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);
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.
