Kris Legend   Posts: 347 Joined: 4/20/2006 Location: JNB, ZA  User Profile | Tony, Thanks for pointing it out, I forgot to mention. The logic behind the (Pivot) filter in a timeframe: Current+1 is designed to maintain consistent signals, but in volatile markets the signals may change. Lets assume that we have 5-min, 60-min, daily and weekly timeframes within our profile. If we trade on 60-min timeframe, the pivot filter will be on daily timeframe. Now, if the market opens and stays below the central daily pivot level, only short signals will be allowed. However, when the market rallies above the central daily pivot level the filter allows only the long signals. As a result, because 60-min closing price is above the the daily pivot level, the strategy allows only long signals for the whole day, recalibratig signals fired this morning(!?) I am afraid that it is not perfect, but it still works reasonably well. Also, I wouldn't use it in a profile with too many timeframes. E.g. I wouldn't want to trade on 5-min chart with a filter based on 15-min bar(!) In fact in my 5-min strategy I use filter in Current+2 timeframe, i.e. daily pivot (skipping the 60-min timeframe). I hope it makes sense. Cheesr, Kris | |
