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Probability Channel: Зависимость эффективности метода от длины обучающей выборки за 2009-2011 гг

Илья Зябрев, Олег Пожарков, Ирина Пожаркова, 07.09.2011



Данная таблица является Приложением 4 к статье "Анализ эффективности метода построения вероятностных уровней поддержки и сопротивления Probability Channel". Жирным выделены значения максимальной эффективности метода при минимальной длине окна.

ТикерРазмер окнаСредняя эффективность уровней поддержкиСредняя эффективность уровней сопротивленияДлительность расчета, дней
EURUSD25099.9996%99.9937%695
30099.9984%99.9949%695
35099.9996%100%695
40099.9996%99.964%695
45099.9996%99.9596%695
50099.9996%99.9341%695
550100%99.8269%695
600100%99.8681%695
65099.9797%99.7264%695
70099.8333%99.6265%695
75099.5849%99.4753%695
80099.2301%99.2316%695
85098.8209%98.9957%695
90098.4244%98.8288%695
95098.0773%98.5589%695
100097.7892%98.2805%695
105097.2668%97.7464%695
110097.018%97.5969%695
115096.8344%97.4217%695
120096.5693%97.2729%695
125096.4141%97.1741%695
130096.3456%97.1453%695
135096.2588%97.1448%695
140096.1604%97.1116%695
145096.0804%97.0941%695
150096.0276%97.1165%695
155095.9888%97.1173%695
160095.9368%97.0932%695
165095.8548%97.0644%695
170095.7516%97.0073%695
175095.694%97.0029%695
180095.5565%96.9785%695
185095.4397%96.9089%695
190095.3081%96.846%695
195095.2108%96.8109%695
200095.0832%96.674%695
USDCHF25099.9808%99.9857%695
30099.9932%99.9996%695
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400100%100%695
450100%100%695
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135099.5064%99.9932%695
140099.5461%99.9932%695
145099.5633%99.9876%695
150099.6032%99.9988%695
155099.6376%100%695
160099.6552%100%695
165099.6549%100%695
170099.6776%100%695
175099.7184%100%695
180099.7644%100%695
185099.8225%100%695
190099.874%100%695
195099.9157%100%695
200099.9393%100%695
GBPUSD250100%99.968%695
300100%99.9912%695
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650100%99.9984%695
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800100%99.8281%695
850100%99.73%695
900100%99.6612%695
950100%99.6096%695
1000100%99.5637%695
1050100%99.6296%695
1100100%99.6077%695
1150100%99.6129%695
1200100%99.5789%695
1250100%99.5677%695
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145099.9996%99.6237%695
1500100%99.6465%695
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160099.9937%99.6413%695
165099.9937%99.6273%695
170099.9937%99.6148%695
175099.9864%99.5872%695
180099.9864%99.5061%695
185099.9669%99.4341%695
190099.9405%99.3841%695
195099.9061%99.2885%695
200099.8564%99.1621%695
USDJPY250100%100%695
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550100%100%695
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750100%99.9937%695
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850100%99.9929%695
900100%99.9873%695
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1000100%99.9873%695
1050100%99.9817%695
1100100%99.9817%695
1150100%99.9757%695
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1250100%99.9761%695
1300100%99.9757%695
1350100%99.9757%695
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1600100%99.9757%695
1650100%99.97%695
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1850100%99.9757%695
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EURJPY250100%100%695
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135099.4821%99.8232%695
140099.3276%99.7733%695
145099.1716%99.7513%695
150099.0448%99.7192%695
155098.9237%99.7024%695
160098.8381%99.6169%695
165098.6593%99.56%695
170098.5724%99.4972%695
175098.5441%99.4341%695
180098.4453%99.372%695
185098.2968%99.3108%695
190098.2161%99.2428%695
