Forecast Scaling

Formula Base

Scaled Forecast = Raw Forecast × Scalar

Obiettivo: Average absolute forecast = 10

Scalar = 10 / Average(|Raw Forecast|)

Dopo scaling: - Target average: ±10 - Weak signal: ±5 - Strong signal: ±15 - Maximum cap: ±20

Position = Base Position × (Forecast / 10)

Dove Base Position e calcolata per forecast = 10.

Step 1 - Raw forecast:

Raw = (EWMA_fast - EWMA_slow) / Daily Price Std

Step 2 - Calculate scalar (backtest):

Average |Raw| = 6.4
Scalar = 10 / 6.4 = 1.5625

Step 3 - Apply:

Forecast = Raw × 1.5625

Capped a ±20.

Con multiple rules:

Combined = (w1×F1 + w2×F2 + ...) / (w1 + w2 + ...)

FDM adjustment:

Final = Combined × FDM

Dove FDM = Forecast Diversification Multiplier.