Monday, 24 May 2010
Monte Carlo Optimisation of Control Limits #9
The above is the optimisation of the cybercycle ucl and lcl, adjusted so that the control lines can be plotted on price bars, i.e. the yellow lines in the plot posted on 16th may below. The green and light blue boundary lines are polynomial line fits, which will be the actual multipliers used. This plot is somewhat different to that in the post of 5th May (Monte Carlo Optimisation of Control Limits #4). I put this down to the fact that at longer periods the cybercycle tends to lead prices and so the peaks/troughs in the cybercycle do not occur at the same time as those in the underlying data. The result is the upward sloping fit seen above.
Posted by Dekalog at 00:48