Compound Effect from Multiple Filters

By Lawrence

Answering a question from our reader – Would using multiple criteria like combining the condition of close greater than or equal to pivot (PP) and the condition of close greater than or equal to volume weighted average price (VWAP) produce stronger bias than the basic time map method?

Here is the setup of the experiment,

  • 3 filtering conditions (a) close >= pivot (b) close >= typical price (c) close >= volume weighted average price
  • looking for the percentage of next trading days making higher high given one or more of the conditions mentioned
  • pivot is defined as the average of high, low and close from previous trading day
  • typical price is defined as the average of high, low and close from current trading day


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