I consider the above to be a set of "good" matches because, for the #1 through #25 matches for "future" bars:
- if one considers the logic of the mfe/mae indicator each pane gives indicator readings of "long," which all agree with the original "future" bars
- similarly the mae (maximum adverse excursion) occurs on the day immediately following the matched day
- the mfe (maximum favourable excursion) occurs on the 3rd "future" bar, with the slight exception of pane #10
- the marked to market returns of an entry at the open of the 1st "future" bar to the close of the 3rd "future" bar all show a profit, as does the original pane
In the above linked posts the test statistic used to judge the predictive efficacy of the matching algorithm was effect size. However, I think a more pertinent test statistic to use would be the average bar return over the bars immediately following a matched bar, and a discussion of this will be the subject of my next post.