Mel Veteran   Posts: 235 Joined: 3/18/2006  User Profile | For best results, you need a ranking measurement that is different from the basis of the underlying system. z-score improved the VBX result some, but z-score is a lot like the underlying Bollinger Bands in VBX. When I used it on an RTM system that had nothing to do with the band-like stretch from a MA, it made dramatic improvements. So I would expect a momentum indicator to improve a non-momentum system more that another momentum indicator would. I would expect unbounded indicators to do a better job of sorting than bounded ones (that can get pinned at 100) for example, and fail to make meaningful distinctions among the better trades. It takes a lot of trades to see the effects of ATS indicators clearly. But once we know the effects, we can choose the right ones for different kinds of systems, even those that do not generate lots of trades. Potential ATS indicators include, momentum, z-score, linreg slope, candle patterns, distance form last pivot, volatility changes, relative money flow, relative volume, implied volatility, distance to support/resistance, signal to noise ratio, trading range, and tradeability. My advice is to understand what you system is doing, at its root, widen your filters to let more trades through, and try those indicators that do something different from your system in your ATS experiments. Mel [Edited by Mel on 12/9/2017 8:22 AM] | |
