Automatic Pivots Calculation - Help

[Ranger 10]

@ Blow Fish “Tact is the art of making a point without making an enemy.” Sir Isaac Newton.

 

@ Chloe - awesome that StatSign made that mod .... that should work.

 

@ Tams - Nice work on all your contributions ...

[chloe31 10]

Ranger,

 

Many thanks, you are a very nice person. I will try to understand the modifications made by Statsign.

So, thanks to you and Statsign.

 

Thanks also to Tams and Blowfish who tried to help me to become autonomous using EL coding (but it is not very easy).

 

See you next week

Regards,

Chloe

[BlowFish 10]

@ Blow Fish “Tact is the art of making a point without making an enemy.” Sir Isaac Newton.

 

 

Indeed. However when the tactful approach falls on deaf ears then you have to be more direct. As Tams pointed out the advice in posts 2 and 3 still holds good. If you read the thread from the start you will see my posts where pretty 'tactful' and the first one that was remotely critical was explaining other peoples reticence to help further.

 

Trading is a tough business at the best of times. I wonder whether I do people a dis service by being too tactful. I miss DBPhoenix's posts he used to get to the heart of the matter without much molly codling. I am probably far less blunt than Svensa or even Tams (I mean that in a good way) but it is always hard to tell people things they don't want to hear. There is an awful lot in trading that we (and I include myself) do not want to hear let alone accept, there is not much room for tact in those instances.

 

Anyway Chloe is still talking to me (as are you so far!) and I am pleased about that

[Ranger 10]

Sunshine

 

I read the posts; I reviewed the links as indicated; I downloaded Tams indicator; (it didn't work on the initial configuration; the code looked sound(Tams does awesome work).

 

Anyway, other fish to fry ...

 

any ideas on scalper exits or do we accept what others tell us - use a 4pt stoploss on e-minis.

[BlowFish 10]

The good thing about pivots is they adjust for volatility based on the previous days range. The bad thing about pivots is that they adjust for volatility based on the previous days range. That means that they are great a lot of the time but after a break out of a narrow range day they are too narrow and after a wide day they are way to far apart. On a break out day you may hit R3/S3 after a wide range day you might want to use mid points.

 

Why all this? Well one of the 'classic' ways to trade pivots is to use the lines themselves as stops as well as targets. They have the advantage of adjusting to the previous days range. S1 is probably too far away from a PP entry for scalping though You could perhaps use mid points of even the 25% point. This gives a passing nod to volatility.

 

Price action confirmation works OK with pivots too (take a PA based break out at a pivot line) with a stop outside the previous swing high swing low. Pick a suitable bar size for how 'scalpy' you want to be.

 

One thing I have noticed in the past is that you very often get a reaction of a point or two off these lines even if they subsequently break. I have a hunch you could come up with a fairly high probability 'scalp' strategy that capitalises on this though it might not be active enough for some people.

 

Just a couple of ideas

 

I have quite a fondness for pivots (though a while since they have been on my charts) and if you add a bit of longer term context (from the last few days) they can be pretty effective.

[symmetrics 10]

you may also need to get data where you can use intraday 1min to convert to a daily , where you time frame you mentioned can be manipulated to a trading day

 

i have done this due to the overnight time contraints , pivots have many types of claculations, i think you also need to specifiy what platform your trying to program up in too OR are you programming it yourself ?

 

there are forums which will have done alot of work already in certain platforms . e.g tradestation miriads of free work indicators already done.

 

anyway i think what some fo the guys are askign for is place soemthing in the fourms which help others, you may be talented IT person, so maybe post somethign on computer systems, hardware etc....

 

anyway good luck

[Ranger 10]

Thanks for the input Blowfish.

 

I'm using dynamic breakout levels ie SwingHi/SwingLo of a moving average function. What's nice about breakouts on a dynamic basis is that they tend to be market head fakes, if there's not enough strength behind them ... so, if it's not breaking out; then it's reversing ..... so, I have a catostrophic stop and likely will use some type of dynamic fibnode calculation for reversing my position.

[Fat Tails 10]

Some points to think about:

 

(1) Session times: Do you want ETH pivots, RTH pivots or cash session pivots? Session times should be expressed in local time of the exchange. In case your software displays local time (PC clock) they need to be converted to local time, taking into account daylight savings rules. Is this done by your software?

