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Here is a chart showing the zone probabilities for
being reached and being support or resistance on Friday providing the OEX opens
within zone 4. Zone 4 was picked because the OEX closed in
zone6. It was borderline and the stats are slightly different if the
close was in zone5. Also it was assumed there were no gaps on the
Friday open. The stats are from the 1994 book "Detecting High Profit Day
Trades in the Futures Markets" by JT Jackson. There may be a newer book
out now with updated stats and the Fibonacci Trader Software may be able to
update the probabilities as new data arrives. The book has stats for many
commodities besides the snp. This has become of interest to me recently
because the book "Building Winning Trading Systems" by Pruitt and Hill has some
TradeStation code that determines the relationship of the opening price and
closing price to different zone levels. This book did not use the floor
trader pivot zones, but might be modified to do that. The BWTS book
code uses 4 zones based on the High, midpoint,and low.
bobr
<BLOCKQUOTE
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
BobR
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Thursday, January 09, 2003 1:37
PM
Subject: [RT] Re: Tomorrows pivots
Ernie, I am going to post this to the list incase others
have the samequestions. You asked:"> Would you mind saying
whether, the pivots you showed in your post> today at realtraders, are
what are called the "floor trader> pivots"? They don't appear
like them, but I could be wrong?>> Secondly, yesterday you
posted an interesting put/call ratio> indicator. I have not
figured out under tradestation EL to> duplicate your indicator.
Would you mind expressing the> formula in EL or a standard math
equation(s) for me."1.The white pivots are the "floor trader
pivots" with a twist. The onesplotted on 1/09 are calculated using
1/08 HLC as do the "floor traderpivots". The ones displayed on 1/10
are calculated on 1/09 data as itchanges. For example for the main
pivot, the yellow dots for 1/09 you use(H[1]+L[1]+C[1])/3. But for
1/10 when the date is 1/09 you use(HighD(0)+LowD(0)+CloseD(0))/3 and make
them plot in the bars to right areanot in the 1/09 data
space.2.I use a call to put ratio for the dollar weighted ratio so
it is overboughtwhen price is overbought and oversold when price is
oversold. Thedifficulty is in getting the data to put in the
ratio. It is not directlyavailable to TS2000 via dtn. They are
available from quote.com as Earldemonstrated. The dollar option data
on the dtn feed is a Statistic symbolso the value is in the Total field
instead of the Last field so the data hasto go through some kind of symbol
data formatter like MetaServer orDynastore(maybe) to move the data from
the Total field to the Last fieldwhere TS will pick it up. This is
also true for the NDX up,down,total,unchvolume. It would be very
considerate if DTN would honor the requests tomove at least the NDX volume
data to the Last field. Its my belief that theNDX volume has
significance in its own right and in relation to the Nasdaqvolume, but
this is another matter. Back to the option ratio. The
equationis very simple and is just a ratio of (total dollar value of
calls)/(total dollar value of calls plus total dollar value of
puts). The symbols on thedtn sat feed are:data2 = @DCA
AMEXdata3 = @DCC CBOEdata4 = @DCP PSEdata5 = @DCX
PHLXdata6 = @DPAdata7 = @DPCdata8 = @DPPdata9 =
@DPXThe CBOE dominates the ratio and could probably be used by itself
resultingin similar timing. When all the data is used(except for the
ISE since dtnhasn't seen fit yet to consolidate the data and make a symbol
for it) thecode looks like this:value1 = (c of data2+c of data3 +
c of data4 + c of data5);value2 = (c of data2+c of data3 + c of data4 + c
of data5 + c of data6 + cof data7 + c of data8 + c of data9);if
value2<>0 thenvalue3 =
value1/value2;plot1(value3,"$CPratio");plot2(0.75,"OB");plot3(0.25,"OS");I
am getting the data off the dtn sat feed via Chameleon feeding
MetaServerfeeding TS2k which has drawbacks and limitations. I don't
know ifMetaserver ever made an ethernet product for dtn sat/TS2k.
When I was usingEnsign a few years ago the data was available via their
custom symbolcapability. Another alternative might be if the
dynastore/dtn/ts2k productcan reassign the Total to the Last field, if so
that would be a good way toget the statistics data into TS2k. Also
those using qfeed or qcharts asEarl did have access to the data. I
don't know what those symbols would be.hope that
helps,bobrTo
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