Forecast Caps e Scaling

Standard Range

Forecast range: -20 to +20

Dove: - +20: Maximum long position - -20: Maximum short position - 0: No position - ±10: Average forecast (target)

Forecast Meanings

Forecast	Interpretation	Position Size
±20	Very strong signal	200% of base
±15	Strong signal	150% of base
±10	Average signal	100% of base (target)
±5	Weak signal	50% of base
0	No signal	0% (flat)

Scaling Target

Average absolute forecast = 10

Questo significa: - Meta del tempo forecast tra 0 e 10 - Meta del tempo tra 0 e -10 - Average position = base position

Base Position

Calcolata assumendo forecast = 10:

Base = (Capital × Risk Target) / (Price × Multiplier × σ% × 10)

Actual position:

Position = Base × (Forecast / 10)

Perche ±20 Cap?

Senza cap: - Outlier forecasts → posizioni enormi - Single bad trade → wipeout - Overfitting to extreme events

Con ±20 cap: - Limita max position a 2× base - Protegge da overfitting - Reasonable max conviction

Forecast = 0

Due scenari: 1. No signal: Strategy neutral 2. Between regimes: Transitioning

Azione: Flat position (no trade)

Forecast Combination

Con multiple rules:

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

Poi cap combined a ±20.

Esempio: - Trend forecast: +15 - Carry forecast: +8 - Weights: 60/40

Combined = (0.6×15 + 0.4×8) / 1.0 = 12.2

Capped: 12.2 (below 20, no cap needed)

Non-Binary Trading

Forecast continuo (non solo ±10) permette: - Gradual position adjustment - Better capital efficiency - Smoother P&L

vs Binary (long/flat/short): - Jumpy positions - Higher costs - All-or-nothing risk

Concetti Correlati

• [[Forecast Scaling]] - come ottenere average = 10
• [[Position Sizing]] - usa forecast per sizing
• [[Forecast Diversification]] - combine multiple forecasts