 

(2) Holidays. On holidays you will have two day session. and pivots need to be calculated for and from two-day-sessions. So you need to enter the holidays somewhere. Example February 15 was a holiday. Globex was open for settlement February 16. Take HLC from Friday for pivots for February 15 and 16, then calculate pivots for February 17 from the prior two day session.

 

(3) Data to use: Who is your data supplier? Can your softeware use daily data for calculating pivots on intraday charts?. Daily data mostly refers to the ETH session and sometimes contains the settlement price in lieu of the close. Daily data is less prone to error, as it usually has the correct values for OHL. If you calculate pivots from intraday data, a problem may arise, if the session does not correctly off the last bar of the chart. This typically occurs with range or volume bars. In this case the close of the last bar within the session might not be the session close and your pivots will be off the correct value.

 

(4) Pivot formula to use: There are two different formulae for floor pivots (they vary for levels > R3 and < S3). You also may want to calculate Camarilla, Woodies or Fibonacci pivots, which is easy, once you have solved questions 1) to 3).

 

Good luck. I have gone through this for NinjaTrader, but do not have the answer to the above questions for MultiCharts.

[chloe31 10]

Hello Fat Tails,

 

Thank you for your reply.

 

1) I use the Session times expressed in local time of the exchange in Multicharts. As an exemple, for CL, I use the session times for Nymex: from 6.00 p.m to 5.15 p.m (Nymex local time).

So, to calculate the standart pivots (pivots from J.Carter), for the session that opens on Thursday at 6.00 p.m and closes on Friday at 5.15 p.m, I need the following inputs:

- High and low of the previous session, which opened on Wednesday at 6.00 p.m and closed on Thursday at 5.15 p.m)

- close of the previous session, so close on Thursday at 5.15 pm

 

These inputs are easy to get for sessions that opens à 0.00 a.m and closed at 11.59 p.m the same day.

 

3) My data provider is Interactive Brokers

4) Pivot formula = J.Carter's formula, with calculation up to R4/S4

 

I understand that you have coded this kind of calculation for NinjaTrader. Would you be kind enough to provide me with your code ? I will try to re-write your code in easylanguage.

 

Many thanks in advance,

 

Best regards,

 

Chloe

[Ranger 10]

Chloe

 

Can you modify the other code that we worked up that covered your session times to include the calculation for your pivots???

 

RANGER

[chloe31 10]

Hello Ranger,

 

I tried several times to modify my initial code (see page 1), taking into account all the comments / remarks received on this forum, but without any success for the time being :frustrated:

So, I am still working on that code !

 

Chloe

[Ranger 10]

Hi Chloe

 

This is the code that was modified by forum members. Can you get this code to work on your session times - do you see the Camarilla lines?

 

 

 

 

{Plots previous day Hi/Low/Close - Open {x} Out below}

{Plots Camarilla Lines}

{Rev date 07Aug09}

 

 

input: SessStart(1803),SessEND(1615);

 

variables:

var0( 0 ) ,

var1( 0 ) ,

var2( 0 ) ,

var3( 0 ) ,

var4( 0 ) ,

var5( 0 ) ,

var6( 0 ) ,

var7( 0 ) ,

var8( 0 ) ,

SessReset( False ) ,

CamarillaReset( False ) ;

 

 

SessReset = t = SessEnd;

CamarillaReset = t = SessStart;

 

if SessReset then

begin

 

var0 = var0 + 1 ;

var1 = var2 ;

var3 = var4 ;

var5 = var6 ;

var7 = Close;

end;

 

if CamarillaReset then

begin

 

var2 = Open ;

var4 = High ;

var6 = Low ;

end

 

else

begin

if High > var4 then

var4 = High ;

if Low < var6 then

var6 = Low ;

end ;

condition1 = var0 >= 2 and BarType < 3 ;

