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Tom,
If I understand you correctly, you are
measuring these moves in absolute terms, such as a percentage move for a
particular stock? Given the basic concept of the triangle, shouldn't you
be measuring the performance relative to the triangle? It is my experience that
given the widest point of a triangle, that the resulting move will tend to be a
harmonic of that measurement. For example,
if a triangle at its maximum, $5 wide, the
resulting move will tend to be ..50, .618, 1.00, 1.618, 2.618 and so
forth of the width of the triangle.
Anecdotally speaking, I would say that the 1.00 or a doubling of the triangle is
the most common. Have you taken a look at this? What say you?
Thanks,Norman Winski
<BLOCKQUOTE
style="BORDER-LEFT: #000000 2px solid; MARGIN-LEFT: 5px; MARGIN-RIGHT: 0px; PADDING-LEFT: 5px; PADDING-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
tom bulkowski
To: <A
href="mailto:realtraders@xxxxxxxxxxxxxxx";
title=realtraders@xxxxxxxxxxxxxxx>realtraders@xxxxxxxxxxxxxxx
Sent: Wednesday, June 13, 2001 12:09
PM
Subject: [RT] Symmetrical triangle
failures
I have been asked to comment about the statistics in my
book, Encyclopedia of Chart Patterns, specifically, the failure rate for
symmetrical triangles. I separated STs into tops and bottoms, thinking there
might be a performance difference. There is, but probably not statistically
different. For triangle tops, upward breakouts, the failure rates are as
follows (from page 568 plus column results from Figure 41.6 on page 569):
<?xml:namespace prefix = o ns =
"urn:schemas-microsoft-com:office:office" />
Benchmark, failure rate
5%, 5%
10%, 13%
20%, 40%
30%, 54%
40%, 67%
For example, 40% (the failure rate) of the symmetrical
triangles failed to climb more than 20% (the benchmark). The results use 162
patterns in 500 stocks from mid 1991 to mid 1996 measuring from the low price
on the breakout day to the highest daily high before a 20% price decline,
measured high to low.
More recent research but preliminary results on 354
patterns gives the following:
5%, 5%
10%, 15%
20%, 39%
30%, 54%
40%, not available
The results are similar despite 2x more samples and also
for tops and bottoms combined, not just ST tops.
Another way to measure the failure rate is what's called
the Horizon Failure Rate, but David Ipperciel.
1 wk: 9%
2 wks: 17%
3 wks: 19%
1 mos: 24%
2 mos: 31%
This looks at the price rise over time. For example, at the
end of 3 weeks, 19% of the stocks had closing prices below the breakout price.
As to personal information, I have been trading stocks for
over 20 years, chart patterns for about half that. My first PUBLISHED trade
was in the April 1996 issue of Stocks & Commodities mag involving, you
guessed it, a symmetrical triangle. I made 27% in 4 wks. Not bad, but down
from 40% because I delayed a trading day to push profits into a new year.
Please direct questions to tbul@xxxxxxxxxxx, but I only get to the internet
once a month.
-- Thomas Bulkowski
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