Sunday 13 June 2010

Update on recent efforts #2

I have been working on my new idea for the past week or so and I have finally managed to get a compiled .oct function which works, although it is not optimised for speed. Above is a plot of this, which shows two sine waves with their respective repeated median straight line fits. Both sine waves are one complete cycle, have the same period and amplitude, and only differ in their phase. As can be seen the straight line fits display different slopes, so the next thing I'm going to do is a Monte Carlo test to determine upper and lower values for the slopes at different periods, normalised to the amplitudes. The point of this to determine levels of normalised slope above and below which it can be said that price is not likely to be moving sideways. Conceptually, this could be thought of as a switch between trending and non-trending market environments.

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