Pivot Point Calculation - Traders Hideout | futures io social day trading
futures io futures trading


Pivot Point Calculation
Updated: Views / Replies:26,989 / 54
Created: by trendisyourfriend Attachments:12

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 12  
 
Thread Tools Search this Thread
 

Pivot Point Calculation

  #1 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received

Pivot Point Calculation

What levels do you consider to calculate the Floor Pivots for the day ?

Previous Day High (including the overnight Action)
Previous Day Low (including the overnight Action)
Previous Day Close or Settlement

or

Previous Session High (Regular Trading Hours)
Previous Session Low (Regular Trading Hours)
Previous Day Close or Settlement

Which of these two groups is the correct one ?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,721 since Mar 2010
Thanks: 4,231 given, 25,922 received
Forum Reputation: Legendary



trendisyourfriend View Post
What levels do you consider to calculate the Floor Pivots for the day ?

Previous Day High (including the overnight Action)
Previous Day Low (including the overnight Action)
Previous Day Close or Settlement

or

Previous Session High (Regular Trading Hours)
Previous Session Low (Regular Trading Hours)
Previous Day Close or Settlement

Which of these two groups is the correct one ?

There is nothing correct in trading. It is a game of n market participants using n different approaches. The floor pivot was used by floor traders because they did not have calculators and computers. So they relied on information available prior to the session. For the floor pivots you would take the settlement price, not the close. The floor traders calculated their floor pivots using the RTH (floor) session.

Now floor pivots are nothing special. They work as a self-fulfilling prophecy. A gathering point for initiated traders to take the bus back into the valley after having enjoyed the panorama of the peak.

So the question is, which pivots are used by the majority of the traders, or let us say the traders, who make up for most of the volume. Professional traders tend to take the official numbers from the stock exchange, so the correct values for open high and settlement for ES can be found under www.cmegroup.com every day. The values published there refer to the trading session. A trading session is characterized by a common settlement date. Pay attention, there are a number of two-day-sessions around holidays, so you need to calculate the two-day-session pivots (5 days for ES per year). For ES the published high and low is the Globex full session high and low, the settlement would be the weighted average price of all trades during the last 30 seconds of the regular session, so for ES the settlement price is rarely more than 3 ticks off the close.

For bonds and agricultural commodities the settlement price is often a couple of hours earlier than the closing price. So there is a significant difference. I would opt for the settlement price.

For currency futures, however, I would not take the settlement price. The currency futures market is relatively small compared to the FOREX market, so it will follow FOREX anyhow and nobody cares about the settlement time of GLOBEX. The correct close for FOREX would be the New York close at 5 PM Eastern Time.

Practical Application to Trading

You cannot generate the settlement times easily from intraday data. You would need an indicator that "knows" the settlement period of each futures contract, stored in a data base, and calculates the settlement price from tick data by averaging all trades over the settlement period. Therefore all pivot indicators that work with intraday data take the close instead of the settlement price. This is fine for

- index futures (3 ticks off means that the pivots are only 1 tick off)
- currency futures and FOREX (you want the close anyhow)

but it is bad for

- bonds and commodities

If you want better than this, you have two options:

(a) you work (look up correct values on the website and enter them manually into the indicator panel)
(b) you pay for it (pay a decent data feed that delivers daily data with settlement prices)

In case you use Ninjatrader, and you are both lazy and poor, there is a third option:

You can use the free daily Kinetick data. As far as I have seen, it has the settlement price for bonds and commodities (you would need to check this).

Close all your intraday charts and open one daily default chart. Connect to Kinetick Daily Data. Reload the chart data. Your daily data now shows the settlement prices. Disconnect. Connect to your regular data feed. Now open intraday chart and apply the standard NinjaTrader pivots indicator or the SessionPivots indicator in DailyBars mode and you are done.


Last edited by Fat Tails; July 27th, 2010 at 04:48 AM.
Reply With Quote
The following 6 users say Thank You to Fat Tails for this post:
 
  #4 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received

Thanks Fat for your excellent reply.

You wrote:
For ES the published high and low is the Globex full session high and low

You seem to imply these numbers are used to calculate the floor pivots. I trade with other traders who select the High/Low from the regular trading hours between 9:30 to 4:15 which produce different levels. I would tend to believe that more traders use the RTH High/Low than the full trading day including the Globex part for the High and Low. But again it's not something easy to determine.

Reply With Quote
 
  #5 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,721 since Mar 2010
Thanks: 4,231 given, 25,922 received
Forum Reputation: Legendary

You are absolutely right. Many traders use RTH pivots, and also many traders use ETH pivots. The original floor pivots were calculated from the RTH session (of course), so traditionalists may continue to use them.

