Tuesday, March 03, 2009

Pivot Range Reversion

This post looks a lot like yesterday's. The difference here is that in the previous study we examined the PP and today we're looking at the R1-S1 range of the pivots to give us a clue about what the Qs are likely to do next. Once again the fixed exit bar is close to 9, and the net return on the account is very similar.
There appears to be no obvious edge in using the pivot range versus the PP itself as a forecasting tool, which is a bit surprising to me. Nevertheless, I'll continue to explore other variations on this theme for the remainder of the week just to satisfy my own curiosity.
I've used a number of variables (Vars) in the code as it helps to clarify what's going on a little better (IMHO) and avoids a lot of otherwise confusing parens.

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