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PCF Highest Vol in the last 10 bars Rate this Topic:
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BDRPPLIR
Posted : Tuesday, January 15, 2013 6:11:05 AM
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Joined: 4/15/2007
Posts: 73

I want a PCF that flags daily volume that is higher that any down barin the last 10. Now I strees down days and to exclude up days

so far I have this formula

C > C1 AND (V = MAXV10)

However this includes previous up days in the last 10 that were higher than the current bar so isnt quite what I am looking for.

How do I get the formula to ignore up days in the last 10 days and only look at volume down days?

Bruce_L
Posted : Tuesday, January 15, 2013 8:28:16 AM


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Joined: 10/7/2004
Posts: 65,138

A Condition Formula for a Pocket Pivot could be written as:

C > C1 AND V > ABS(C1 < C2) * V1 AND V > ABS(C2 < C3) * V2 AND V > ABS(C3 < C4) * V3 AND V > ABS(C4 < C5) * V4 AND V > ABS(C5 < C6) * V5 AND V > ABS(C6 < C7) * V6 AND V > ABS(C7 < C8) * V7 AND V > ABS(C8 < C9) * V8 AND V > ABS(C9 < C10) * V9 AND V > ABS(C10 < C11) * V10



-Bruce
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BDRPPLIR
Posted : Tuesday, January 15, 2013 3:45:55 PM
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Joined: 4/15/2007
Posts: 73

Hi Bruce

Many thanks for the revised formula. However it is not counting back correctly. If you are able to look at at a daily chart symbol for XLY the consumer discretionary ETF.

A true pocket pivot is higher than any down day over the last 10 days of down days

Todays volume bar of 7.4m has been flagged as true for a PP however if you count back only the down days

on 12/28 there was a vol bar of 15.4m

on 12/21 there was a vol bar of  8.7m

on 12/10 there was a vol bar of 8.7m

I suspect the formula is only looking back 10 bars and not 10 bars of down days

 

 

Bruce_L
Posted : Tuesday, January 15, 2013 3:55:05 PM


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Joined: 10/7/2004
Posts: 65,138

Your understanding of a Pocket Pivot would seem to contradict just about every website I can find referencing the topic as well as every other customer previously requesting a formula for a Pocket Pivot.

Pocket Pivots normally check against the down days in the last ten days, not against the last ten down days.

In any case, I cannot create a Condition Formula which is short enough to be practical for your definition of a Pocket Pivot.



-Bruce
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BDRPPLIR
Posted : Tuesday, January 15, 2013 4:57:17 PM
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Joined: 4/15/2007
Posts: 73

Hi Bruce

This pocket pivot is espoused by Gil Morales and Chris Karcher who are former O'neill money managers who launched on their own many years ago. They are quite specific in their definition which they program using esignal. In their books and website which is www.virtueofselfishinvesting.com they quite clearly count back the last 10 down days no matter how far back to identify todays bar as a Pocket Pivot.

Ok not to worry. The last formula you give me is still better than mine so I will use that.

Thanks for trying

 

Regards

 

Bernard

Bruce_L
Posted : Tuesday, January 15, 2013 5:31:44 PM


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Joined: 10/7/2004
Posts: 65,138

Maybe I have just not read enough of the website, but the quotes I have found do seem in fact to be quite specific in that the up volume is compared to the down volumes during the previous ten days.

"The essential characteristic of any pocket pivot buy point is its volume signature, which must be present for the pocket pivot to be valid as a legitimate buy point. This volume signature rule dictates that volume on the day of the pocket pivot much be higher than any down-volume day in the pattern over the prior ten trading days..."

"The day's volume should be larger than the highest down volume day over the prior 10 days."

I have not been able to find examples or definitions on their website or in book extracts which would seem to support the view of comparing the current up volume with the previous ten down volumes instead of the down volumes during the previous ten days. That said, I have not spent much time on the website.



-Bruce
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BDRPPLIR
Posted : Tuesday, January 15, 2013 5:43:58 PM
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Joined: 4/15/2007
Posts: 73

Bruce

 

perhaps I have misunderstood in that case. I will email them for clclarification.

Thanks for investigating 

BDRPPLIR
Posted : Wednesday, January 16, 2013 5:37:42 AM
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Joined: 4/15/2007
Posts: 73

Bruce

My apologies you are entirely correct. I have misunderstood the rules for a PP.

It is as you say the highest up volume which is greater than all down volume days over the last 10 days.

Thanks for helping

 

Regards

 

Bernard

 

 

Bruce_L
Posted : Wednesday, January 16, 2013 8:10:00 AM


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Joined: 10/7/2004
Posts: 65,138

You're welcome.



-Bruce
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