Using more than one trading signal, what is the interelation

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arjfca
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Using more than one trading signal, what is the interelation

Postby arjfca » 17 Feb 2011

Hello

Newby questionning:

Before i start to code for a 2' trading signals, I would like to know what is the interrelation between them.
Since my actual signal is quite complex, I don't want to modify it with new conditions.

Since my 2' signal may be as complexe as the first one, I want to make sure that I have a good understanding of the effect. So far, I did not found where I could get the informations

My questions stick arround
- What if I'm long in a signal, could I be short in the other one?
- If signal1 as no position and signal2 is long, will signal1 detect that i have a long position
- I actually look at my position in the market. If long or short modify my entry or stop positions.
How a 2' signal will modify my trading result. Will it prevent some entry to be executed, will it catch some trend without disrupting the overall signal1?

Basicaly, what is the interelation between different signal applyed to a same instruments in the same system.

Any input appreciated

Martin

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TJ
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Re: Using more than one trading signal, what is the interela

Postby TJ » 17 Feb 2011

arjfca wrote:Hello

Newby questionning:

Before i start to code for a 2' trading signals, I would like to know what is the interrelation between them.
Since my actual signal is quite complex, I don't want to modify it with new conditions.

Since my 2' signal may be as complexe as the first one, I want to make sure that I have a good understanding of the effect. So far, I did not found where I could get the informations

My questions stick arround
- What if I'm long in a signal, could I be short in the other one?
- If signal1 as no position and signal2 is long, will signal1 detect that i have a long position
- I actually look at my position in the market. If long or short modify my entry or stop positions.
How a 2' signal will modify my trading result. Will it prevent some entry to be executed, will it catch some trend without disrupting the overall signal1?

Basicaly, what is the interelation between different signal applyed to a same instruments in the same system.

Any input appreciated

Martin


Any time you have 2 hands in a pot,
you are going to have cross-contamination.

All autotrades should be dedicated.
ie. don't ask it to handle external complications, unless you have coded it to do so.

KISS

janus
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Re: Using more than one trading signal, what is the interela

Postby janus » 19 Feb 2011

Don't bother trying to use two (or more) rules to submit separate orders as you won't find the result to be what you expected.. It just doesn't work that way (although I wished it did). Combine your orders in your code so that you end up with one summarised order at the end of each bar (or tick if using IOG). So, if one rule says buy 2 contracts and the other says buy 3 contracts then the order will be buy 5 contracts (unless you want to overlap them for some reason and say buy 3, or have a maximum limit of how many contracts you want to buy). If one says buy 2 and the other says sellshort 3 then the end result will be sellshort 1 (although I'm not sure if such a scenario makes sense in the first place - but if it works for you when you back test your rules then go ahead).

I do it differently though. I have several rules that just generate either a long or a short. If multiple rules go both long and short then I do nothing as I consider that situation as indeterminate. If I get multiple signals of the same type (long or short) I just issue either a buy or a sellshort order with a fixed amount. Of course, it's more involved than this as I also have stops (for loss protection) and limit orders (for profit taking) but you get the general idea.


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