anaPivotWeekly Indicator showing incorrect R/S 2 and above level values

[brucerobinson]

I use tick charts for Futures and have daily pivots on short-term chart and weekly on medium-term.
I use the documented Kinetic EOD daily chart 'workaround' to get Settlement prices.
Using the anaPivotWeeklyv42 indicator on the mid-term chart gives the same values for PP, R/S1 as using UserDefinedValues in the standard NT Pivot Indicator (input values taken from mypivots.com) but different values for the R/S levels greater than 1 (and more levels i.e. 5).
I don't understand this - the indicator must be getting the correct OHLC taken from the Kinetic EOD Daily Bars charts, saved into Historical Data and then historical data re-loaded into the mid-term tick charts in order for it to correctly calculate PP, R/S1. So if the OLHC/Settlement Price is correct to calculate PP and R/S1 correctly, how are the other levels incorrect with anaPivotWeekly? It seems to suggest the Standard NT Pivots indicator and the anaPivotsWeeklyv42 calculate different pivots greater than level 1, the Standard being correct (matching mypivots.com Weekly Pivots values) and anapivotsweekly something else, which I very much doubt - so what is causing this/what am I doing wrong please?

[Harry]

I am the author of the indicator. I cannot answer your question unless you specify

- whether you wish to display full session GLOBEX or regular session FLOOR pivots
- which instrument you wish to chart
- which session template you used to determine the full session or regular session
- which formula you used to calculate the pivots
- which were the indicator settings that you used

The website www.mypivots.com only publishes full session GLOBEX pivots, they do not provide floor pivots which are important for index futures, interest futures and some of the commodity futures.

As you have not given any information, I will post a sample chart for ES 03-14 here.
Kinetick data supplies the ETH high, ETH low and the settlement price, therefore pivots calculated from daily data should match the pivots published by www.mypivots.com.

Settings:

Session template: CME US Index Futures
Calculate from session: DailyBars
Pivot formula: Floor
Settlement/Close: DailyClose (when DailyBars are selected DailyClose is always active)

As you can see on the chart attached, the pivots calculated by the indicator are identical with the pivots shown on www.mypivots.com.

Floor pivots and Globex pivots are only defined up to the levels R2 and S2. Beyond those levels there are different variations of the pivot formula. There is a wide and a narrow formula. I will explain the difference in the next post.

The anaPivotsWeeklyV42 indicator allows you to use both formulae, either select "Floor" or "Wide".

[Harry]

Wide and Narrow Pivot Points And Who Uses Them

Short explanation on narrow and wide pivots.


Narrow pivots formula: Adding daily range to R1 or subtracting daily range from S1

R3 = R1 + (H-L) = H + 2*(P-L)
S3 = S1 - (H-L) = L - 2*(H-P)


Wide pivots formula: Adding daily range to R2 or subtracting daily range from S2

R3 = R2 + (H-L) = P + 2*(H-L)
S3 = S2 - (H-L) = P - 2*(H-L)

Let us have a look, where these formulae are being cited:

Narrow pivots:

- J. Welles Wilder: New Concepts in Technical Trading Systems
- J.F. Carter : Mastering The Trade
- https://www.sierrachart.com/support...hp/t-21832.html
- Pivot Point Calculator, Free Pivot Point Calculator
- Forex - Pivot Points Calculation Rules
- Trading Shares Online | Share Prices | Financial News | Currency Converter
- http://systems4trading.com/system,2...day-system.html
- http://www.floorpivottrading.com/fl...vot-trading.htm
- http://www.esignalcentral.com/excha...y_spotlight.asp
- http://tradingthingys.com/PitPivotPoints.pdf
- also used for Woodie's Pivots just with a different formula for the main pivot

Wide pivots:

- http://www.traderslaboratory.com/fo...ormulas-35.html
- http://www.investopedia.com/article...intstrategy.asp
- http://www.ninjatrader-support2.com...read.php?t=4676
- MyPivots Site Map
- Instant Pivots Calculator (for Traders)

[brucerobinson]

Thanks Harry - I'd looked into the background to Pivot calculations, for Floor, Woodies, Camarilla etc but hadn't seen Narrow and Wide (!), despite following many threads on this board and BMT on the subject. Thank heavens for a Pivot guru
I hadn't posted the info you've asked for, in the first instance, because there is so much and didn't know what would be relevant, and not.
I trade 'all of the above' - Currency Futures (6E & 6J), Commodities (NG & CL, and GC & SI), Stock Index (TF, NQ, FDAX). So a variety of Exchanges, and Sessions.
I will go through your very helpful reply and make sense of it as it applies to my needs and get back to you if I need further help if I may.
But I think you have given me the immediate answer to why I am seeing different plots - one is showing Narrow (Floor) Pivots and the other Wide Pivots. I knew of Floor but not Wide.
Such a complicated area - many thanks for your marvellous assistance.

