Pivot Point Analysis

[Guest figaro]

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

[HAL9000 10]

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. :rofl:

[Tams 20]

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 !

 

 

 

.

Pivot_Test_(EasyLanguage).txt

pivot_test_results.txt

Edited July 21, 2009 by Tams

[N57H 10]

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 20]

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/forums/f56/print-easylanguage-6000.html

[N57H 10]

i am using TS.

 

Should i write you the ideas?

 

Thanks

[Tams 20]

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.

 

 

;-)

Edited July 21, 2009 by Tams

[N57H 10]

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 10]

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 20]

...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/forums/f34/pivot-point-analysis-6420.html#post71373

[N57H 10]

You are referring to the same post just to page 1.

 

Where can i see the log file in trade station?

 

Do you have an idea how to create the average volume log?

 

Thanks

[Tams 20]

...

Where can i see the log file in trade station?

...

Thanks

 

 

 

have you tried the manual ???

 

 

 

.

Edited July 22, 2009 by Tams

[N57H 10]

Which manual?

 

Shouldn't it create a log file in a specific folder in my computer?

 

If so, which folder?

 

If not so, please tell me or refer me to an instructions

 

Thanks

[Tams 20]

I guess you missed this post:

http://www.traderslaboratory.com/forums/f34/pivot-point-analysis-6420.html#post71373

 

 

Have a nice day.

[N57H 10]

I try to add a line to the code but it still did not create a file. Please check the last s lines in the code. Thanks

 

// Pivot Test

// version: beta 0.1

// author: TAMS

// Date: 20090720

// License: public use

//

// Description: This program screens the R3 and S3 pivot levels

// and makes a print out of the date and price to the log

//

 

 

input:

start.date(19620102);

 

var:

s1(0),

s2(0),

s3(0),

r1(0),

r2(0),

r3(0),

pp(0);

 

 

PP = (HIGH[1] + LOW[1] + CLOSE[1]) / 3;

R1 = (2 * PP) - LOW[1];

R2 = PP + RANGE[1];

R3 = R1 + RANGE[1];

S1 = (2 * PP) - HIGH[1];

S2 = PP - RANGE[1];

S3 = S1 - RANGE;

 

 

if date > start.date - 19000000 then

begin

 

if h > r3 then

print(numtostr(date+19000000,0) + " >R3=" + NumToStr(r3,2));

 

if l < s3 then

print(numtostr(date+19000000,0) + " <S3=" + NumToStr(s3,2));

 

Print(File("C: temp\test.txt"),CurrentDate,CurrentTime );

 

end;