Gaming WD Gann's WMOT - a 5th data point

Previously, I gamed the only four WMOT pivot points on the 1-minute chart of DJIA and found those four points traded without any discretion would realize 182 DJIA points.  The final position, held to last Friday's close would incur an unrecognized loss of 36 points as the final position was not closed.  That position, by the trading rules, remains open over the 3-day weekend.

I've expanded the time range by electing a 4-minute chart and the first data point is a problem.  It is data point 10:43am January 10, 2019 at the bottom left of the chart below.

Here's the 5th data point on the WMOT, January 10, 2018 at 10:43am:

The "IP" acrostic marker is is tan and the related ascending line number ("IP" denotes the ascending line number column on the right and "PI" denotes the descending counterpart on the left) and date is in green; it is January 10, 2018 at 10:43am that is being marked as a pivot.

That 5th data point is a problem.  If we were considering WMOT pivots that occur only during trading hours, then that trade, working backwards from the subsequent WMOT data point at 12:21pm on January 11, 2018, would have to be a "sell."  I'm showing it as a 'buy' on the above chart (in green).

We have consecutive "buy" signals above.

If it were a 'sell,' then Mr. Gann would have lost all the points between those two latter dates.  If it is a 'buy' then he made all those points.  Rationalizing, "arguing my book?"  Absolutely.

But only rationalizing to figure out (if there's something to be figured out), how the pivots work.

So, I was led down the path that, perhaps pivots occur even if the market is not open.  What a novel thought.  Time and space keep happening regardless of our mortal habits of closing markets overnight or on weekends.

We have a contrast.  When I count the pivots overnight between October 10 and 11, I find "5 non-market" hour pivots.  Well, that could explain why the October 10 and 11 pivots would both be "buys."

But if that were true, then there would have to be an even number of overnight pivots between October 11 and 12 because the 12:21pm January 11, 2018 pivot is a buy and the 12:20pm  January 12, 2018 pivot is a sell.  They are consecutive "buy" and "sell."

I counted the overnight pivots between the January 11 and 12 market hours and there were 8 pivots.

I can go further back in the data to January 9, and will do so.  But, for now, all market pivots, whether  during trading hours or not, count towards whether we have a buy or a sell.

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Since we have a 3-day weekend, the question is how many pivots do we have between the Friday close an Monday open?  I have not counted them as yet.

The more important question is, does the WMOT anticipate and the now better understood (still only 5 data points) nature of pivots?  If it does, then the market should be down Monday.

If the WMOT does not understand its non market trading pivots, then the speculator needs to count the overnight or over weekend pivots and anticipate the first trade of the next market hours.  If there are an even number of pivots over this 3-day weekend, then Mr. Gann's position at the close, even though its under water by 36 points, should be good to go.

One last note on data.  The 5th data point was scheduled to manifest a pivot at 10:43am.  It is a component of the 10:44am bar (10:43, 10:44, 10:45, 10:46, I think) and the very highest pivot of that sequence is one bar earlier making the pivot, at most, five minutes off.  

So, out of 5 pivots, all are within five minutes of being accurate to some level of discernible pivot.

We have two tests of the WMOT pivots using a mechanical system.  One test is whether gaming it will produce a return greater than a random walk 0 return.  That's a test, in statistics was referred to as a weighted test or a substantive test or dollar weighted test.  The other test is if the WMOT marks pivots.  It might be referred to as the "coin-toss," or Bernoulli process, or attribute test.  Its either yes or no.  

So far, both tests seem to be confirming but tomorrow, the first day of trading would seem to be a significant test to confirm its integrity or to uncover further nuance...or to disprove it.

[Time permitting, I'll extend the 4-minute chart further back to January 9 to see how pivots worked overnight January 9 to 10, to add several additional data points.  And I will count the pivots over the 3-day weekend.  I may post them tomorrow morning before the open.]

An off topic note; I caught the Fox Business teaser on Fox News this morning in which Stuart Barney appears to overview the market.  It was clearly 'to the moon' bullish because of tax reduction, regulations and earnings.  And despite possible government shutdown looming in four days.  Interesting contest between what I, in my confessed perma bear bias technical interpretation, consider ripe for a big let down compared to the super bull fundamental interpretation.  Where's a coin I can toss?

Jim Ross