Statistical analysis of daily pivots, support and resistance levels for EURUSD

eurotrader 2010.12.08 10:55

These are the results of our analysis on the probability for the EURUSD daily high/low and closing prices relative to the daily pivots based on the opening price. The results are based on historical data from 01/2003-11/2010. Hopefully this proves useful in your trading. We have used this data as a filter for some of our trading strategies.

In the past 7 years (2003-2010) (1965 days included)...
...daily highs were greater than...	...r3	6.26%	...daily lows were less than...	...r3	99.95%
	...r2	20.41%		...r2	99.90%
	...r1	43.10%		...r1	99.69%
	...pivot	87.38%		...pivot	85.90%
	...s1	99.80%		...s1	45.34%
	...s2	99.95%		...s2	21.48%
	...s3	100%		...s3	6.56%

In the past 7 years (2003-2010) when the opening price was above the daily pivot (1022 days) the...
...daily high was greater than...	...r3	7.63%	...daily low was less than...	...r3	99.90%
	...r2	25.54%		...r2	99.80%
	...r1	51.47%		...r1	99.41%
	...pivot	100%		...pivot	72.90%
	...s1	100%		...s1	36.20%
	...s2	100%		...s2	15.95%
	...s3	100%		...s3	4.60%

In the past 7 years (2003-2010) when the opening price was below the daily pivot (943 days) the...
...daily high was greater than...	...r3	5.47%	...daily low was less than...	...r3	100%
	...r2	17.58%		...r2	100%
	...r1	39.05%		...r1	100%
	...pivot	73.89%		...pivot	100%
	...s1	99.58%		...s1	50.42%
	...s2	99.89%		...s2	25.16%
	...s3	100%		...s3	8.11%

In the past 7 years (2003-2010) when the opening price was above the daily pivot (1022 days) the...
...closing price was greater than...	...r3	3.15%	...closing price was less than...	...r3	96.85%
	...r2	13.99%		...r2	86.01%
	...r1	26.89%		...r1	73.23%
	...pivot	64.44%		...pivot	35.62%
	...s1	82.73%		...s1	17.33%
	...s2	93.26%		...s2	6.74%
	...s3	97.82%		...s3	2.18%

In the past 7 years (2003-2010) when the opening price was below the daily pivot (943 days) the...
...closing price was greater than...	...r3	2.69%	...closing price was less than...	...r3	97.31%
	...r2	9.18%		...r2	90.91%
	...r1	20.78%		...r1	79.22%
	...pivot	39.24%		...pivot	60.85%
	...s1	75.70%		...s1	24.40%
	...s2	85.53%		...s2	14.47%
	...s3	95.45%		...s3	4.55%

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