make that DH = Ref(H,-1); DL = Ref(L,-1); DC = Ref(C,-1);
rg = DH - DL; PV = (DH+DL+DC)/3; R1 = 2*PV - DL; R2 = PV + rg; R3 = PV + 2*rg; R4 = PV + 3*rg; S1 = 2*PV - DH; S2 = PV - rg; S3 = PV - 2*rg; S4 = PV - 3*rg; ----- Original Message ----- From: Edward Pottasch To: [email protected] Sent: Wednesday, January 28, 2009 4:15 PM Subject: [amibroker] interesting article hi, found an interesting article. http://finance.yahoo.com/news/Combining-Trading-Strategies-tm-14154609.html his claims can easily be tested using Amibroker. For instance he claims that "Over the course of time, stock index markets touch their daily pivot point values roughly 70% of the time." this can be tested using: DH = Ref(H,-1); DL = Ref(L,-1); DC = Ref(C,-1); rg = DH - DL; PV = (DH+DL+DC)/3; R1 = PV + (PV - DL); R2 = PV + rg; R3 = R1 + rg; R4 = R2 + rg; S1 = PV - (DH - PV); S2 = PV - rg; S3 = S1 - rg; S4 = S2 - rg; // pivot stats occ1 = IIf(O < pv AND H >= pv,1,0); "retrace up to pivot: " + WriteVal(LastValue(Cum(occ1)/Cum(O < pv))); occ1 = IIf(O > pv AND L <= pv,1,0); "retrace down to pivot: " + WriteVal(LastValue(Cum(occ1)/Cum(O > pv))); for the SPY I get 66.9% (retrace up) and 62.6% (retrace down). For gaps up and down a gap up (again for SPY) between R1 and R2 has 81.9% chance to retrace back to R1. A gap up between R2 and R3 has 83.1% chance to retrace back to R2. Similar percentages can be found for downside gaps. regards, Ed
