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Discriminating the Pivot Points using Discriminant Function

R. Subathra


Discriminant analysis is an exploratory classification technique to discriminate the data in to two or more groups using an optimal plane. The pivot points are used to identify the potential turning points while trading in futures, commodities and stock markets. This work applies Discriminant analysis to compare the performances of the pivot points computed using Standard method, Woodie’s method and DeMark’s method and.  The categorical trend variables generated with these three pivot points are the dependent variables in this study. With multiple technical indicators as explanatory variables the performances of the three types of pivots are compared using the daily prices of NIFTY50, NIFTY-AUTO, NIFTY-IT,NIFTY-PHARMA BANK NIFTY for this purpose.. The credibility of the results is tested with various performance measures and out of sample tests of the fitted discriminant functions


Area Under Curve, Average True Range, DeMarks Pivot Point, Linear Discriminant Analysis, Moving Average Convergence and Divergence, Quadratic Discrimnant Function, Relative Strength Index, Standard Pivot Point, Technical Indicators, Volatility Indicator,

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