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2014issue C1243-48

Evaluating moving-average, pivot, and support-resistance filters

A moving-average evaluation should start from an explicit quantitative baseline and then compare that baseline with an out-of-sample result. Pivot-point and support-resistance rules become evaluable only when a repeatable OHLC chart condition is restated as a falsifiable trade hypothesis.

  • A moving-average evaluation should start from an explicit quantitative baseline and then compare that baseline with an out-of-sample result.
  • Pivot-point and support-resistance rules become evaluable only when a repeatable OHLC chart condition is restated as a falsifiable trade hypothesis.
  • A published model-portfolio window can be used as a teaching record of day, swing, and mini-swing classifications, but it does not establish that those classifications will hold later.
  • Evaluation compares an explicit quantitative or chart-based rule with an out-of-sample result instead of treating a published example as proof.
Entries in this reading3 entries
Current trackPivot point45 readingsSupport and resistance170 readingsMoving average449 readings

What evaluation means here

Evaluation means comparing an explicit quantitative or chart-based rule with an out-of-sample result instead of treating a published example as proof. Out-of-sample means a later period or unseen interval used to check whether a moving-average or chart-condition rule still behaves as claimed.

A moving average is a quantitative baseline that averages ordered price, volume, or breadth observations over a defined lookback and sampling interval so later results can be compared with an explicit forecast.

Start from an explicit baseline

A moving-average evaluation should start from an explicit quantitative baseline and then compare that baseline with an out-of-sample result. The baseline is the forecast you hold fixed before you look at the later interval.

The comparison is the test. If the later result is not set beside that baseline, the moving average has not been evaluated.

Trailing 3- and 6-month returns on the Global Markets ETF monitor

As of 8 August 2014, QQQ was the only US-equity long name tagged bullish and it also led that group over six months, while inverse-equity products sat in recover or bearish with double-digit six-month declines. Treat this as the quantitative baseline those phase labels have to beat, not as proof the filter works. Numbers come from the ETF Monitor table’s 3 Mo. Chg and 6 Mo. Chg columns.
As of 8 August 2014, QQQ was the only US-equity long name tagged bullish and it also led that group over six months, while inverse-equity products sat in recover or bearish with double-digit six-month declines. Treat this as the quantitative baseline those phase labels have to beat, not as proof the filter works. Numbers come from the ETF Monitor table’s 3 Mo. Chg and 6 Mo. Chg columns.Global-markets ETF monitor · as of 8 August 2014

Phase tags on that date come from stacked 10/30/50/200 pivot moving averages. The percent changes are trailing lookbacks ending 8 August 2014, so they describe coincident history rather than a later out-of-sample test of the phase rule.

Restate chart conditions as hypotheses

A pivot point is a repeatable OHLC chart condition used to form a signal that can be stated as a testable trade hypothesis rather than a prediction of the future. Support and resistance is price structure on a chosen chart scale that marks where a hypothesis of holding or failing can be accepted or rejected.

Pivot-point and support-resistance rules become evaluable only when a repeatable OHLC chart condition is restated as a falsifiable trade hypothesis. Until the chart condition is isolated in that form, the rule cannot be checked against an out-of-sample result.

Read a model-portfolio as a teaching record

A model-portfolio is a disclosed set of open and closed trades used as a teaching record of how rules were applied, not as evidence of future results. A published model-portfolio window can be used as a teaching record of day, swing, and mini-swing classifications, but it does not establish that those classifications will hold later.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
27 of 38 in the Pivot point track
201634-38 pp.Next on Pivot pointStage a Trailing stop toward a planned targetA planned target can be a daily, weekly, or monthly Pivot point, a prior high or low from recent sessions, or a widely watched Support and resistance area such as a 20-period or 200-day moving average.
All readings on this track · 38 readings
  1. 1988Constructing action-reaction lines from two pivots
  2. 1988Constructing intradaily point-and-figure boxes and pivot ladders
  3. 1991Constructing layered support and resistance from swings, pivots, and retracements
  4. 1994Three locks on a day-session order, then a staged exit
  5. 1994Building a five-level daily pivot grid
  6. 1996Constructing daily pivot points from session prices
  7. 1996Higher time frame balance points as a trend and band filter
  8. 1998Cup-with-handle construction rules
  9. 2000Pivot levels as a daily trade hypothesis
  10. 2001Construct a same-session polarity card around the daily pivot
  11. 2001Trading inside the cup-with-handle before the breakout
  12. 2005A lower-low rebound as one entry, abstention, and stop routine
  13. 2006Constructing session pivot maps from the prior high, low, and close
  14. 2006Constructing a pivot grid for stops and buy-stops
  15. 2006Monoparametric automatic trendline construction
  16. 2008Write the exit before the entry
  17. 2010Dynamic-pivot range grids for trend bias
  18. 2010Reverse-entry exits for pairs, pivots and support
  19. 2011Sequencing pairs, futures pivots, and implied volatility
  20. 2013Constructing Camarilla levels from prior range
  21. 2013Camarilla levels as a multi-timeframe map of reversion and breakout
  22. 2013Constructing a camarilla-grid from a completed lookback range
  23. 2013Constructing daily pivot support and resistance rungs
  24. 2014Constructing daily pivot levels from prior-session OHLC
  25. 2014Next-session pivot support and resistance from daily bars
  26. 2014Constructing session pivot rails from the prior-day range
  27. 2014Evaluating moving-average, pivot, and support-resistance filters
  28. 2016Stage a Trailing stop toward a planned target
  29. 2016Smoothed RSI and full-cut pivots for option-income exits
  30. 2017Constructing a weekly seasonality pivot scaffold
  31. 2017Seasonality and pivot points as scenario maps, not forecasts
  32. 2018Wave pivots, strength filters, and option premium
  33. 2018Constructing Fibonacci and daily pivot support maps
  34. 2018Building a daily pivot lattice with Fibonacci rails
  35. 2019Prior-session pivot channels for same-day entries
  36. 2019Constructing intraday pivot channels from prior-session levels
  37. 2020Variable-strength pivot highs as falsifiable entry filters
  38. 2020A high-volume-pivot long after a multi-week decline
By fieldIndicators and filters682 readingsBy year201489 readings
All 45 readings tagged Pivot point
Also on Pivot point5 readings
1988Constructing intradaily point-and-figure boxes and pivot ladders1991Constructing layered support and resistance from swings, pivots, and retracements1994Building a five-level daily pivot grid1996Higher time frame balance points as a trend and band filter2000Pivot levels as a daily trade hypothesis