 

value10 = ((var3 - var5)*(1.1/2)) + var7 ; {H4}

value20 = ((var3 - var5)*(1.1/4)) + var7 ; {H3}

value30 = ((var3 - var5)*(1.1/6)) + var7 ; {H2}

value40 = ((var3 - var5)*(1.1/12)) + var7 ; {H1}

value50 = var7 - ((var3 - var5)*(1.1/12)) ;{L1}

value60 = var7 - ((var3 - var5)*(1.1/6)) ;{L2}

value70 = var7 - ((var3 - var5)*(1.1/4)) ;{L3}

value80 = var7 - ((var3 - var5)*(1.1/2)) ; {L4}

 

if condition1 then

 

begin

Plot1( var1, "Y-O" ) ;

Plot2( var3, "Y-H" ) ;

Plot3( var5, "Y-L" ) ;

Plot4( var7, "Y-C" ) ;

Plot10( value10, "H4" ) ;

Plot20( value20, "H3" ) ;

Plot30( value30, "H2" ) ;

Plot40( value40, "H1" ) ;

Plot50( value50, "L1" ) ;

Plot60( value60, "L2" ) ;

Plot70( value70, "L3" ) ;

Plot80( value80, "L4" ) ;

end ;

[Fat Tails 10]

Hi Chloe,

 

the code is attached below. One is an indicator for NT 6.5., the other one for NT 7. I do not think it will be very easy to translate this. Unfortunately I am neither a user of TradeStation nor MultiCharts, so I only will be of little help.

 

Both are zipped files. To open the code and display it properly you need an editor for C#. If you do not have NinjaTrader, I would recommmend to download SharpDevelop 3.0 and then use it to display the indicators.

 

Hello Fat Tails,

 

I understand that you have coded this kind of calculation for NinjaTrader. Would you be kind enough to provide me with your code ? I will try to re-write your code in easylanguage.

 

Many thanks in advance,

 

Best regards,

 

Chloe

anaPivotsV16 for NT7.zip

CMIPivotsV84 for NT65.zip

[chloe31 10]

Hello,

 

@Ranger,

 

Yes, I used the code you have posted, and I tried to replace the Caramilla's formula by the Carter's formula, but the code did not work. I think I made a mistake, so I will try again, I will try to find my mistake.

 

@Fat trails

 

Thank you for your code. I have NT 6.5, so no problem to import the code.

 

So, many thanks to you, Ranger and Fat trails.

 

I will keep you informed

 

Regards,

 

Chloe

[Ranger 10]

Post the code, if you get a chance and the magical formulas...

 

RANGER

[statsign 10]

I don't know Carter's PP and put in input adjustable

 

maybe this will help

 

input: SessStart(1803),SessEND(1615),PivotMethod(1);

variables:
var0( 0 ) , pp( 0 ) ,
var1( 0 ) , R1( 0 ) ,
var2( 0 ) , R2( 0 ) ,
var3( 0 ) , R3( 0 ) ,
var4( 0 ) , S1( 0 ) ,
var5( 0 ) , S2( 0 ) ,
var6( 0 ) , S3( 0 ) ,
var7( 0 ) ,
var8( 0 ) ,
SessReset( False ) ,
PivotReset( False ) ;


SessReset = t = SessEnd;
PivotReset = t = SessStart;

if SessReset then
begin

var0 = var0 + 1 ;
var1 = var2 ;
var3 = var4 ;
var5 = var6 ;
var7 = Close;
end;

if PivotReset then
begin

var2 = Open ;
var4 = High ;
var6 = Low ;
end

else
begin
if High > var4 then
var4 = High ;
if Low < var6 then
var6 = Low ;
end ;
condition1 = var0 >= 2 and BarType < 3 ;

if PivotMethod = 1 then PP = ( var3 + var5 + var7 ) / 3; 

if PivotMethod = 2 then PP = ( var3 + var5 + var7 + var2 ) / 4;

if PivotMethod = 3 then PP = ( var3 + var5 + var2 ) / 3; 

R1 = PP * 2 - var5;
R2 = PP + var3 - var5; 
R3 = R2 + var3 - var5; 
S1 = PP * 2 - var3; 
S2 = PP - var3 + var5; 
S3 = S2 - var3 + var5; 


if condition1 then begin

Plot1(R1, "R1" ) ;
Plot2( R2, "R2" ) ;
Plot3( R3, "R3" ) ;
Plot4( S1, "S1" ) ;
Plot5( S2, "S2" ) ;
Plot6( S3, "S3" ) ;

end ;