hi,
found an interesting article.
his claims can easily be tested using Amibroker.
For instance he claims that "Over the
course of time, stock index markets touch their daily pivot point values
roughly 70% of the time."
this can be tested using:
DH = Ref(H,-1);
DL = Ref(L,-1);
DC =
Ref(C,-1);
rg = DH - DL;
PV = (DH+DL+DC)/3;
R1 = PV + (PV - DL);
R2
= PV + rg;
R3 = R1 + rg;
R4 = R2 + rg;
S1 = PV - (DH - PV);
S2 = PV - rg;
S3 = S1
- rg;
S4 = S2 - rg;
// pivot stats
occ1 = IIf(O < pv AND H
>= pv,1,0);
"retrace up to pivot: " +
WriteVal(LastValue(Cum(occ1)/Cum(O < pv)));
occ1 = IIf(O >
pv AND L <= pv,1,0);
"retrace down to pivot: " +
WriteVal(LastValue(Cum(occ1)/Cum(O > pv)));
for the SPY I get 66.9% (retrace up) and
62.6% (retrace down).
For gaps up and down a gap up (again for SPY)
between R1 and R2 has 81.9% chance to retrace back to R1. A gap up between R2
and R3 has 83.1% chance to retrace back to R2. Similar percentages can be
found for downside gaps.
regards, Ed