Sunday, 9 May 2010
Monte Carlo Optimisation of Control Limits #7
The second, repeated, MC test has been run on periods 15 to 50 inclusive giving these results: 0.2% of total runs peak/trough outside the ucl and lcl zones at period 17, 0.2% are entirely within the zones at period 18 and 0.17% are entirely within the zones at period 22. For the same reasons as outlined in post #6, the results from this test lead me to decide that the optimised multipliers tested in this test shall apply to periods 15 to 24 inclusive in the final indicator. A third repeated MC test will be run on periods 25 to 50 inclusive.
Posted by Dekalog at 23:32