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Re: [amibroker] Re: interesting article



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yes looks like it. Tested on the EOD data of SPY an opening between R2 and R3 has 83% chance to hit R2, a 64% change to hit R3 and a 42% chance to hit R4. Looks like they want to push it through R3
 
regards, Ed
 
 
 
 
 
 
----- Original Message -----
Sent: Wednesday, January 28, 2009 6:29 PM
Subject: [amibroker] Re: interesting article

Ed,

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

--- In amibroker@xxxxxxxxxps.com, "Edward Pottasch" <empottasch@...>
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@xxxxxxxxxps.com
> 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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