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A great study.....but how was the profitability factor calculated ?
For farther out-of-strike options trading, I might be app to go with the
decimation factor of 4
to remove some of the smaller swings.
> -----Original Message-----
> From: Clyde Lee [mailto:clydelee@xxxxxxx]
> Sent: Wednesday, August 25, 1999 9:52 PM
> To: swingmachine; realtraders list
> Subject: [SM] A Look At Decimation
>
>
> I have added something to SwingMachine that should have been
> done a long time ago but was not. As of this minute I don't
> know whether I'll release it in the "freebie" version or not
> but since the results of using it are so important I wanted
> to share with you some early results.
>
> What I did was this. On the closing bar on which a turn was
> detected I computed the net point change from the previous
> closing bar on which a turn was detected and calculated the
> percentage of price that this represented. This was done in
> the manner of a trade and you could have winners and losers.
>
> The sum of this was then displayed on the final plot of the
> SwingMachine results for whatever symbol you were studying and
> for whatever decimation/compression rate was used.
>
> The attached charts are for the 60 minute OEX symbol.
>
> Look at the bottom of the charts and find the letters DSP=
>
> Following these letters are three sets of numbers x/yyy/zzz.z
>
> which represent:
> x = decimation rate (i.e. 1,2,3,4,.....)
> yyy = number of swings detected in this run
> zzz.z= net profit or -=loss in PERCENTAGE of symbol price.
>
> Examine the four charts attached and you should have no
> difficulty in determining what decimation rate will work
> best with the OEX-60 minute bars.
>
> Given that information then what the most likely scenario
> for tomorrow should be very clear.
>
> Clyde Lee
> --
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> SYTECH Corporation email: <clydelee@xxxxxxx>
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