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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com
> 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
>
>
>