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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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Attachment:
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PDAecHurst.gif
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PDAes3200ticks.gif
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PDA_us21min.gif
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