195098.0836%99.1941%695
200097.9972%99.1212%695
EURGBP25099.9585%100%695
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180089.8352%96.2477%695
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GMKN250100%99.9973%655
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1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%99.9969%670
1300100%99.9908%670
1350100%99.954%670
1400100%99.9241%670
1450100%99.9061%670
1500100%99.8584%670
1550100%99.8105%670
1600100%99.8521%670
1650100%99.906%670
1700100%99.9657%670
1750100%100%670
1800100%100%670
1850100%100%670
1900100%100%670
1950100%100%670
2000100%100%670
WMT25099.992%99.9981%670
300100%100%670
350100%99.9981%670
400100%100%670
450100%100%670
500100%100%670
550100%100%670
600100%100%670
650100%100%670
700100%100%670
750100%100%670
800100%100%670
850100%100%670
900100%100%670
950100%100%670
1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%100%670
1300100%100%670
1350100%100%670
1400100%100%670
1450100%100%670
1500100%100%670
1550100%100%670
1600100%100%670
1650100%100%670
1700100%100%670
1750100%100%670
1800100%100%670
1850100%100%670
1900100%100%670
1950100%100%670
2000100%100%670
QQQ25099.8884%99.9464%670
30099.9788%99.9705%670
350100%99.992%670
400100%99.9981%670
450100%100%670
500100%100%670
550100%100%670
600100%100%670
650100%100%670
700100%100%670
750100%100%670
800100%100%670
850100%100%670
900100%100%670
950100%100%670
1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%100%670
130099.9988%100%670
135099.9988%100%670
140099.9988%99.9813%670
145099.9988%99.948%670
150099.9896%99.9205%670
155099.964%99.9144%670
160099.9584%99.9264%670
165099.9412%99.9264%670
170099.9352%99.942%670
175099.9353%99.96%670
180099.9413%99.9684%670
185099.9493%99.9864%670
190099.9613%100%670
195099.9704%100%670
200099.9928%100%670
^DJA25099.9705%99.9861%670
30099.98%99.9981%670
35099.9981%100%670
400100%100%670
450100%100%670
500100%100%670
550100%100%670
600100%100%670
650100%100%670
700100%100%670
750100%100%670
800100%100%670
850100%100%670
900100%100%670
950100%100%670
1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%99.9976%670
1300100%99.9849%670
1350100%99.956%670
140099.994%99.9096%670
145099.9776%99.8825%670
150099.9529%99.8432%670
155099.9161%99.8181%670
160099.8985%99.7761%670
165099.8412%99.746%670
170099.7896%99.7356%670
175099.7237%99.7296%670
180099.6925%99.7164%670
185099.6744%99.7044%670
190099.6665%99.6688%670
195099.6385%99.6393%670
200099.6145%99.6393%670
SPY25099.9468%99.9825%670
30099.9644%99.9981%670
35099.992%100%670
400100%100%670
450100%100%670
500100%100%670
550100%100%670
600100%100%670
650100%100%670
700100%100%670
750100%100%670
800100%100%670
850100%100%670
900100%100%670
950100%100%670
1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%100%670
1300100%100%670
1350100%100%670
1400100%99.9788%670
1450100%99.9716%670
1500100%99.9576%670
1550100%99.9396%670
1600100%99.9408%670
1650100%99.9396%670
1700100%99.9637%670
1750100%99.9649%670
1800100%99.9828%670
1850100%99.9981%670
1900100%100%670
1950100%100%670
2000100%100%670
T25099.992%100%670
30099.992%100%670
35099.992%100%670
400100%100%670
450100%100%670
500100%100%670
550100%100%670
600100%100%670
650100%100%670
700100%100%670
750100%100%670
800100%100%670
850100%100%670
900100%100%670
950100%100%670
1000100%100%670
1050100%100%670
1100100%100%670
1150100%100%670
1200100%100%670
1250100%100%670
1300100%100%670
1350100%100%670
1400100%100%670
1450100%100%670
1500100%100%670
1550100%100%670
1600100%100%670
1650100%100%670
1700100%100%670
1750100%100%670
1800100%100%670
1850100%100%670
1900100%100%670
1950100%100%670
2000100%100%670


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