I have not, but I assume that the market will vary beyond a simple mathematical function like that. If the median were accurate enough, you could pretty easily establish a mean reverting target based on the HLC/3 & HL/2 of, say, the first hour. Anything that straightforward could eventually be arbed, changing the market's character. The reason I prefer VP to the pivot is two-fold. On one hand, it's a tool derived from auction market theory (mfbreakout quoting Steidlmayer saying that you want supply to define price discovery, not price), which conceptually makes sense to me. On the other, Fisher said in at least two places off the top of my head that his calculation was simplifying what Steidlmayer was already doing. In the book his colorful illustration of price moving through the pivot is a sword piercing a fat man's belly -- the smoother it goes through, the more confirmation that price will continue. That bell curve image is of a volume value area. In one of the videos, he talks about the pivot as approximating Market Profile without having to pay for it. So I figure, just use the real deal rather than the abstraction. Just eyeballing it has shown how the pivots and the VPs don't match up at times, so that's enough for me. But they do often appear close. Since I'm not going to take the time to test any of these variables, I'd rather try to get conceptually close to the ideas behind the theory as possible.
Wow, that is very interesting. Lot of valuable data there. That'd help a lot more than eyeballing my commodities page to get a feel for what "looks" ready to move.
Has anybody done any testing with the significance of different A-values? I am amazed by how often stocks will move into A-levels and it will mark the top/bottom of that move. The moves that grind into the a levels don't hold this same type of reaction. When you get those momentum and large spread move into these levels they offer great reference points. Some times you have a stock go right through levels and other times you will get a nice fade opportunity after a failure. IMO there is a statistical significance to these levels, this happens way too often to just be an arbitrary line! Using a constant time for the OR along with a constant A value percentage, creates an adaptive volatility band or something that is adjusting dynamically to market volatility. When volatility(ATR) expands, the a-values and opening ranges change accordingly. Definitely interesting stuff the more you work with it.
No, I am not sure how they are calculated. These numbers are based of daily pivot values. Value for 10-21-2011 is 31, which points to VOLATILITY on Monday or next couple of days. Here is a daily pivot sheet. I only look at pivot high, pivot low, and $ at risk for different instruments. MF - switched couple of months ago- from pit closing prices to cash closing prices and for low of the day prices, they now include Globex prices. Daily pivot tracker is calculated off daily pivot high and low. Not sure how. For 10-21-2011, for CL pivot high= 87.49 and pivot low=87.42. This is very tight. Thus , pivot tracker value of 31 for 10-21-2011 is underlined. When a value is underlined , it represent shrinking pivot of last 4 days. I will call MF firm and see if i can get some clarification.
I had a temporary subscription, From what I remember its daily pivot range values and then ranking them based off a rolling 20 day period.
ACD Equities Change in Trend High probability "change in trend" dates for top stocks in the current calendar month. Based on 15 years of historical data, it helps identify changes in both macro and micro trends. I do not trade stocks but here is list of stocks per MF. Not sure how these stocks are selected, all MF says , these stocks are selected off 15 years of historical data.
Crazy that Fisher uses some of this stuff. I guess its based off of some Gann time cycles? I know a guy that uses some of that stuff...never thought any of the big boys looked at it.