If you want cheap and you want to "Change The Colors" (I have to remember that one") if you're willing to tinker here's what you can try.
What you're looking for has yet to be designed for the RTR market.
SIDEBAR [Please don't knock the RTR market. It's catering not only to the All Thumbs group, but to the growing number of people who have declining eye sight, subsequently eye/hand coordination issues. The majority of people in this hobby are either in this group, or on the verge of involuntarily joining it.]
Go to IHC and get their dandy Universal Signal Bridge #5105, I bet you've already seen it;
http://www.ihc-hobby.com/cgi-bin/bsc.cg ... 26YD15410A
Before you cry about it being $19.95, go find the same thing in brass, and you will really scream....... Once you make this purchase, you come to the proverbial modellers fork in the road.....
Select from the provided targets the style that fits your prototype and deal with wiring the thing up with LED's (If it's alien technology, there's always someone here who can help you with it.) OR, you can purchase some of MODEL POWER's lighted signals;
http://www.modelpower.com/site/519087/page/295955
Gut the lighting housings from the stands and mount them on the signal bridge, doing your best to extend and conceal the wiring. Signal bridges have all kinds of raillings and piping, allowing you to use small copper tubing or Plastruct shapes as a conduit for your wiring.
You have a choice of wiring the signal lights to change as the train passes, OR you can give a switch to a small child with the responsibility of "Changing The Colors" when the train goes by. It keeps them busy for hours!
Off the top of my head, that's the cheapest way I can think of doing it. Anybody else?
Dieter./