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Saturday, 08/19/2006 11:43:54 PM

Saturday, August 19, 2006 11:43:54 PM

Post# of 187
The Price Behavior Map is updated as of this weekend. The free map on the site is generated from the most recent 250 daily price bars, so it doesn't change much from week to week.

The MACD in relation to the zero line is still showing as being significant across several currency pairs. However, the most significant indicator on the map now is %R crossovers.

The Swiss Franc is the most striking example:

Periods in which the 5-day %R was below the 20-day %R lasted for a median duration of 5 days, and the median price change during those periods was -79 pips. Periods in which the 5-day %R was above the 20-day %R lasted for a median duration of 7 days and the median price change during those periods was +114 pips.

The indicator has worked in a similar fashion with all the other pairs except AUD/USD, but the differences in pip movements were not as large.

I've updated the short-term Price Behavior Map too, and have started to keep track of the total scores from the summary version from week to week. This will give a historical record of how consistently each indicator performs from week to week. Since these maps are based on a week's worth of 10-minute price bars, there is no overlap in the data from week to week like there is with the free long-term map posted on the site. Thus, any correlation between one week's performance and the next is not due to the same data being used for both weeks. Each week has absolutely fresh data.

I did a scatterplot of the last two weeks worth of short-term totals for the 17 indicators, and the correlation from one week to the next was pretty high. For you statisticians out there, the R-squared value was about 0.61. I'll be tracking this from week to week, but this first test was very encouraging!

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