Pivot Point Formulas

[Soultrader 12]

Different types of pivot point formulas. Simply divide the pivots by 2 to find the midpoints.

 

Classic Formula

 

R4 = R3 + RANGE (same as: PP + RANGE * 3)

R3 = R2 + RANGE (same as: PP + RANGE * 2)

R2 = PP + RANGE

R1 = (2 * PP) - LOW

PP = (HIGH + LOW + CLOSE) / 3

S1 = (2 * PP) - HIGH

S2 = PP - RANGE

S3 = S2 - RANGE (same as: PP - RANGE * 2)

S4 = S3 - RANGE (same as: PP - RANGE * 3)

 

Woodie Pivot Points

 

R4 = R3 + RANGE

R3 = H + 2 * (PP - L) (same as: R1 + RANGE)

R2 = PP + RANGE

R1 = (2 * PP) - LOW

PP = PP = (HIGH + LOW + OPEN + OPEN) / 4

S1 = (2 * PP) - HIGH

S2 = PP - RANGE

S3 = L - 2 * (H - PP) (same as: S1 - RANGE)

S4 = S3 - RANGE

 

using OPEN = TODAY'S OPEN, and yesterday's HIGH and LOW

 

Camarilla Pivot Points

 

R4 = C + RANGE * 1.1/2

R3 = C + RANGE * 1.1/4

R2 = C + RANGE * 1.1/6

R1 = C + RANGE * 1.1/12

PP = (HIGH + LOW + CLOSE) / 3

S1 = C - RANGE * 1.1/12

S2 = C - RANGE * 1.1/6

S3 = C - RANGE * 1.1/4

S4 = C - RANGE * 1.1/2

[torero 10]

Has anyone use Camarilla with success? Don't know much about it and want to learn more about it.

[feb2865 10]

H1 to H4 and L1 to L4 Levels somehow alike pivots points but calculations are different. The most significant levels are H3/L3 If the market approach these levels a possible breakout is about to happen.

 

Extremely powerful if you trade Forex. I don't recomend it for futures..

 

I have a camarilla code for Metatrader. I used camarilla levels to trade EUR/CHF but not anymore as just two simple horizontal lines will do the trick.

 

The whole Idea on camarilla levels is to look for periods of acumulation/distribution in longer time frames (4hr, daily, weekly) and spots possible breakouts.

[torero 10]

So how is the A/D set up or be found? I'm studying to trade forex right now and still looking for profitable system and pairs to trade.

[Manfred 10]

Hi,

 

I've been developing my own pivots indicator for sofware I use which doesnt have the feature built-in and was wondering about the preferred approach used to calculate weekly pivots.

 

Is the week defined literally, i.e. between Monday and the immediate next

Friday or is it regarded as a 5 trading day lookback from a known most

recent Friday.

 

My question relates to how should I handle non-trading days in the week

(e.g. public holidays) - say a week has 1 non-trading day, so now is the

pivot calc based on 4 days or does it stick with a 5 day lookback (i.e.

assume every 5 daily bars make up a week). If there are 2 holidays in one

week is the pivot then based on 3 days and so on?

 

Once I've gotten that right, I'd tackle intraday, so just quickly on that one would I assume for most commodities 24 hourly bars = 1 day and base my next day pivot on that? e.g. what is the procedure in calculation if a commodity market is closed for part of those 24 hours, is it the last 24 hours = 1 day or do I just use the last 24 bars (assuming of course one's data has no gap errors and its real market data)

 

Thanks for any explanation.

 

Cheers

[Manfred 10]

Two quick links that should get you started with copious amounts of info on Camarilla are:

 

Camarilla Equation - Free!

Day Trading Online to Financial Freedom with the SureFireThing Camarilla Equation

[Soultrader 12]

Hello Manfred,

 

Welcome aboard With weekly pivots, you should use the high/low/close from the Monday to Friday session. In other words, it does not make a difference if there was 3 or 4 trading days. You will simply use those 3,4 days to grab the high/low/close.

 

For the emini's which are traded almost 24 hour electronically, you will still use the exchange times. The easiest way is to grab the values directly from the price bar on the daily charts. Hope this helps.

[malvado xetra 10]

Soultrader,

 

I Have Never Used Any Pivot Strategies, At Least In Spanish Dont Know Them By That Name. Could You Explain To Me Some Of It. What Are They Based Of? And Do You Know Any Web Site Or Bibliography To Enhance My Knowledge Of It. I Think They Can Be Quite Interesting

 

Thank You

[Soultrader 12]

You might want to grab John Person's, A Complete Guide To Technical Trading Tactics. This is the book that got me into pivot points.

 

Pivot points are simple mathematical calculations initially used by floor traders to identify support and resistance. It fairly well known to the public now but the important thing is knowing how to play the pivots. Knowing where the levels are is not enough.

[torero 10]

I believe floor pivots are more useful in futures, commodities and forex than stocks (personal opinion here). You have to remember that alot of people use or watch pivots. It doesn't mean they work all the time, but how prices react to them and if there are other important levels (fib levels, S/R) near it, it makes that area more likely for prices to respect. John Carter makes the point that R3/S3 areas where prices tend to stop. I tend to rely more on Weekly and Monthly pivots on ER2, especially on forex.

[Kiwi 16]

What always worried me about pivots is that every set I used (floor, woodies, camarillo, etc etc) seemed to work some of the time. So in the end I just used prior swing highs and lows and highs of today and yesterday.

