New concepts?

Mar 28, 2009 at 4:27 PM
Hi, are the definition and usage of scenarios used anywhere else, or did you invite it?
Have you tried more than 4 days when building scenarios?
Did you invent the risk normalization formula as well? 1 - e ^ (-x/5.77) ?
Thanks for allowing others to access your work.
Coordinator
Mar 28, 2009 at 6:22 PM
Hi pethoer,

Thanks for your interest.

The scenario idea definition was made up by us, but i am sure similar ideas are used in Technical-Analysis research. None of us have any prior knowledge or experience so probably many of the things we "invented" already exist in real world trading.

Scenarios lengths used during testing were longer than 4 days, but most of the trades ended after less than 4 days. You can try running it with longer period (change it in StockSignalScenariosGenerator.cs) but due to the poor performance you must be patient :)

The risk formula was invented by us as well. You probably know that there are many ways to calculate risk, but we needed a key of risk which will fit the scenarios way of use. There must be better ways to "measure" the risk, this one is a little arbitrary. I assume that there are also traditional risk keys for Technical-Analysis.

Please feel free to ask whatever i haven't made clear.