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Favorite Pivot Formula?
Started:December 24th, 2013 (03:29 AM) by MedianVelocity Views / Replies:788 / 3
Last Reply:January 3rd, 2014 (04:35 PM) Attachments:2

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View Poll Results: What is your favorite pivot formula?
New Pivots/Modified Pivots 1 7.69%
Pit Pivots 6 46.15%
Fibonacci Pivots 1 7.69%
Camarilla Pivots 2 15.38%
Other 1 7.69%
I don't use pivots. 2 15.38%
Voters: 13. You may not vote on this poll

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Favorite Pivot Formula?

Old December 24th, 2013, 03:29 AM   #1 (permalink)
Banned: User requested
Futures Experience: Master
Platform: Sierra Chart
Favorite Futures: ES
Posts: 135 since Dec 2013
Thanks: 19 given, 126 received

Favorite Pivot Formula?

I'm curious what everyone's favorite pivot formulas and timeframes are. For daily pivots, I have both daily Full Session and Intraday pivots visible with two different formulas... And every single pivot from weekly, monthly, to yearly full session.

The one that makes the most sense and the market reliably reacts to is the modified pivots formula. I would only use this formula for pivots, but a lot of people use the old antiquated pit pivots causing price to react to their levels consistently. I can't have unexpected sharp reversals messing with my trade setups so I have to have them all up. I don't generally trade off pivots or use them unless a trade setup is occurring on a test. I would rather they didn't exist... They are a annoying self-fulfilling prophecy that shapes market motion a bit.

Some interesting research I came across a while back on backtesting the different formulas...

//Modified pivots formula
PivotPoint = (High + Low) / 2;

R1 = High;
S1 = Low;
R2 = PivotPoint + (High - Low);
S2 = PivotPoint - (High - Low);
R3 = PivotPoint + ((High - Low)*1.5f);
S3 = PivotPoint - ((High - Low)*1.5f);
R4 = PivotPoint + ((High - Low)*2);
S4 = PivotPoint - ((High - Low)*2);
R5 = PivotPoint + ((High - Low)*2.5f);
S5 = PivotPoint - ((High - Low)*2.5f);

R_5 = (PivotPoint + R1) / 2;
S_5 = (PivotPoint + S1) / 2;
R1_5 = (R1 + R2) / 2;
S1_5 = (S1 + S2) / 2;
R2_5 = (R2 + R3) / 2;
S2_5 = (S2 + S3) / 2;
R3_5 = (R3 + R4) / 2;
S3_5 = (S3 + S4) / 2;
R4_5 = (R4 + R5) / 2;
S4_5 = (S4 + S5) / 2;

//The old pit pivots formula... Expanded.

PivotPoint = (High + Low + Close) / 3;

R1 = (2 * PivotPoint) - Low;
S1 = (2 * PivotPoint) - High;
R2 = PivotPoint + (R1 - S1);
S2 = PivotPoint - (R1 - S1);
R3 = 2 * (PivotPoint - Low) + High;
S3 = Low - 2 * (High - PivotPoint);
R4 = 3 * (PivotPoint - Low) + High;
S4 = Low - 3 * (High - PivotPoint);
R5 = 4 * (PivotPoint - Low) + High;
S5 = Low - 4 * (High - PivotPoint);

S_5 = (S1 + PivotPoint) / 2;
R_5 = (R1 + PivotPoint) / 2;
R1_5 = (R2 + R1) / 2;
S1_5 = (S2 + S1) / 2;
R2_5 = (R3 + R2) / 2;
S2_5 = (S3 + S2) / 2;
R3_5 = (R3 + R4) / 2;
S3_5 = (S3 + S4) / 2;
R4_5 = (R4 + R5) / 2;
S4_5 = (S4 + S5) / 2;

Last edited by MedianVelocity; December 24th, 2013 at 03:47 AM.
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Old December 24th, 2013, 03:29 AM   #2 (permalink)
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Old December 24th, 2013, 04:02 AM   #3 (permalink)
Banned: User requested
Futures Experience: Master
Platform: Sierra Chart
Favorite Futures: ES
Posts: 135 since Dec 2013
Thanks: 19 given, 126 received

It might sound a little overkill or dizzying to have two pivot formulas displayed, and for every single timeframe... But, a composite of everything on a tick chart doesn't even look crowded. Color coded by type, sized by timeframe, and styled depending upon if they are a half or full pivot.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Doesn't require any thinking once the chartbook is set up! I advocate doing this... Then you won't be accidentally caught with your pants down holding a position into a first test of a weekly, monthly, or even yearly pivot! That can go badly when the market doesn't have the momentum for a clean break.

Last edited by MedianVelocity; December 24th, 2013 at 05:54 AM. Reason: Updated image
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Old January 3rd, 2014, 04:35 PM   #4 (permalink)
Elite Member
Chicago, Illinois
Futures Experience: Advanced
Platform: NinjaTrader
Favorite Futures: ES, YM
Posts: 46 since Jan 2011
Thanks: 1 given, 70 received

I use my own pivot calculation, and to me, that is the only way to go. Why, you ask? Because if you design one, you can choose the conceptual structure. When you create one that works, you will understand it inside and out, both its strengths and weaknesses. The process of creating it will deepen your market knowledge and give you confidence in your decision making you didn't have before. You can also gain much more flexibility in the formula design. My calculation, for example, isn't based on highs plus lows or anything like that at all, it's completely different, and it works at least as well as the conventional formula.

In fact, I recommend a similar approach with all the tools that you use. You have to really strip it down to the bone and understand the idea that lies at its core. It's amazing to me how many traders use tools that they do not understand.

Here's an example of mine. It works well. I'm not that smart, anyone can make something that works.

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