IWM and pivot crosses

I did a quick study looking to see if you opened between two pivot lines, how likely are you to hit both.  The calculation of pivot points that I used is from http://www.tradejuice.com/forex/pivot-point-trading-mm.htm.  For example, if the opening price is 68.29, and the pivot values are (s3=67.27, s2=67.54, s1=67.86, pivot=68.13, r1=68.45, r2=68.72, r3=69.04), I was trying to find out how often the pivot value (at 68.13 is below the opening price) and R1 value (68.45) where hit.  Here is a table of the results for IWM over the last 1000 trading days:

OPEN 1000 LOWER HIGHER
BELOW S2 38.46% 69.23% 69.23%
S2-S1 51.16% 69.77% 81.40%
S1-PIVOT 40.66% 63.86% 73.49%
PIVOT-R1 31.13% 72.71% 54.58%
R1-R2 51.25% 86.25% 63.75%
ABOVE R2 50.00% 75.00% 75.00%

The columns are

1) “open” position,

2) “1000” percent of time the price crossed both the pivot lines the open fell between,

3) “lower” the percentage it crossed the lower line,

4) “higher” the percentage it crossed the upper line.

I found it interesting if the price opened between the pivot and R1, only one third of the time will both be crossed.  Also, the price closer to the pivot is more likely to be crossed e.g. if it opened between S2 & S1, S1 (closer to the pivot) was crossed 81% of the time vs 69% for s2.  On the other hand, if it opened between R1 and R2, R1 (closer to the pivot) was crossed 86% of the time vs 64% for R2.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: