Re: [amibroker] interesting article (about jackson Zones, AmiBroker Email List Archive

I read the article. This is basically a small subset of a larger group called Jackson Zones. Jackson looked not just at probabilities of current day Open and High, but (after a lot of preliminary work on relevant correlation between various price parameters) predominantly at the relationship between yesterday?s Close and today?s Open and what the probabilities were to end up in one of his (6) zones and how to apply that to a trading strategy. For some futures he found remarkable (high) probabilities in the time frames he tested. If you are interested the book below has everything you care to know about it and get you going. It is available via ILL.

Detecting high profit day trades in the futures markets : using zone pattern probability analysis /
Author: Jackson, J. T.

Publication: Brightwaters, N.Y. : Windsor Books, 1994

Document: English : Book

From: amibroker@xxxxxxxxxps.com [mailto:amibroker@yahoogroups.com] On Behalf Of Edward Pottasch
Sent: Wednesday, January 28, 2009 9:16 AM
To: amibroker@xxxxxxxxxps.com
Subject: [amibroker] interesting article

hi,

found an interesting article.

http://finance.yahoo.com/news/Combining-Trading-Strategies-tm-14154609.html

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