blackcab said:
Well let's do an experiment then, on YM.
It's not something I have access to, but it sounds interesting.
blackcab said:
1. What time of day shall we take as the open and close?
Why would we need to change those?
blackcab said:
2. What shall we take as the high and the low - the absolute H/L or a pip or two either way if there was 'obviously' more action there, if the absolute H/L was a single tick for example?
I think probably it wouldn't matter too much either way, as long as you're consistent?
blackcab said:
3. How shall we distinguish between significant & insignificant action at each pivot level? You could see if all the day's prices that were within say 1 point of a pivot level were consistently more frequent than other prices within the day's range.
That would certainly be an interesting finding. You might still have to explain to me how it would necessarily make for a useful forecasting tool ...
blackcab said:
Or you could see if the reversals of the direction of a short moving average that occured within say 1 point of a pivot level were consistently more frequent than reversals at other levels.
Again, I can see that that would certainly be interesting ...
blackcab said:
I'd like to see the results of this so will do it anyway.
Ok, well, I for one will certainly be interested in the results.
blackcab said:
I suspect that to prove anything, you might really have to have a large amount of data and have it independently assessed in something simulating real-time (i.e. something with a "right-hand edge") by quite a large number of "traders". I realise, obviously that this isn't going to be feasible or practicable for you to do, and I'm in no way trying to prepare the ground for argumentatively saying "inadequate methodology" afterwards, because I really _will_ be interested in looking at what you can come up with, and I really _am_ willing to be wrong about this (that's never a big deal for me, as you can see from plenty of my posts), but I'd really be grateful if you could explain just a little more about how what you're proposing to test will lend credence to the "pivots make effective forecasting tools" theory.
What I'm inarticulately trying to drive at here is the possibility that (so many "indicator-based" styles of trading being either very slightly self-fulfilling or even very slightly self-defeating) you might prove relatively easily that there are real "statistical anomalies" around certain pre-set levels (which perhaps many traders work out in broadly speaking the same way), but not at the end of it all be able to show that what you've demonstrated has anything to do with being an effective forecasting tool. Does this make sense, or rather, do you see what I mean?
🙂