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I have been forward testing an idea that appears simple and seems to show
some merit so far in the short run.
The rules are:
1. Add the high and low of the S&P for the previous day.
2. Divide the sum by 2 for Pivot = P
3. Log in the difference between the high and low = Delta
4. Sell if the open is above P and eventually hits P.
5. Buy if open is above P and hits P + Delta
6. Buy if open is below P and then hits P
7. Sell if open is below P and hits P - Delta
8. Delta is also the stop loss.
Example EOD calculated P as of 6/2/04 was 1121.2. On 6/3/04 the market
opened above P and met the critera for a sell. There was a 6.3 point
profit with a 1114.9 close.
Today 6/4/04, the open was above P but never hit P for a sell nor hit P +
Delta for a buy. Therefor no trade.
Just curious whether anyone has coded and tested this approach.
Sincerely,
John
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