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Pivot Point calculations
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Created: by trendisyourfriend Attachments:4

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Pivot Point calculations

  #1 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
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Pivot Point calculations

Chad, if ever you visit this thread again i'd like to know if it is possible to specify another method to calculate the pivots. Presently, your system use the wide pivot algorithm while for certain instrument like the ES the Narrow pivot algorithm works better.

Floor: Classic floor pivots with narrow levels for R3, S3, R4 and S4
Wide: Classic floor pivots with wide levels for R3, S3, R4 and S4

According to our resident pivot expert Fat Tails:

---
Short explanation on narrow and wide pivots source

Narrow pivots formula: Adding daily range to R1 or subtracting daily range from S1

R3 = R1 + (H-L) = H + 2*(P-L)
S3 = S1 - (H-L) = L - 2*(H-P)


Wide pivots formula: Adding daily range to R2 or subtracting daily range from S2

R3 = R2 + (H-L) = P + 2*(H-L)
S3 = S2 - (H-L) = P - 2*(H-L)
---

Also, how can we show the settlement price on a candlestick or Market Profile chart ?

Thanks


Last edited by trendisyourfriend; April 29th, 2011 at 11:09 AM.
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  #2 (permalink)
 Vendor: www.coroin.com 
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trendisyourfriend View Post
I found out this definition 'titties in yo face' in an urban dictionary but i suspect it means something else

roflmao ... nice, dude. you just made my day.

cheers,
-e

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  #3 (permalink)
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here is a good reference as to what is supported..

Pivot Points : MarketDelta Support




trendisyourfriend View Post
Chad, if ever you visit this thread again i'd like to know if it is possible to specify another method to calculate the pivots. Presently, your system use the wide pivot algorithm while for certain instrument like the ES the Narrow pivot algorithm works better.

Floor: Classic floor pivots with narrow levels for R3, S3, R4 and S4
Wide: Classic floor pivots with wide levels for R3, S3, R4 and S4

According to our resident pivot expert Fat Tails:

---
Short explanation on narrow and wide pivots source

Narrow pivots formula: Adding daily range to R1 or subtracting daily range from S1

R3 = R1 + (H-L) = H + 2*(P-L)
S3 = S1 - (H-L) = L - 2*(H-P)


Wide pivots formula: Adding daily range to R2 or subtracting daily range from S2

R3 = R2 + (H-L) = P + 2*(H-L)
S3 = S2 - (H-L) = P - 2*(H-L)
---

Also, how can we show the settlement price on a candlestick or Market Profile chart ?

Thanks


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The following user says Thank You to sysot1t for this post:
 
  #4 (permalink)
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sysot1t View Post
here is a good reference as to what is supported..

Pivot Points : MarketDelta Support

I found this:
'Alt S3 Calc - When checked, the S3 is calculated as PP - 2 * (HI - LO) instead of the traditional HI + 2 * (PP - LO). Similarly, R3 will be calculated as PP + 2 * (HI - LO) instead of the traditional LO - 2 * (HI - PP).
'

Do you think this should do the trick ?

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  #5 (permalink)
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trendisyourfriend View Post
I found this:
'Alt S3 Calc - When checked, the S3 is calculated as PP - 2 * (HI - LO) instead of the traditional HI + 2 * (PP - LO). Similarly, R3 will be calculated as PP + 2 * (HI - LO) instead of the traditional LO - 2 * (HI - PP).
'

Do you think this should do the trick ?

I am not a pivot expert, I only use them for reference points and I like to be aware of them since so many people tend to follow them... so take my answer from that regards... but I think so... the other thing to keep in mind is that you can modify your HI & LO values to whatever you want ...by that I mean you can create a custom indicator calculated on a quotepage, store the value on a V# and use it as your HI/LO values...

IMO, it is pretty flexible ... too much sometimes..

Attached Thumbnails
Pivot Point calculations-4-29-2011-2-07-20-pm.png   Pivot Point calculations-4-29-2011-2-07-09-pm.png   Pivot Point calculations-4-29-2011-2-06-58-pm.png  
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  #6 (permalink)
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Thanks, i was able to get the correct pivot values but only for the daily interval (24 hours). I thought that by placing the indicator on a chart using the day session (9:30am to 4:15pm ET) i could display the pivots for the regular trading hours but to date i am not successfull.

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  #7 (permalink)
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I saw a small rounding error today while comparing this platform I/RT to Ninja (using one of Fat Tails indicator). The middle of the day on the ES was reported as being 1356.75 (1356.875 was the true value) while Fat Tails's indicator was showing 1357. Not a big deal but still an error. Just wanted to mention if ever Chad is passing by. See picture to see what i mean by correct rounding for the ES.

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  #8 (permalink)
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trendisyourfriend View Post
Thanks, i was able to get the correct pivot values but only for the daily interval (24 hours). I thought that by placing the indicator on a chart using the day session (9:30am to 4:15pm ET) i could display the pivots for the regular trading hours but to date i am not successfull.

the values will be based on the instrument session, so make sure to have the right session set.. daily does not always mean 24 hours... also, instead of using daily, use 405 minutes.. it works best IMO...

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  #9 (permalink)
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sysot1t View Post
the values will be based on the instrument session, so make sure to have the right session set.. daily does not always mean 24 hours... also, instead of using daily, use 405 minutes.. it works best IMO...

I tried every permutation but it did not work including your suggestion. Correct session was selected i think it was ID #2. Of course, if i use v# variables with YesterdaY's values (hi/lo for the RTH session) i can get the correct pivots but that's not what i want as i would not be able to look at previous day's pivots if i would scroll the chart to the right.


Last edited by trendisyourfriend; April 30th, 2011 at 02:13 PM.
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  #10 (permalink)
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trendisyourfriend View Post
Thanks, i was able to get the correct pivot values but only for the daily interval (24 hours). I thought that by placing the indicator on a chart using the day session (9:30am to 4:15pm ET) i could display the pivots for the regular trading hours but to date i am not successfull.

If you set the session of the chart to session 2 (9:30am to 4:15pm ET), you'll then set the periodicity to 405m bars, and you'll also need to set the Pivot Indicator preferences to "use 405m" instead of "use Daily". Let me know if that helps.

Chad

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