"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.
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.
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