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Hello,
I have done some statistical research for
support/resistance levels for intraday data.
The analysed data are S&P500 futures,
1min bar from 1997 year. This is more than 2 millions price
bars!
I analysed 0.25% zigzag, this is
1-5 hours swing (7000 turning points) and performed the statistical
research for the ratio between down trend swing (BC) and uptrend swing
(AB):
This is a histogram I have got for
[down swing]/[up swing] ratio:
We can make following conclusions
regarding the ratio of heights of down and up
swings:
1) The most probable ratio is 1, 2, 3
i.e. whole numbers. In other words, the down swing is equal to up
swing, or is twice higher.
2) Classical Fibonaci ratios do not work.
They are marked by purple vertical stripes
3) Some clusters present at 0.87
0.93
4) Use of these criteria only to
reveal next turning points is too risky
I did the same analysis for more
complicated swing schemes like the ratio for down swing to previous down swing (
(B-C)/(A1-A) ratio).
Best regards.
Sergey.
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