Supporting my on-going research into the value of pivots for forecasting market direction, Cucca recently sent me a link to one of Henry Carstens pivot based trading systems. Cucca also posted the code for a little MeClellan based system (in comments section of his blog) that produces some impressive results.
Henry's pivot aproach is worth a look and I'll probably be deconstructing the system later in the week as I explore more pivot based mean regression systems. Henry doesn't explain exactly how "volatility" is defined, so I'll just jump in and offers some suggestions.
Today's offering is a variation of my earlier SD signal line study and simply looks at the value of the PP buffered by a lookback at a Len1 moving average of the PP and converted to a zero line value by dividing the resultant by the standard deviation of the range.
Later this week I'll look at the same theme using the R1-S1 pivot range as well as several other permutations.
If nothing else, this study again confirms the 9 day period as the most profitable for Qs fixed bar short exits (covers) once the system triggers.