If you want to know, which ones work better, you would have to put them on your chart and examine price action. I have done this several times and have found, that price reacted to both types of pivots. In the end I decided to use Globex pivots. But this choice is not at all obvious.

If you have time to do the comparison, I would be interested in your conclustions.



trendisyourfriend View Post
Thanks Fat for your excellent reply.

You wrote:
For ES the published high and low is the Globex full session high and low

You seem to imply these numbers are used to calculate the floor pivots. I trade with other traders who select the High/Low from the regular trading hours between 9:30 to 4:15 which produce different levels. I would tend to believe that more traders use the RTH High/Low than the full trading day including the Globex part for the High and Low. But again it's not something easy to determine.


Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #6 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received

Can anyone tell me what numbers you have for the pivot numbers today on the ES ?

Using Regular Trading Hours ONLY:

Yest High = 1090,50
Yest Low = 1079,25
Yest Settlement = 1089,50
Yest open = 1081,75

Can you confirm if these numbers are correct ?

PP = 1086,50
R1 = 1093,75
R2 = 1097,75
R3 = 1105,00
R4 = 1112,00
S1 = 1082,50
S2 = 1075,25
S3 = 1071,25
S4 = 1067,00

Reply With Quote
The following user says Thank You to trendisyourfriend for this post:
 
  #7 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,721 since Mar 2010
Thanks: 4,231 given, 25,922 received
Forum Reputation: Legendary


trendisyourfriend View Post
Can anyone tell me what numbers you have for the pivot numbers today on the ES ?

Using Regular Trading Hours ONLY:

Yest High = 1090,50
Yest Low = 1079,25
Yest Settlement = 1089,50
Yest open = 1081,75

Can you confirm if these numbers are correct ?

PP = 1086,50
R1 = 1093,75
R2 = 1097,75
R3 = 1105,00
R4 = 1112,00
S1 = 1082,50
S2 = 1075,25
S3 = 1071,25
S4 = 1067,00

Yes, these levels are correct - except for rounding errors. Note that there are two different forumulae for calculating S3 and S4. The left chart below shows the narrow pivots that you used. The right chart shows the wide pivots.

Attached Thumbnails
Pivot Point Calculation-narrow.jpg   Pivot Point Calculation-wide.jpg  
Reply With Quote
 
  #8 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received


Fat Tails View Post
Yes, these levels are correct - except for rounding errors. Note that there are two different forumulae for calculating S3 and S4. The left chart below shows the narrow pivots that you used. The right chart shows the wide pivots.

That explain why one of my friend has different numbers than i have. I must admit, i find all these different methods and calculus a pain in the ass to handle. I never know if what i am using is pertinent.

Which method do you use the narrow or wide ?

Reply With Quote
 
  #9 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,721 since Mar 2010
Thanks: 4,231 given, 25,922 received
Forum Reputation: Legendary


trendisyourfriend View Post
That explain why one of my friend has different numbers than i have. I must admit, i find all these different methods and calculus a pain in the ass to handle. I never know if what i am using is pertinent.


Trading is a n-person game and there are no wirtten rules, which pivots to use.

Camouflage, fallacies and illusions are part of the game. You are free to choose the pivots you like best!

Reply With Quote
 
  #10 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received


Fat, would you mind checking this Excel file. I have put my formulas to calculate the daily pivots (rounded to the nearest tick). Could you edit it so that i can compute the narrow pivots too for S3/R3 and S4/R4 ?

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


Excel file included below.

Attached Files
Register to download File Type: xls DailyPivots_Calculation.xls (15.0 KB, 46 views)
Reply With Quote

Reply



futures io > > > Pivot Point Calculation




Upcoming Webinars and Events (4:30PM ET unless noted)

September Journal Challenge (sponsored by TopstepTrader)

September

Free Elite Membership: Twitter Tuesday and Facebook Friday!

Tue & Fri
 

Trading with Python: Using Machine Learning w/Ran Aroussi [12:30PM ET]

Elite only

TopstepTrader (TBD)

Sep 25

RandBots (TBD)

Sep 27

Anthony Drager (TBD)

Oct 4
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Phase Calculation eleven NinjaTrader Programming 7 December 29th, 2012 07:03 PM
Risk Reward calculation baruchs Psychology and Money Management 7 June 15th, 2011 01:06 AM
CUMMULATIVE RSI CALCULATION ShruggedAtlas NinjaTrader Programming 3 June 13th, 2011 07:07 PM
Pivot Point calculations trendisyourfriend Investor/RT 11 May 2nd, 2011 06:50 PM
Correct Globex Pivot Point Levels for Ninja 6.5 Private Banker NinjaTrader 24 October 27th, 2010 08:11 PM


All times are GMT -4. The time now is 06:04 PM. (this page content is cached, log in for real-time version)

Copyright © 2018 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2018-09-18 in 0.20 seconds with 15 queries on phoenix