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Since the forum brings us together for better or for worse .... as a
friend playing the devils advocate:
- I find this type of stuff very interesting
- I like to think about things like this and in probabilities etc
- I haven't ever found anything special about Pivots = (H+L+C)/3 ...
it is basically the midpoint = (H+L)/2
- the logic of this trade (for say R2,S2) is that the price today
will cross yesterdays median price +_ yesterdays range.... forR1,S1
it is half of yesterdays range
PV2 = (H+L+C)/3;
PV = (H + L)/2;//Midpoint
rg = H - L;
R1 = 2*PV - DL;//+ midpoint - Low == half range
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;
//Plot(S2,"S1", colorRed,1);
//Plot(R2,"R1", colorGreen,1);
Plot(PV2,"PV2", colorBlue,1);
Plot(PV,"Midpoint", colorBlack,1);
//mentally project the plots forward one day
I would say that is highly likely to occur.
- the author has prob of 3/10 for the first occurrenceNOT and
therefore we expect 0.3 * 0.3 for the second occurrenceNOT).... if
the hit rate is different to this, over a long period, then the we
are quite confident, but not certain, that the market isn't truly
random.
If the market is random no one could ever make any money in the long
term ... non random behaviour does occur sometimes.
Non -random behaviour can only occur because the market has
underlying validity i.e. fundamental reasons to move in a direction
OR because of irrational human behaviour (mild collective insanity!).
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> 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 -----
> From: sidhartha70
> To: amibroker@xxxxxxxxxxxxxxx
> 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@xxxxxxxxxxxxxxx, "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@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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