Hi Conrad,
On your data series from 1-8-2011 to 31-08-2012 I get a standard deviation of 8.626136 and a Sell % of 7.6% and a Buy % of 6.6%.
So your total hold zone based on this data is 14%.
Which seems a bit low, but then again the volatility is low now.
A better determination would be to inlcude 2008/2009 in your data, that will increase the standard deviation.
I am still looking at how to determine the sigma, and you want to include all economic climates in its calculation, I guess.
When you calculate your second run you get a hold zone of 7.7%, again based on not enough data points.
In that case I would use minimum settings. At this moment I use minimum settings of 20% for the Hold zone:
Strategy Hold Parameter
Type Zone Settings
AIM LO 20% 5,5,5,5
AIM LM 25% 6.25,6.25,6.25,6.25
AIM MI 30% 7.5,7.5,7.5,7.5
AIM MH 35% 8.75,8.75,8.75,8.75
AIM HI 40% 10,10,10,10
Kind Regards,K
