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The code is rough - it's just to show Pivot == midpoint
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);
>).... 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.
That part is a bit crappy .... sorry ... we are all human and not
always on our game!
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@>
> 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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