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[amibroker] Re: interesting article



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Ed,

Looks like we're having one of those days where it doesn't touch the
pivot today...

--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> make that 
> 
> DH = Ref(H,-1);
> DL = Ref(L,-1);
> DC = Ref(C,-1);
> 
> rg = DH - DL;
> 
> PV = (DH+DL+DC)/3;
> R1 = 2*PV - DL;
> R2 = PV + rg;
> R3 = PV + 2*rg;
> R4 = PV + 3*rg;
> 
> S1 = 2*PV - DH;
> S2 = PV - rg;
> S3 = PV - 2*rg;
> S4 = PV - 3*rg;
> 
> 
> 
>   ----- Original Message ----- 
>   From: Edward Pottasch 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Wednesday, January 28, 2009 4:15 PM
>   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
>



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