Wednesday, 26 May 2010
Monte Carlo Optimisation of Control Limits Complete
The MC optimisation of the various ucl and lcl multipliers is now complete and the "finished product" is displayed above on the same data as in the plot of post dated 16th May 2010. Simple visual comparison of the plots shows that recent adjustments to the MC methodology of selecting the ucl and lcl multipliers makes very little difference, except in the case of the lower plot of the Fisher Transformation of the Cybercycle indicator. This tells me that further work on more MC optimisation of this would probably be a waste of time, so I now consider this optimisation work to be complete.
The idea of applying control chart theory directly to market prices and derived indicators now needs to be tested on historical market data.
Posted by Dekalog at 12:01