Tuesday, February 19, 2013

Perfect time for testing peak detection models

An experimental peak detection model I've been working recently strengthens the signals generated by other methods - FTSE is a sell.

Fig. Experimental Peak Detection Model - FTSE, 2013-02-18

A few days ago I wrote about my implementation of TD Sequential indicator. The indicator was (prematurely) screaming sell FTSE for a couple of months and for a dozen or so percentages. I stressed that I was not sure about the soundness of the method nor correctness of my implementation, but the TD Sequential signals coincided quite well with readings I was getting from Extremum Detection System (EDS).

A major shortcoming of EDS was the asymmetry in detecting peaks and troughs. I've been working on that issue for some time, and even that I'm not sure yet about the results yet, I present here a novel peak detection method which I currently investigate.

It seems that we are now in a perfect moment for testing peak detection methods.. Most other peak detection tools I know are confused by the current market behavior. Also, even if we cannot use trend following methods for predicting future - they were not designed for that - we can use them as trend health measures. And they tell the market will continue trending up.

What will prevail?

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