[Guest cooter]

Different types of pivot point formulas. Simply divide the pivots by 2 to find the midpoints.

 

I tried that, and it didn't work. You might want to update the instructions to read something like:

 

"Simply divide the sum of two adjacent pivots by 2 to find the midpoints between them."

 

Guess I'm too literal or something... :rolleyes:

[Guest cooter]

Woodie Pivot Points

 

PP = (HIGH + LOW + CLOSE) / 3

 

 

Also, I'm not sure of your source for these pivots, but this one seems to have an error.

 

Woodie calculates the pivot point himself as:

 

[b]
PP = (HIGH + LOW + OPEN + OPEN) / 4[/b]

using OPEN = [u]TODAY'S OPEN[/u], and yesterday's HIGH and LOW

You can verify this at Woodies CCI Club .

[waveslider 10]

My opinion is that the POC and VPOC are much more powerful than static pivot point formulas.. These represent true "price magnets" within the market. However I don't use any kind of strategy fading the pivots.

I DO use them to establish trend direction for the day, sort of as a filter.

So if close is above the 15 minute range and PP is within the range or below this 15 minute range, bias is up.

[waveslider 10]

I dont' trade stocks anymore, but the LSS method of generating daily range is very accurate in many cases.. stock traders would do well to program that. It was George Angel's work I think... search for LSS method. PM for tradestation code..

[mw_401 10]

The original msg:

Classic Formula

 

R4 = R3 + RANGE (same as: PP + RANGE * 3)

R3 = R2 + RANGE (same as: PP + RANGE * 2)

R2 = PP + RANGE

R1 = (2 * PP) - LOW

PP = (HIGH + LOW + CLOSE) / 3

S1 = (2 * PP) - HIGH

S2 = PP - RANGE

S3 = S2 - RANGE (same as: PP - RANGE * 2)

S4 = S3 - RANGE (same as: PP - RANGE * 3)

 

But I have another site telling me:

Classic Formula

 

R3 = R1 + RANGE

R2 = PP + RANGE

R1 = (2 * PP) - LOW

PP = (HIGH + LOW + CLOSE) / 3

S1 = (2 * PP) - HIGH

S2 = PP - RANGE

S3 = S1 - RANGE

 

Can anyone tell me the difference? (R3 and S3) Or if one is better than the other?

[Guest cooter]

One is the 3rd level of RESISTANCE (above the Pivot Point), the other is the 3rd level of SUPPORT (below the Pivot Point).

 

As for the difference between the two R3s and two S3s - which I think you are asking - just use basic math to figure it out.

[Soultrader 12]

Also, I'm not sure of your source for these pivots, but this one seems to have an error.

 

Woodie calculates the pivot point himself as:

 

[b]
PP = (HIGH + LOW + OPEN + OPEN) / 4[/b]

using OPEN = [u]TODAY'S OPEN[/u], and yesterday's HIGH and LOW

You can verify this at Woodies CCI Club .

 

Thanks cooter, I changed the formulas and updated the pivot calculator accordingly.

[Vercingetorix 10]

For futures like the s&p 500 e-mini what trading hours do you use? Do you use the 9:30-4:00 stock market time range or a 24 hour chart?

[Maverick0325 10]

James,

 

Once again, love the forum, thanks!

 

Had a question re: 'floor-trader pivots'

 

I have seen people use these very effectively and wanted to see if you agree with their effectiveness.

 

Floor Trader Pivots are calculated similar to the Classic style, however, R2, R3, S2, S3 are different.

 

Check the link, scroll down all the way to the bottom and see the calculator to see the calculations as well.

http://www.tactrading.com/floor-pivot-trading.htm

 

Question:

Have you used them on Equities? Did they hold?

Have you used them on the Nikei, as you like to trade that more often.

 

Any comments? Suggestions?

[robosoft 10]

Hi all,

 

Can some one tell me what do we mean by range in the above formula ? and are these formulas good enough for trading in stocks.... thanks..

[trader273 10]

Hi all,

 

Can some one tell me what do we mean by range in the above formula

 

Range is simply the HIGH-LOW

[helitrader 10]

Hi,

 

Does anyone have a working auto pivot point indicator for the futures on Tradestation?

 

There are many indicators out there to calculate the floor pivots on a daily basis and these can be modified fairly easily to calculate the daily, weekly and monthly pivots using the HLC values at the end of the day/week/month to calculate the pivots for the following day/week/month using the supplied tradestation functions:

 

High, Low, Close - daily HLC values

HighW, LowW, CloseW - weekly HLC values

HighM, LowM, CloseM - monthly HLC values

 

However, to get the correct values for the pivots on the futures you have to use the actual session times and not the end of day values. For example to determine when to calculate a new set of daily pivots on say the $INDU (in tradestation) a simple check to look for a new day using:

 

Date<>Date[1]

 

can be used to identify the start of a new day.

 

For the futures the start of a new session can be identified using:

 

currentsession(0) <> currentsession(0)[1]

 

This works fine for calculating the daily futures pivots. However, I'm stuck on how to look back over previous sessions on the futures and identify the HLC over the past week/month.

 

Has anyone tackled this and got a working solution to this problem?

 

 

helitrader.

[diablo272 10]

What do you guys use for calculating pivots, in terms of the session opening and closing times? This is for ES.

[helitrader 10]

I use standard exchange times for the e-minis. On tradestation this would be 3.30pm to 3.15pm the following day CST I believe.