yes looks like it. Tested on the EOD data of SPY an opening between R2 and R3 has 83% chance to hit R2, a 64% change to hit R3 and a 42% chance to hit R4. Looks like they want to push it through R3
regards, Ed ----- Original Message ----- From: sidhartha70 To: [email protected] Sent: Wednesday, January 28, 2009 6:29 PM Subject: [amibroker] Re: interesting article Ed, Looks like we're having one of those days where it doesn't touch the pivot today... --- In [email protected], "Edward Pottasch" <empotta...@...> wrote: > > 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 >
