Pivot Point Analysis

[figaro]

Figaro here. How many times does the mini S&P future touch or exceed the R3 or S3 range on pivot points?

[HAL9000]

Its difficult say, if you don't clarify on what interval your question is intended.

1 month back?

1 year back?

10 years back?

from 1975 to now?

from 2000 to 2005?

And if you finally got several different numbers?

Can you trust them?

And what are they good for?


Please excuse me,
but maybe you explain a little bit more, to receive more valuable answers than mine.

Anyway, here is mine:

More less, than not.


PEACE,

Hal.

P.S.: Welcome, and also don't take me serious, was just fun.

[Tams]

Originally Posted by figaro Figaro here. How many times does the mini S&P future touch or exceed the R3 or S3 range on pivot points?

it is quite easy to do...

if you have a programmable charting software.

Here is a code example.
It is programmed in EasyLanguage. You can use it in MultiCharts, Tradestation, OEC, TraderStudio, etc., just to name a few.


I have applied it to the daily SPX index,
(You can get the data free from Yahoo, MSN or Google)


Sample: Jan 2, 1962 to July 20, 2009
# of trading days: 11,969
The market exceeded R3 or S3 732 times since Jan 2, 1962.


enjoy !



.

[N57H]

Amazing

Where do i find this log file in my computer?

Tams,
I have several ideas that i would like to check and i think that this method of the log file is the best.

Do you want to join to a short exploring adventure in the markets?

I think that i have very good ideas...

[Tams]

if you are using MultiCharts, the log output is in your PLEditor.

You can also output to a text file, or to your printer.
see this thread for detail
http://www.traderslaboratory.com/for...uage-6000.html

[N57H]

i am using TS.

Should i write you the ideas?

Thanks

[Tams]

Originally Posted by N57H i am using TS. Should i write you the ideas? Thanks

You are welcome to share your ideas here.
We can make it a community effort.



If you are into statistics... the analysis is endless.

e.g.
-- how many times the market reached R1 and flipped?
-- how many times the market reached BOTH R1 and S1?
-- how many times the market traded outside 2 standard deviation?
-- what happened the next day?
-- -- how many times down and how many time up?
-- many times the market go up X days in a row?
-- what is the widest range day?

these are just some of the ideas many people have tested.


;-)

[N57H]

of course, we'll share it through this forum

Where should i find the log ? (Using TS)

I will write in the next post all the ideas...

[N57H]

Hi,

Dr Brett steenberger wrote about:

" Relative Volume for ES Futures-
Recent posts have emphasized the relationship between volume and volatility (and between VIX and volatility) as key to anticipating trading movement and opportunity. The specific tool that I've found most helpful in anticipating intraday movement is what I call relative volume: the comparison of volume at a certain time of day with the median volume for that time of day. When relative volume is above average, we can expect good movement in the ES futures; when we have below average volume, trade is often narrow and range bound.

Below are the half-hour periods of the regular trading day, the median volumes in ES for 2009, and the standard deviations for each of those. I've found these norms to be quite helpful in identifying when volume is picking up and slowing down, which alerts me to whether markets are facilitating trade at particular key price levels. All times are Central Time US:

8:30 AM - 242,978 (55,247)
9:00 AM - 208,202 (50,743)
9:30 AM - 173,246 (43,980)
10:00 AM - 142, 250 (53,507)
10:30 AM - 117,904 (46,620)
11:00 AM - 104,093 (36,316)
11:30 AM - 97,808 (32,632)
12 Noon - 108,429 (36,057)
12:30 PM - 113,074 (41,832)
13:00 PM - 133,750 (60,438)
13:30 PM - 147,448 (60,432)
14:00 PM - 180,139 (53,454)
14:30 PM - 264,140 (84,050)
15:00 PM (15 minute period) - 112,686 (31,815)"

Tams, do you have a idea how to create a log file of the average vol for different intervals?

Thanks

[Tams]

Originally Posted by N57H ...Tams, do you have a idea how to create a log file of the average vol for different intervals? Thanks

I guess you missed this post:
http://www.traderslaboratory.com/for...html#post71373