The code is rough - it's just to show Pivot == midpoint
PV2 = (H+L+C)/3; PV = (H + L)/2;//Midpoint rg = H - L; //R1 = 2*PV - DL;//+ midpoint - Low == half range 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; //Plot(S2,"S1", colorRed,1); //Plot(R2,"R1", colorGreen,1); Plot(PV2,"PV2", colorBlue,1); Plot(PV,"Midpoint", colorBlack,1); >).... if > the hit rate is different to this, over a long period, then the we > are quite confident, but not certain, that the market isn't truly > random. That part is a bit crappy .... sorry ... we are all human and not always on our game! --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Since the forum brings us together for better or for worse .... as a > friend playing the devils advocate: > > - I find this type of stuff very interesting > - I like to think about things like this and in probabilities etc > - I haven't ever found anything special about Pivots = (H+L+C)/3 ... > it is basically the midpoint = (H+L)/2 > - the logic of this trade (for say R2,S2) is that the price today > will cross yesterdays median price +_ yesterdays range.... forR1,S1 > it is half of yesterdays range > > > > PV2 = (H+L+C)/3; > > PV = (H + L)/2;//Midpoint > > rg = H - L; > R1 = 2*PV - DL;//+ midpoint - Low == half range > 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; > > //Plot(S2,"S1", colorRed,1); > > //Plot(R2,"R1", colorGreen,1); > > Plot(PV2,"PV2", colorBlue,1); > Plot(PV,"Midpoint", colorBlack,1); > > //mentally project the plots forward one day > > I would say that is highly likely to occur. > > - the author has prob of 3/10 for the first occurrenceNOT and > therefore we expect 0.3 * 0.3 for the second occurrenceNOT).... if > the hit rate is different to this, over a long period, then the we > are quite confident, but not certain, that the market isn't truly > random. > > If the market is random no one could ever make any money in the long > term ... non random behaviour does occur sometimes. > > Non -random behaviour can only occur because the market has > underlying validity i.e. fundamental reasons to move in a direction > OR because of irrational human behaviour (mild collective insanity!). > > > > --- In [email protected], "Edward Pottasch" <empottasch@> > wrote: > > > > 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" <empottasch@> > > 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 > > > > > >
