Hi Karw,
I will try to interpret his with a data Set for SPY
Your suggestion for Hold Zones are:
Sell Hold Zone % = sigma / (PC/sh - sigma)
Buy Hold Zone % = sigma / (PC/sh + sigma)
I do this for 13 months data 14 data point.
I just want to see if this is the right method:
1-8-2011 / 122,22
1-9-2011 / 113,15
3-10-2011 / 125,5
1-11-2011 / 124,99
1-12-2011 / 125,5
3-1-2012 / 131,32
1-2-2012 / 137,02
1-3-2012 / 140,81
2-4-2012 / 139,87
1-5-2012 / 131,47
1-6-2012 / 136,1
2-7-2012 / 137,71
1-8-2012 / 141,16
31-8-2012 / 141,16
STDV Full Population: sigma =18,651 <-----Is this right with your Sigma calculation?
PC = 17475 @ 1-8-2011
PC/sh= Starting Price =122,22
S Holdzone = 18,651/(122,22-18,651) =0,180 ----> 18 %
B HoldZone = 18,651/(122,22+18,651) = 0,0,13 -----> 13 %
This appears reasonable for not having any other information.
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If I do the same thing for my latest optimization Run and actual prices in the Spy Demo Run I get this:
Demo Run SPY 20 Data Points
29-05-12 / 133,01
04-06-12 / 127,44
08-06-12 / 132,41
15-06-12 / 134,14
19-06-12 / 135,7
26-06-12 / 131,98
03-07-12 / 137,41
06-07-12 / 135,49
12-07-12 / 133,15
17-07-12 / 135,43
25-07-12 / 133,93
03-08-12 / 139,35
13-08-12 / 140,77
16-08-12 / 141,99
24-08-12 / 141,51
30-08-12 / 140,49
05-09-12 / 140,91
06-09-12 / 143,77
14-09-12 / 147,24
18-09-12 / 146,62
STDV Full Population: sigma = 5,1
PC = 8751 @ 29-05-12
PC/sh= Starting Price =133
S Holdzone = 5,1/(133-5,1) =0,04 ----> 4 %
B HoldZone= 5,1/(133+5,1) = 0,037 -----> 3,7 %
The optimization results for this run were
Sell Hold Zone = 13 % ------ Does not agree with Sigma Method
Buy Hold Zone = 4 % ------Does agree with Sigma Method
What do you make of this?
The SPY optimisation looks at the high price of 147 which gives an indication of the rising trend at the end of the run and finds the optimum Sell Hold Zone at 13 %
In the SPY Demo I had set the B Hold Zone at 3,5% and the Sell Hold Zone at 12 %.