Statistical pivot wave - Average periods and drawdowns

8 באוג׳ 2021

Statistical pivot wave - Average cycle periods and drawdowns (and assuming there is a trend)

How does these cycle periods and drawdowns come from?
Collecting the data from the last 70 pivot waves. Pivot waves are defined by once a new pivot low is recognized.

Explanation of variables:
Period(i) : Timespan from one pivot low to its previous pivot low.
Drawdown(i) : Max drawdown (from 22 bars lookback high + trend adjustment)
Trend(up / down): Historical linear regression

Median cycle: Median value of Period(i), based on i=1 to i=70 pivot waves data.
Median drawdown: Median value of Drawdown(i), from the trend projected high, based on i=1 to i=70 pivot waves data.

1 בינו׳ 2022

הערות שחרור

A new input variable updated.
Now the users could specify the total number of the most recent observed pivot waves period, in the input panel.

Indicator where observations = 10:


Indicator where observations = 70:

3 בינו׳ 2022

הערות שחרור

Not the indicator allows change of colors.