Finding Intraday Pivots

Discussion in 'Automated Trading' started by Norm, Jan 3, 2006.

  1. Norm



    I am automating a method for intraday stock trading. Some might call it scalping. The trades will typically last 2 to 20 minutes, but could last for several hours. This method is intended to mimic a style that I have practiced manually with success for about two years. I typically do two to five of these trades in a day.

    To practice this method, I need to locate several intraday lows and several intraday highs with fair accuracy. I am looking for 10 to 20 cent price moves on stock in the $20 to $80 price range. I suspect that there are a number of ways to try to find the short term highs and lows.

    I have tried several things so far, with moderate success. However, if a better way exists then I would like to try it. One of the first things I tried was just waiting for a decline in price (to buy in the dips). Next, I looked for a series of consecutive lows followed by a upturn (a sort of trailing stop entry).

    I have not yet tried using very short averages. For example, seeing if watching the 3 bar (using 1-minute bars) average crossing the slower five bar average is a good indicator of a pivot or change in short term direction. I also have not looked into key reversals (which I assume are outside bars).

    Any hints at better methods would be very much appreciated.