Trading Fibonacci Retracements II

Fibonacci Retracements – My 2nd Experiment,

This experiment is a follow up to my first test of Fibonacci retracement levels. In this experiment I am going to test how frequently the mid points between 38.2-50.0 and 50.0-61.8 are hit in comparison to the Fibonacci retracement levels themselves. The mid point between 38.2 and 50.0 is 44.1, and the mid point between 50.0 and 61.8 is 55.9.

In the example above a high of 1.51437 was formed on 25th of November 2009 and a low of 1.25229 was later formed on the 13th of July 2010. The Fibonacci retracement levels and the mid points between the Fibonacci levels are therefore –

61.8% 1.41425 (Fibonacci level)
55.9% 1.39880 (Mid point)
50.0% 1.38333 (Fibonacci level)
44.1% 1.36787 (Mid point)
32.8% 1.35241 (Fibonacci level)

In this example I would count the number of days that each of these levels was hit in the 200 trading days after the low on the 13th of July 2010. However, at the time of writing, I’m not able to do this as 200 trading days (about 1 year) has not elapsed since the 13th of July 2010.

Fibonacci Retracement Levels Experiment II: The Results.

The total number of days each of the levels was hit is as follows –

61.8% Hit on 85 days (Fibonacci level)
55.9% Hit on 192 days (Mid point)
50.0% Hit on 136 days (Fibonacci level)
44.1% Hit on 171 days (Mid point)
38.2% hit on 100 days (Fibonacci level)

The full details of the tests that produced these totals are as follows –

EUR/USD 04/03/2009 to 25/11/2009, High 1.51437 Low 1.24560,
61.8% 6
55.9% 10
50.0% 6
44.1% 23
38.2% 18

EUR/USD 28/10/2008 to 18/12/2008, High 1.47190 Low 1.23300,
61.8% 8
55.9% 13
50.0% 15
44.1% 15
38.2% 23

EUR/USD 30/12/2004 to 15/11/2005, High 1.36700 Low 1.16920,
61.8% 8
55.9% 34
50.0% 17
44.1% 34
38.2% 2

GBP/USD 23/01/2009 to 05/08/2009, High 1.70422 Low 1.35030,
61.8% 8
55.9% 9
50.0% 22
44.1% 13
38.2% 5

GBP/USD 25/09/2008 to 23/01/2009, High 1.86680 Low 1.35030,
61.8% 5
55.9% 51
50.0% 11
44.1% 7
38.2% 2

GBP/USD 16/12/2004 to 28/11/2005, High 1.95520 Low 1.70470,
61.8% 14
55.9% 25
50.0% 9
44.1% 4
38.2% 2

USD/CHF 17/03/2008 to 21/11/2008, High 1.22960 Low 0.96420,
61.8% 16
55.9% 13
50.0% 12
44.1% 42
38.2% 25

USD/CHF 13/10/2006 to 17/03/2008, High 1.27680 Low 0.96420,
61.8% 14
55.9% 18
50.0% 10
44.1% 18
38.2% 13

USD/CHF 30/12/2004 to 16/11/2005, High 1.32870 Low 1.12850,
61.8% 6
55.9% 19
50.0% 34
44.1% 15
38.2% 10

Trading Fibonacci Retracements II: My Conclusions.

Once again, Fibonacci retracement levels seem be far less likely to be hit than other levels (this time the levels were the mid points between the Fibonacci levels themselves). This, I believe, is more evidence that Fibonacci retracement levels do have some statistical significance and that the market price is likely to bounce off them. It should be noted however that so far I have only tested this on very large time frames. In these experiments the highs and lows have formed over several months or more and the test to see which levels were hit was done over the proceeding 200 trading days which is about a year.

Nevertheless, I hope this information proves to be useful to someone.