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
>