Hi guys,
When I first started trading if someone asked me if I was a technical or fundamental trader I would reply I was statistical. While I have come a long way from those early days, I still like to play with the numbers.
Subsequently I have downloaded daily data from IBFX from July 1999 to pull out some statistics on USDJPY following on from Dove's comments about the pairs movement.
My analysis is developing and the spreadsheet is a bit messy at the moment but I thought I would post a couple of interesting stats off the bat and see if you had any ideas as to what might be interesting. This is based on the pivot points only and the OHLC data. It ignores the intraday movement to that extent.
With a sample size of 2124 days, which is statistically significant, you may be interested to know that:
42.1% of trading days S1 was hit (i.e. low of the day equal to or lower than S1)
42.0% of trading days R1 was hit
Therefore 84.1% of days one of the points was hit.
11.6% of days where 1 pivot point was hit the other was also hit
Only 16.3% of days when S1 was hit did the day close above the pivot
Only 15.6% of days when R1 was hit did the day close below the pivot
Something to chew on. Any ideas for anything let me know.
G-Man
When I first started trading if someone asked me if I was a technical or fundamental trader I would reply I was statistical. While I have come a long way from those early days, I still like to play with the numbers.
Subsequently I have downloaded daily data from IBFX from July 1999 to pull out some statistics on USDJPY following on from Dove's comments about the pairs movement.
My analysis is developing and the spreadsheet is a bit messy at the moment but I thought I would post a couple of interesting stats off the bat and see if you had any ideas as to what might be interesting. This is based on the pivot points only and the OHLC data. It ignores the intraday movement to that extent.
With a sample size of 2124 days, which is statistically significant, you may be interested to know that:
42.1% of trading days S1 was hit (i.e. low of the day equal to or lower than S1)
42.0% of trading days R1 was hit
Therefore 84.1% of days one of the points was hit.
11.6% of days where 1 pivot point was hit the other was also hit
Only 16.3% of days when S1 was hit did the day close above the pivot
Only 15.6% of days when R1 was hit did the day close below the pivot
Something to chew on. Any ideas for anything let me know.
G-Man