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My Favorite Emini SP500 Indicator - Calculations Behind It?
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My Favorite Emini SP500 Indicator - Calculations Behind It?

  #1 (permalink)
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My Favorite Emini SP500 Indicator - Calculations Behind It?

I trade the e-mini SP500. I use an indicator offered by TraderSmarts | Trading Plans and Trade Alerts for Futures Traders, which provides support and resistance lines to tell me where to buy/sell. See attached picture of the indicator in action for the past week.

I have one question: What are the calculations behind these support/resistance lines so that I can calculate these numbers by myself? There must be some universal and simple calculation this indicator is using.

Here is the "TradePlan" for this past Wednesday:


Quoting 
TS TradePlan for ES - Wednesday November 23, 2016
ES Execution/Target Zones:

SHORT RANGES:
2241.5 = SHORT RANGE #3
2212.5 SHORT RANGE #2
2206.75 - 2203.5 SHORT RANGE #1

LONG RANGES:
2197 - 2194 LONG RANGE #1
2184.75 - 2183.5 LONG RANGE #2
2163 - 2160 LONG RANGE #3

TraderSmarts Numbers for ES (Z)
2247.25, 2241.5, 2212.5, 2206.75, 2203.5, 2198.75, 2197, 2194, 2191, 2187.5, 2184.75, 2183.5, 2181, 2178.25, 2177, 2175.75, 2174.5, 2173.75, 2171, 2168.75, 2167.25, 2165.5, 2163, 2160, 2159, 2157.75, 2155, 2152.75, 2151.5, 2150.5, 2148.75, 2146.75, 2144, 2143.25, 2140.75, 2138, 2136.75, 2134.75, 2132.5, 2130.5, 2128, 2126.5, 2124.5, 2122, 2120.25, 2119.25, 2118.75, 2117.5, 2115, 2112, 2107, 2103.5, 2100.75, 2097.25, 2094.5, 2092.5, 2090, 2086.75, 2084.5, 2082.75, 2081.75, 2079.75, 2073.5, 2070.5, 2067.75, 2062.5, 2060, 2058.75, 2055, 2053.75, 2047, 2042.5, 2039.5, 2036.25, 2033, 2026.5, 2023.75, 2022.5, 2020, 2013.75, 2010, 1999.5, 1997.25, 1992.75, 1991.25, 1987.75, 1981.5, 1977.25, 1968.5, 1959.25, 1953.75, 1910



The tradeplan as illustrated by red and green support/resistance lines for the past week:
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Thanks!

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  #2 (permalink)
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Seems to follow fairly closely daily and weekly pivot points and yesterday/previous week high/low/etc.

Should be fairly easy to verify if you can read or get someone who can read (I can't, sorry) the source file with the exact calculations.

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  #3 (permalink)
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Milkman View Post
Seems to follow fairly closely daily and weekly pivot points and yesterday/previous week high/low/etc.

Should be fairly easy to verify if you can read or get someone who can read (I can't, sorry) the source file with the exact calculations.

Yes! Exactly what I was thinking. The formula for Pivot Points is:
H+L+C / 3
H= Previous day High
L = Previous day Low
C = Close

However, the formula that this indicator is 1-3 points off from the regular Pivot Point formula (I tried to reverse engineer the formula over 30 days but its always a few points off). I'm thinking that the High and Low elements are the same but the "Close" element is different - meaning that maybe its using the weighted average of the last 15 mins of trading as opposed to the last tick or something to that effect, but I haven't been able to find the answer.

The source code will not reveal the answer. The indicator itself does not calculate the lines and ranges. Instead, a person who I pay uploads them and the indicator merely displays them on my chart.

Thanks for trying though. Open to more suggestions.

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zx58 View Post
Yes! Exactly what I was thinking. The formula for Pivot Points is:
H+L+C / 3
H= Previous day High
L = Previous day Low
C = Close

However, the formula that this indicator is 1-3 points off from the regular Pivot Point formula (I tried to reverse engineer the formula over 30 days but its always a few points off). I'm thinking that the High and Low elements are the same but the "Close" element is different - meaning that maybe its using the weighted average of the last 15 mins of trading as opposed to the last tick or something to that effect, but I haven't been able to find the answer.

The source code will not reveal the answer. The indicator itself does not calculate the lines and ranges. Instead, a person who I pay uploads them and the indicator merely displays them on my chart.

Thanks for trying though. Open to more suggestions.

Did you try the Camarilla pivots?
Trading stocks with Camarilla pivots | Futures Magazine

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  #5 (permalink)
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Yeah, that's what I was going to say - there's more than one formula. Floor, Camarilla, Woodie.

Maybe what they do is they calculate more than one formula for daily pivots and s/r and for weekly or even monthly pivots and s/r + yesterday/prev week/prev months highslows/closes, then they just smash it all on one chart and look for levels where there is a confluence of more than one line.

Like if Floor pivot says 1985 is daily R1 and Woodie says 1982 is daily R2 and 1986 is previous week's high then they average it out to 1984 and call it a strong resistance = sell level.

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zx58 View Post
Yes! Exactly what I was thinking. The formula for Pivot Points is:
H+L+C / 3
H= Previous day High
L = Previous day Low
C = Close

However, the formula that this indicator is 1-3 points off from the regular Pivot Point formula (I tried to reverse engineer the formula over 30 days but its always a few points off). I'm thinking that the High and Low elements are the same but the "Close" element is different - meaning that maybe its using the weighted average of the last 15 mins of trading as opposed to the last tick or something to that effect, but I haven't been able to find the answer.

The source code will not reveal the answer. The indicator itself does not calculate the lines and ranges. Instead, a person who I pay uploads them and the indicator merely displays them on my chart.

Thanks for trying though. Open to more suggestions.

If you're trading a CME product, you could also try substituting the daily settlement price in place of the close and see if that gets you any closer. Settlement prices are available from the CME website. Good luck.

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