Hi Conrad,
As you start buying and selling with the future prices then the SP changes, depending on which day you start your AIM.
For a volatile stock you might get different Hold Zone values if you would start an AIM at different days after the Historical Data Set.
You need enough data to get a stable sigma, preferably data over all economic 'climates'.
The SP in Lichello AIM is the Portfolio control divided by the numer of shares and is stable until a buy or sell.
After the buy/sell the PC per share follows the price curve, and is stable again.
I dont see how the different days would impact this? In Vortex you could start with the average price as SP,
so you are then date independent.
What is the basis for using sigma? Why not any of the other statistical functions?
My idea was to make a buy or sell when 1 standard deviation price change has occurred.
2 standard deviations is too much, but 1.1 times the standard deviation could be better.
I do not know what is the best value at this moment, but 1 SD is a good starting point.
Hope I answered your questions.
Kind Regards,K
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