Reply To: Composite Modeling

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#66979
Andrew
  • Topics: 7
  • Replies: 5
  • Posts: 12

Matthew,

I have been through all three levels of the scripting courses. I do understand the basic Boolean 1 or 0 (True or False) tests for a ranking system. However what I’m looking for is scoring system that, depending upon what the numeric value of the technical indicator is, would rank each of five technical indicators +1 or -1. The total score for the composite model would run +5 (all indicators bullish with a +1 reading) to -5 (all 5 indicators bearish with a -1).

Another example (using two of the five indicators):

RSI(10)
Rules for the indicator
If RSI(10)>= 70 then the indicator score would be +1. It would stay +1 until the indicator fell to <= 30 in which case the score would flip to -1.
If RSI (10)<= 30 then the indicator score would be -1. It would stay -1 until the indicator rose to >= 70 in which case the score would flip to +1.

CCI(20)
If CCI(20)>= 200 then the indicator score would be +1. It would stay +1 until the indicator fell to <= -200 in which case the score would flip to -1.
If CCI(20)<= -200 then the indicator score would be -1. It would stay -1 until the indicator rose to >= 200 in which case the score would flip to +1.

These are example of the basic parameters of each indicator. It seems to me that such a script would contain elements of an IF Statement and or perhaps a Switch(). I’m just unsure of how to construct the script for each indicator and sum them up. Any clues would be appreciated.

P.S. I know this model can be created. What I’m looking to build is a variation on a model that Arthur Hill had created using Optuma. Tip of the hat to Arthur.

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