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I always found that I got a better picture of the
cycle action if I included the moving average of the cycle.
----- Original Message -----
Sent: Saturday, October 23, 2004 10:54
AM
Subject: Re: [RT] Cycle Simple
here's some good clyde static from
me................
clyde had recently posted his price distrbution
analysis program
and Bob R had spotted the possibilty of using it in a
system.
as best i understand the PDA accumulates the frequency of price
at various
levels and based on the distribution determines the "value
area" see the
ZB1440tic gif. using these value areas,
specifically the upper and lower
boundary, Clyde has created a system that
generates either a retracement
from those boundaries, or generates a
breakout signal from those same area
boundaries - your
choice.
well this appealed to me as those value areas are variable and
as they
change, the system will change, "adaptive"
then i applied
the Hurst bands, which i use to alert me to extemes in
price
movements. I was pleased to see that the PDA signals occurred
at or near
these extremes. and those that were unsuccessful were NOT
near those
extremes. how would you create a filter?
I attach some
examples.
the way i got to the settings in the PDA was to
optimize for the type of
trade first then choose the one with the highest
win ratio then select the
number of bars to optimized, always came to the
18-24 range.
stops are effective and seem neccesary. clyde has a
varible dollar stop ($'s
x ATR) which seems very good.
anyway take a
look (the equity curve at the bottom of each gif gives some
idea of
the efficacy)
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