Category Archives: Projection

Hit bars expanded

I took the idea of the hit bar and did some work on it taking in the delicate secret theory.

However before getting into the data, the thread has been an eye opener in two ways. First, it has allowed me to get a glimpse of what Rel mentioned a long long time ago about the types of traders: Wave, Level, and Volatility. This has shown me a little bit about the types of things level traders probably look at. Secondly, it’s given me a target for EoT (End of Trajectory) trading. One of my ‘mantras’ if it could be called that, is that if you want to trade profitably, you can do it in two ways: either know when the current trend is ending, or know if the current trend is continuing. Statistics seem to favor the latter, but this project has given me some insight to the first one. In the ideal of ideals, I want to wait until the market shows me a clue, and then have a pattern edge that favors the trajectory either continuing or ending.

There are two possibilities for a hit bar: either the bar closes through the level (above for longs, below for shorts), or it doesn’t (like a wick on a R/S level). I thought there would be some difference between the two types of bars and the effect that would come after it. Turns out to be right, and for a good reason: bars that wick the top already have momentum to go back to their original level. Remember, I’m looking to short at the green level and long on the red level. Very important filter. Bars closing through have momentum!

probability

I added the 30 hours just as a rough estimate of giving the bar until EoD to complete. (used the not through criteria) Comparing the 1 day, 30 hours, and 1 week, there’s clearly diminishing return on probability to time, but even so, nearly 90% chance to hit the level during the course of the next week is pretty darn good odds if you ask me. Of course, a good chunk is completed by the end of 24 hours, but it’s still nice to know a level might be valid if price hasn’t touched it yet.

 

Then, the usual house keeping:

Of instances where the level is returned to within 30 hours, half the time the level is hit in the very next bar.

time

Yet, potential is pretty good from the High of the hit bar (or whatever high comes after that) and the low of the bar that hits the level.

pot

I don’t have to check but I know results are slightly skewed to the high side given how markets have changed over time. This has some good clues on where entry should be. However, there aren’t any clear stop signs in the data yet…

 

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Bar types of the ‘hit bar’

The bar that either breaks the high pivot or low pivot is what I’m calling the hit bar.

Here are the ‘entry clue’-esque stats for the hit bars (condensed stats are the two on the right)

2

Showing that the first bar that makes the high (or breaks the low) is at least 20 pips about 85% of the time. Interesting. Given this (and the last statistic) it’s not surprising that the H-L of the bar after it is generally large as well (being over 20 pips about 80% of the time.

Here’s a real life example:

3Red lines: PP levels
Yellow: H/L of hit bar
Blue: H/L of succeeding bar

Shows (pretty well I think) that :

  • the hit bars and bars after tend to be of decent size:
  • how many bars of the day are small (meeting the <10 statistic)
  • How attainable the pivot levels are

 

 

Finally:

4

 

Bout 50-50

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).