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<DIV>RealTraders,</DIV>
<DIV> </DIV>
<DIV>Below is a copy of the origional message that I sent on some research that
I am doing on Pivot Theory. My goal was to determine if trading the pivot
as a "stand alone system" was potentially profitable. If it was
then I would try to incorporate it into a larger, more complex system with trend
followers and overbought, oversold conditions ... please see below.</DIV>
<DIV> </DIV>
<DIV>I worked with this for about a week starting with corn a small range, small
profit potential market and worked my way up ( wheat, lean hog, soybean) to the
SP500 using ten years of back adjusted data with no stops, all trades offset on
the close, and $37.50 for costs. The bottom line was the larger the
potential profit range (soybeans relative to corn) the smaller the Total Net
Losses were, for the SP500 was the only market that covered the costs.
After working with the traditional pivot as described below, I attached inputs
to the buy and sell zones so that they could be back tested and optimized
(increased and decreased) and the results were slightly better.</DIV>
<DIV> </DIV>
<DIV>What dropped out on the positive side was the pivot system did a good job
of defining the longer term trend with "more trades" and a
"higher average trade win-loss" in the direction of the long term
trend (short side Soybean, long side SP500)(directional bias not as clear with
Corn for it has been more sideways when going back to 89). I will continue
to work with the Pivot System by trying to incorporate its positive aspects into
a larger system. When I get the results I will send an update.</DIV>
<DIV> </DIV>
<DIV>If you have an Omega product and would like to have a copy of the Pivot
System & Indicator (without inputs) as it currently is, then let me know and
I will send you an ela file that you can transfer in using your QuickEditor or
PowerEditor. It is not protected so you can work with the code.</DIV>
<DIV> </DIV>
<DIV>Attached are three text files with the results of the Corn, Soybean, SP500
(traditional pivot, no inputs), so it is not being curve fitted.</DIV>
<DIV> </DIV>
<DIV>Dennis Peterson</DIV>
<DIV> </DIV>
<DIV> </DIV>
<DIV style="FONT: 10pt arial">----- Original Message -----
<DIV style="BACKGROUND: #e4e4e4; font-color: black"><B>From:</B> <A
href="mailto:mig@xxxxxxxxxx"; title=mig@xxxxxxxxxx>Dennis Peterson</A> </DIV>
<DIV><B>To:</B> <A href="mailto:realtraders@xxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxx>RealTraders Discussion Group</A> </DIV>
<DIV><B>Sent:</B> Saturday, March 13, 1999 11:05 AM</DIV>
<DIV><B>Subject:</B> GEN: Trading the Pivot</DIV></DIV>
<DIV><BR></DIV>
<DIV>RealTraders,</DIV>
<DIV> </DIV>
<DIV>
<DIV>Attached are two text files (NOW REMOVED) on the performance of a system
that I am working on. I am developing the system (to use as a first filter
in a more complex system) using the theory on the Pivot as described at <A
href="http://news.bridge.com/NEWS/gfiv4_10.html";>http://news.bridge.com/NEWS/gfiv4_10.html</A></DIV>
<DIV>The system is currently buying the open tomorrow if the open is between
today's R2 and R1 resistance, and it is selling the open tomorrow if the open is
between today's S1 and S2 support ... that's it except for MM and PT intraday
stops.</DIV>
<DIV> </DIV>
<DIV>The back testing was on ten years of corn data (back adjusted), one without
any costs ($6500 gain), and one with $37.50 or three ticks costs ($11000
loss). HELLO! These results are indicating that Costs and Slippage
will take a trader out of the game in the long run if they are not exceptional
(top 5 percent) ... my assumption. I optimized the back test using
MoneyManagement and ProfitTarget stops which did improve the results quite a
bit. All trades were offset at the close if not stopped out
intraday.</DIV>
<DIV> </DIV>
<DIV>My next task is to hook up some inputs to something that will filter out
volatility (noise) so that the system can be further optomized. Any
ideas?</DIV>
<DIV> </DIV>
<DIV>This is the traditional pivot that the floor traders use ... these results
really aren't much of a curve fit (except for the MM & PT stops) ... I think
I do see a slight edege here. I will work with it some more and then get
back with my observations and ideas.</DIV>
<DIV> </DIV>
<DIV>Some additional information on pivot theory can be viewed at Thomas
Drinka's Current Research (see Chapter 10 - Value Area Support and Resistance)
<A
href="http://www.ecnet.net/users/miag/facstaff/tpd/research.htm";>http://www.ecnet.net/users/miag/facstaff/tpd/research.htm</A></DIV></DIV>
<DIV> </DIV>
<DIV>May the Pivot be with you,</DIV>
<DIV>
<DIV>Dennis</DIV>
<DIV><A
href="http://homepage.macomb.com/~mig/home.htm";>http://homepage.macomb.com/~mig/home.htm</A></DIV></DIV></BODY></HTML>
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Attachment Converted: "c:\eudora\attach\corn.txt"
Attachment Converted: "c:\eudora\attach\soybean.txt"
Attachment Converted: "c:\eudora\attach\SP1.txt"
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