The stats are quite striking: I will try to find a pivot point calculation (i.e. degree of recency bias) that maximizes the distance to the pivot point while maintaining similar hit rates.

The Skill Check

4 missed: 2 times; 24.-30.12.2007 and 22.-27.9.2017 3 missed: 39 times 2 missed: 183 times 1 missed: 950 times Hits: 5,077 times

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Interesting observation over 18 years of EURUSD data: there has never been a higher missing daily pivot streak than 4. With the right initial risk and bankroll that should yield a positive strategy...

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I ran tests over 630 days to see if there is a significant difference for the profitability (for trading logic see see previous post) with regards to the starting hour of the daily pivot calculation. There isn't really. In fact, only two hours ...

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I finally got to correct the stats for # and % of missed daily pivots plus I also added the pip distances from open price of first bar to a) the pivot, if it was hit, and b) the open price of the first bar of the subsequent period, if it was missed. ...

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Me too - you first...:-)

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I went back in history to find the above recorded 5 subsequent pivots misses: the trade direction changed after the first.

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Sticking with the daily pivot calculation based on Phi (see post#46), I ran the indicator through 2122 days to again achieve 74% hit rate. I further added a frequency distribution of subsequent pivots missed before the actual hit, see upper right ...

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Another weighting I tried is Phi-based Recency Bias, i.e. if the High has happened first (=further in the past), it is multiplied with 0.382 and the Low with 0.618 (and vice versa). Again, the result yields approx. 75% hit rate :-)

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Following your comment I created a duration weighted pivot which yields a very high hit rate... e.g. for H1 the pivot calculation is as follows: t(H)=M1 bars since High(1,H1) t(L)=M1 bars since Low(1,H1) t(Total)=t(H)+t(L)+1 P = High(1,H1) x ...

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True - it dropped to about 60% at (H+L+O)/3.

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Sorry to clog your thread, Sis, but pivots are statistically interesting: no matter what sample sets I choose (e.g. here I chose 22 bars or 22 min on a M1 chart), the pivot hit rate remains at approx. 75%. It reminds me of the scaling laws ...

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No, the standard ones - must have caught a strange data series, though, even the pivot reversion was <70%.

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Tried to establish Pearson r between the pair and its components for every pivot period...hmm.

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Nice series of trades - are you using currency indices to give you clues about attractiveness of pair pivots ?

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Another option would be a target based average-in since a) we know that the likelihood of not touching the pivot is approx. 0.25^(previously missed pivots+1), b) we know that the distance d to the next pivot is a function of the current high, low, ...

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It's usually traders who have no clue about math and seek refuge in the esoteric when either FUD or LUCK set in. However, I hear you, I'll try to go with the flow and activate my third eye going forward.

Higher Edge within a Single Candlestick

I am still at the raw data prep... Latest test: a range+time bar chart combo - i.e. a bar shifts (=new sample) either when 1 sec has passed or a range has formed. The yellow line is the average of all the ticks within a bar.

Higher Edge within a Single Candlestick

So here is some background and thoughts: Re Correlation: Correlation in non-stationary timeseries is based on a faulty concept. Co-integration is a better approach for statistical arbitrage, but all the inherent challenges of choosing the right ...

Higher Edge within a Single Candlestick

Just for the fun of it in MT4: I stretched the 1 min period (blue line) over the range bar chart, i.e. instead of continuous sampling there is now non-linear sampling based on actual bar time. Staying with the "Greeks" perspective: assuming we ...

Higher Edge within a Single Candlestick