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Mel

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Joined: 3/18/2006

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Subject : RE: OT 2018 ATS With VBX3 And Large Cap Stocks
Posted : 12/9/2017 12:06 PM
Post #29747 - In reply to #29723
Tried an experiment. Ran a strategy with z-score as the system, opened wider to generate more bad signals, and used z-score as one of the ATS rankers to see what improvement one gets. The idea was to let ATS select the best signals, rather than acting as a filter. Helped some, but I was better off tightening the system parameters instead. Reinforces the idea that you are better off using ATS as an adaptive filter on something not related to the system.

Mel
Deleting message 29747 : RE: OT 2018 ATS With VBX3 And Large Cap Stocks


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