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Pivot Point Calculation
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Pivot Point Calculation

  #51 (permalink)
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trendisyourfriend View Post
It will be interesting to watch tomorrow as today produced a large pivot range of 3 points.

On the ES Tuesday Nov 09, 2010: (ETH = RTH today)

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My indicators display the same values. For tomorrow the values would be

- width of pivot range 3 points
- yesterday's range = 18.50 points
- ADR[3] 12.75 points
- ADR[10] = 15.5 points

A pivot range of 3 points is wide, but not extremely wide. Compare:

November 5 -> 4 points
November 4 -> 5.75 points

Interesting here that a large pivot range does not always indicate balancing action.

For example, November 3 was a reversal day. So despite a large pivot range, you would not necessarily expect a balancing day, but continuation of the new trend, which actually happened. A large pivot range therefore could be a sign

(a) that yesterday was a trending day -> increased odds for balancing action

(b) or that yesterday was a wide ranging reversal day -> no increased odds

In doubt you will kniow, if you look at the chart.

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  #52 (permalink)
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Thank you for reply and such detailed explanation, this is whole new study for me. will find out more about range pivot, looks interesting.

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  #53 (permalink)
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@Fat Tails, there are different pivot calculation formulas apprently, even for traditional floor pivots. I am getting a different R3 on my pivots with your session pivots indicator than what the NT pivot indicator uses. Your R4 and S4 are close to what NT's R3 and S3 are. NT seems to use this formula:

Classic Pivot Points

Whereas you use this formula:

Pivot Point Calculator, Free Pivot Point Calculator

The one you use seems to be more widespread--any idea regarding the widespread usage of the other formula? I am going to ask NT why they use this particular formula as well, just getting your opinion.

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  #54 (permalink)
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josh View Post
@Fat Tails, there are different pivot calculation formulas apprently, even for traditional floor pivots. I am getting a different R3 on my pivots with your session pivots indicator than what the NT pivot indicator uses. Your R4 and S4 are close to what NT's R3 and S3 are. NT seems to use this formula:

Classic Pivot Points

Whereas you use this formula:

Pivot Point Calculator, Free Pivot Point Calculator

The one you use seems to be more widespread--any idea regarding the widespread usage of the other formula? I am going to ask NT why they use this particular formula as well, just getting your opinion.

@josh:

The original floor pivots only include levels up to R2 and S2. Floor pivots are based on the volatility of the prior day, so if yesterday's volatility was low, and today is a trending day, the levels R2 and S2 are easily exceeded. This is why additional levels have been added.

As you noticed, there are two alternative formulas for the added levels. The SessionPivots indicator implements both formulas, you can access them via the options "Floor" and "Wide".

The added levels are just meeting points working on self-fulfilling prophecy, nothing scientific.

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  #55 (permalink)
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Fat Tails View Post
The SessionPivots indicator implements both formulas, you can access them via the options "Floor" and "Wide".

Beautiful, this is what I needed to know, thanks FT!

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