed (per market balance setting) and they will be sorted by the ranking function. Depending on available equity, perhaps only the first 2 trades can be taken. Result: we chose the best strategy and then took the top two choices by rank. 2. Thinking about it, I don't think making strategy ranking a secondary ranking will make any difference as it only serves as a tie breaker if the first ranking scores were equal (highly unlikely). My alternate proposal allows factoring in strategy selection into the ranking formula with weighting, recognizing that strategy alone may not be the most important ranking factor. I hope this clarifies my thinking. | |
