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Re: [RT] Zigzag Statistics

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What you are describing is a childs approach to what the
SwingMachine does in analyzing swings over whatever
period using whatever data you want.
 
I commend you for your effort and particularly when
you say Fibonacci is BS.
 
If you want this published then email the SM list.
 
Clyde
----- Original Message -----
From: Sergey
Sent: Wednesday, April 16, 2008 6:08 PM
Subject: [RT] Zigzag Statistics

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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