Sunday, 16 May 2010
Application of Tukey Chart
Above is a screen shot of current work in progress regarding Tukey Charts.
This is a shot of the continuous back-adjusted es mini contract from early January 2010 to mid May 2010, including the 1 day, 1000 point drop! The top chart shows price bars with the optimised Tukey Chart applied directly to prices (the cyan lines) and also the Tukey Chart applied to the Cybercycle* and scaled and super-imposed on price bars (the yellow lines). The price bars are blue if the price is above both outer ucls and red if below both outer lcls, white otherwise. The middle chart is the Cybercycle* with its Tukey Chart, and the lower chart is the Fisher Transformed Cybercycle* with its Tukey Chart. The ucl and lcl multipliers used for the Cybercycle* and Fisher Transformed Cybercycle* are the same as those used from testing detailed below. These are obviously available for MC optimisation in their own right and are on my "to do" list.
*see the technical papers section at http://www.mesasoftware.com for more information.
Posted by Dekalog at 20:29