PTZ Pivot in Semi MTF

This was my first early attempt at MTF and PTZ /Pivot combinations. Decent odds, but definitely not tradable. This first table is the type of “strategy” I would run maybe a few months ago. I might have done this exact statistic if not for the need for the pivot to already be in tact.

PTZ odds certainly favor bigger periods and in my opinion this is further proof of the need for a varying h value. By this I mean that 24, 28, 30, or some “true” h value doesn’t matter, but there is SOME minimum number that is needed, and it’s definitely higher than 1. Losers here are not time based (failed PTZ due to having a completed right side with no follow through) but pivot based. How far the pivot is from price varies, but I didn’t want to even bother with the poor success rate and the likelihood of the losses being much bigger than the winners.

attmp1

Second attempt here, with min requirements for both PTZ and pivot. Turns out to be a bit better. I have 2-4 elements at play here: the PTZ number, the pivot price, the length of the current pivot, and the duration of the trade. THe last one I have not looked at all, the others I have but they’re.. slightly tricky. It’s difficult to know  to trade a minimum of both, or a minimum of each. Ex. min of 20 PTZ, 10 Pivot vs 20 PTZ, 20 Pivot. I didn’t expect much out of this one, but it did turn out to be a bit better.

Longs only here, but my own results on shorts are roughly the same)

better

Max requirements. Same story. At this point I realized that what I was probably looking for is some combination of numbers that aren’t identical. Rather, it’s probably some function of PTZ/Pivot that makes it work (if at all)

max

Past 24 (which is what I was looking at this week) is decently good, although I definitely think I need an additional layer now. I think Supplementary pivots are in order.

Edit: Made some more adjustments

update

I wouldn’t necessarily call this “k” as it has been in the past, but still some sort of optimal value with very high precision. This week trading an 8 dollar account (LOL) I was about to get 20/23 accuracy using the k of 5. According to this chart I was slightly behind, but I did miss a few winners due to sleeping. Time to put some work into my dashboard for this one.

 

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