Hi Ren and thanks for your valuable information. One of the most difficult things (IMO) about pivots is that they are very hard to back test. If you are to use pivots as reversal points and wish to back test them then where do you place your entry (in front of the pivot/on the pivot?) and how many ticks stop do you give it? Once in profit where do you move the stop to and when do you take profits. If the pivot is retested a second, third, fourth time do you re-enter a position? All of these options make the range of pivot strategies infinite and there are probably some strategies that work very well in some markets and not in other markets. I think that the major problem with proving a pivot strategy is the difficult in back testing it due to the subjectivity of the rules. Most traders use pivots as just one tool in their toolbox and perhaps like you only use it during a limit traded time window. So a very difficult concept to prove or disprove. Thanks for your comments on the Camrilla guys. I never knew that about them. I should spend more time on the SEC web site.
I never post to these boards, but after reviewing the Camarilla discussion here and on Trade2Win, I just had to add my two cents. I've been trading the original Camarilla equation long enough to know it works, "works" meaning it makes me money, every day. Precious few systems or indicators are out there where users can truthfully say, "it works." Most of the naysayers about Camarilla do not and have never tired to trade it for any reasonable period of time. Nor do I care that it's just another pivot point scheme. All I care about is whether or not on a consistent basis it puts profits into my accounts. It does. Maybe it's me, maybe it's the system, maybe it's just dumb luck. I don't care.
What canned software pivot analysis program to be people have integrated into their trading platforms?
I didn't fully understand that question. Are you asking what pivot point software people use? If so, then most charting packages come with built in or add on pivot indicators/studies. You can also calculate them with one of the many calculators on the web or use a spreadsheet and then draw in the lines by hand.
I've just done a probability analysis of classic pivots and posted the results here. If I get a chance next weekend I'll try and take the same look at the Camarilla equations and see what sort of numbers I come up with... The analysis of the classic pivots took a bit more time than I was expecting.
I agree duard. I was hoping to find a much higher probability tendency and was disappointed myself - actually double checked all the results because I was sure they couldn't be that bad.
Your definition of whether pivot points (Camarilla) work or not deviates from mine. As stated above, they work for me if I can make money trading around them. Thus, if an H4 pivots works for me is determined if I can scalp a point or two off the ES if prices run through the H4; similary if an H3 works depends for me on whether or not if that level is breached to the upside then falls back through it to the dowside, can I scalp a point or two off the ES by trading the second breach Short. As you can see, that is a far cry different then trying to define whether the H4 and H3 points represent some sort of high or low. In other words, Camarilla may work because of how I trade it, not because it defines turning points.
apharris: I have no doubt that you make money using the pivots. What I have done is take a very small corner of what pivots are about and had a look to see if there is a higher probability than would be expected versus randomly selecting pivot areas for a particular type of reversal. I chose highs and low because of their lack of ambiguity as reversal points. People have often asked me to "test" pivot points. The problem with testing pivot points is determining when a pivot worked and when it didn't. There are as many definitions about what worked as there are traders. A 1 tick stop difference will make a pivot work for Trader A and fail for Trader B yet in all other respects they had the same trade entry and target. It's an exceptionally difficult strategy to test or prove and I know that there are people out there who use it to make money and people who use it in hybrid systems - you are obviously one of the successful ones. I have yet to find a way to incorporate it into any of my strategies. Your insight into how you do so would be appreciated by all here I'm sure...