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That's a great question. I see that Pal responded with his usual home
spun wisdom and think the following is closer to what you're looking
for. I wrote an exploration to compare the support & resistance
levels (s1, s2, r1, r2) to the lows and highs of the days immediately
following. The code is simple and self explanatory. You can then
copy and past the results into your favorite spreadsheet or statistics
program. I think it's most useful to look at distributions of the
results but since the graphics don't post here anymore, I did some
stats to include 95% t confidence intervals on 5 years on AAPL, INTC,
and MSFT and the last year for all of the ND100 stocks. Looks like r1
and s1 are much better than r2 and s2.
The Exploration:
p = (H+L+C)/3;
r1 = (2*p)-L;
s1 = (2*p)-H;
r2 = p +(r1 - s1);
s2 = p -(r2 - s1);
Filter = 1;
AddColumn( DateTime(), "Date", formatDateTime );
AddColumn( r1, "r1", 1.2 );
AddColumn( r2, "r2", 1.2 );
AddColumn( Ref(H,1), "Tom High", 1.2 );
AddColumn( r1-Ref(H,1), "r1-TH", 1.2 );
AddColumn( r2-Ref(H,1), "r2-TH", 1.2 );
AddColumn( s1, "s1", 1.2 );
AddColumn( s2, "s2", 1.2 );
AddColumn( Ref(L,1), "Tom Low", 1.2 );
AddColumn( s1-Ref(L,1), "s1-TL", 1.2 );
AddColumn( s2-Ref(L,1), "s2-TL", 1.2 );
The Stats:
TH = Tomorrow's High and TL = Tomorrow's Low
1. AAPL Oct 98- Oct 03
Variable Mean StDev SE Mean 95.0 % CI
r1-TH -0.0044 1.1599 0.0327 ( -0.0687, 0.0598)
r2-TH 0.6864 1.3892 0.0392 ( 0.6094, 0.7633)
s1-TL -0.0048 1.1422 0.0322 ( -0.0681, 0.0584)
s2-TL -1.3852 1.7022 0.0480 ( -1.4794, -1.2909)
2. INTC Oct 98- Oct 03
Variable Mean StDev SE Mean 95.0 % CI
r1-TH -0.0295 0.9505 0.0268 ( -0.0821, 0.0231)
r2-TH 0.7002 1.1300 0.0319 ( 0.6377, 0.7627)
s1-TL -0.0293 1.0275 0.0290 ( -0.0862, 0.0275)
s2-TL -1.4663 1.4852 0.0419 ( -1.5485, -1.3841)
3. MSFT Oct 98- Oct 03
Variable Mean StDev SE Mean 95.0 % CI
r1-TH -0.0060 0.7022 0.0198 ( -0.0449, 0.0329)
r2-TH 0.5625 0.8216 0.0232 ( 0.5171, 0.6080)
s1-TL -0.0057 0.7449 0.0210 ( -0.0469, 0.0355)
s2-TL -1.1369 1.0378 0.0293 ( -1.1943, -1.0794)
4. ND100 Stocks Oct 02- Oct 03
Variable Mean StDev SE Mean 95.0 % CI
r1-TH -0.02157 0.62947 0.00395 (-0.02930,-0.01383)
r2-TH 0.47090 0.77880 0.00488 ( 0.46133, 0.48047)
s1-TL -0.02238 0.60138 0.00377 (-0.02977,-0.01499)
s2-TL -1.02103 0.95038 0.00596 (-1.03271,-1.00935)
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Since Pal claims to be using the Pivot Points AFL, which was
> originally coded by Anthony I guess, I wonder if anyone has done any
> studies on this. I would have no idea how to do it, but I suspect AB
> could be coaxed into giving up some very interesting statistical
> information about just how close the predictions turn out to be over
> times. I would further guess that even some profitable information
> might be gleaned suggesting what to do if certain extreme levels are
> surpassed for example, or maybe other profitable insights. Then
> again, maybe it's just an interesting graph that doesn't have any
> profit potential. Anyone?
>
> Yuki
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