"Trading is statistics and time series analysis." This blog details my progress in developing a systematic trading system for use on the futures and forex markets, with discussion of the various indicators and other inputs used in the creation of the system. Also discussed are some of the issues/problems encountered during this development process. Within the blog posts there are links to other web pages that are/have been useful to me.
Monday 24 May 2010
Monte Carlo Optimisation of Control Limits #9
The above is the optimisation of the cybercycle ucl and lcl, adjusted so that the control lines can be plotted on price bars, i.e. the yellow lines in the plot posted on 16th may below. The green and light blue boundary lines are polynomial line fits, which will be the actual multipliers used. This plot is somewhat different to that in the post of 5th May (Monte Carlo Optimisation of Control Limits #4). I put this down to the fact that at longer periods the cybercycle tends to lead prices and so the peaks/troughs in the cybercycle do not occur at the same time as those in the underlying data. The result is the upward sloping fit seen above.
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