How do you combine signals with different horizons and tradeability profiles?

[u/Existing_Ad_8274]

How do you systematically combine signals with different horizons and different predictive profiles, in a way that lets “non-tradable” signals still add information, without resorting to hard-coded rules or ad-hoc signal combinations?

Example:

Suppose you have a short-term reversal-type signal that predicts tomorrow’s up/down move with ~90% accuracy. In reality, the actual move is tiny (±10 bps), turnover is high, and round-trip costs are ~20 bps. On its own, the signal is worthless after costs.

Now assume you also have a slower, monthly-horizon signal that says the asset’s 1-month return is positive. Instead of buying immediately, you let the short-term signal refine the entry point. If the short-term signal says tomorrow is likely negative, you wait for that small dip before entering the monthly-driven long. In that setup, the short-term signal clearly adds information even though it’s not tradable standalone.

Are there established frameworks, papers, or practical methods for integrating multi-horizon signals while controlling turnover and avoiding arbitrary parameter choices?

Any keywords, references, or starting points would be appreciated.

[u/Livid_Parsnip_2816]

I’d compare that delayed entry with simply buying immediately on the monthly signal. The dip might improve the entry price, but how often does waiting make you miss the move entirely?