I have a hypothesis that I may have too many trading conditions in my system strategies that could be optimised by exploring the permutations of my trading rules. My objective is to A) eliminate correlated signals and B) define the best combination of rules in a particular strategy.
My generic strategy consists of something like;
mySignal:=If(Exit1=-1 OR Exit2=-1 OR Exit3=-1,-1,
If(Entry1=1 AND Entry2=1 AND Entry3=1,1,0));
Where 1=Entry and -1=Exit for a long position.
Back to my hypothesis, if I was to eliminate one of these conditions (or run variations on the conditions) then I a may get superior results.
The possible permutations of Entry are true if;
Entry1, Entry2, Entry3 are True
Entry1, Entry2 are True
Entry2, Entry3 are True
Entry1Entry3 are True
Entry1 is True
Entry2 is True
Entry3 is True
The same can be said for the Exit conditions (and also further combinations of Entry and Exit)
How can I test this hypothesis with the Metastock System Optimiser where OptX would include/exclude a condition based on a 1/0 opt value. How could I optimise mySignal to do this?