More detailed look at pivot hits (and what happens after)

I went back and did a more through study of what happens to price after price has hit the delta. I did a manual scan of the PP levels on EU recently, and given volatility in the past couple years and other changes undetectable to me, the average PP is around 20. This conveniently gives me a nice way to test the ’20 pip’ rule, as most of the pivots are around this point, but they fluctuate. I think anytime you can turn a static element into a dynamic one, it’s a step in the right direction.

I stepped into 1Hrx24 to get a better view. Here are some stats for long side favored. (code wise this means that it checks for time (1) for long side hit or not, and then short side hit.)

Long PP on the top, short PP on the bottom.

1

 

This shows that after the top side PP has been hit, price goes for another PP lvl (~20 pips) about 60% of the time (1 ratio). On the F.D on the right of it, shows the max price will travel down after the PP has been hit. Pivots are relative to open price, therefore price will move up, hit the top pivot, and stay up (above open) about 38% of the time. It will be contained to the lower PP level about 70% of the time. The remaining 27% of the time, price will break below the lower PP (a double move). The bottom left shows the same thing as the top left, only for moves breaking the lower pivot instead of the higher one. similar results. The bottom right picture is showing stats for the following scenario: price hits the top pivot, then bottom pivot being hit, and stats are showing odds for the top PP being hit again. (not likely).

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