BTW I use the Default Session templates attached to the Instruments, except TF which was a whole other journey to understand - conclusion: using a Default 24/5 (couldn't get the recommended ipe one to work for the sessions correctly)

[Harry]

BTW I use the Default Session templates attached to the Instruments, except TF which was a whole other journey to understand - conclusion: using a Default 24/5 (couldn't get the recommended ipe one to work for the sessions correctly)

Please do not use the session template 24/5 for TF. This will lead to

-> false pivots (case ETH, RTH)
-> correct pivots displayed for a retarded session (DailyBars)

There is not much to understand about the session template for TF. TF is traded at New York, therefore the session template should use New York time (EST). The contractual trading times (see ICE website) are

Sunday 6:00 PM - Monday 6:00 PM
Monday 8:00 PM - Tuesday 6:00 PM
Tuesday 8:00 PM - Wednesday 6:00 PM
Wednesday 8:00 PM - Thursday 6:00 PM
Thursday 8:00 PM - Friday 6:00 PM

I think this template comes with NinjaTrader as IPE Europe Futures. If you cannot find it, just create it yourself and save it under instrument settings for TF.

[brucerobinson]

Thanks Harry, as I wrote, I tried....
I followed the thread about this - on creating a new template (can't recall if one here or BMT), which I did, and using the ipe Europe Futures one (which I think it is said somewhere comes from a Brent Crude one - I've done my research!) etc etc, etc.
I still have both in NT so once I've got anaPivots weekly up and running on all I'll have another crack at it. I think it was giving me wrong session times, not ET. But I'll re-create it and post (once I've figured out how to attach a file in the Forum!)

[humdesggg]

prob with ana on ninja 7.22

i have a problem with importing ana pivots. see errror

[NinjaTrader_Bertrand]

Do you have the original zip export or just the raw cs file? The former would be the preferred method however a cs could be also copied directly into the Documents > NinjaTrader7 > bin > custom > Indicator folder to install. Afterwards please compile your files in the NinjaScript editor (just open any file and press F5 in the editor). The error message you got would be expected when running a straight cs file with the Import command, that's really for zip's only.

[humdesggg]

yes its a zip file

[Harry]

i have a problem with importing ana pivots. see errror

Your problem is homemade, as you tried to import from an invalid path. The six indicators from the SessionPivotsV42 package come as a zip file, which is called SessionPivots.zip. Please download the install file here

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

and copy it your desktop. Then import via File -> Utilities -> Import NinjaScript and select the downloaded file.

[EminiTraderCBOT]

Hello

Hi Harry,

I have a question regarding your indicators. I am currently running:

anaCurrentDayVWAPV42.cs
anaFibsFromPriorWeekV42.cs
anaCurrentDayOHLV42.cs
anaPivotsDailyV42.cs
anaPivotZonesDailyV38.cs
anaPivotsZonesWeeklyV43.cs
anaFibsFromPriorDayV42.cs

What settings would I use to trade the YM?

Is there a way to set this up that they are not overlapping where I can read it?

Are these all in that zip file download available?

Thank you!

[EminiTraderCBOT]

One more question, what Session Template should be used for YM? I usually just leave the default if Use Instrument Setting. Is this correct?

[Harry]

Trading YM

The basic question is whether you wish to use full session or regular session information to calculate the indicator values. This also depends on the indicators.

Basically you can use two session templates, the ETH template which is preset under instrument settings or an alternative template that subdivides the full session into thre sections (night session, regular session and evening session).

When you use the full session template, all indicator values will be calculated from the full session open, high and low. When you use the subdivided template, you may selected between ETH pivots and RTH pivots, as both calculations are possible.

But as you asked:

Daily, weekly, monthly, quarterly VWAP: I always use full session information. The reason is that the VWAP has already stabilized when the regular session starts. And then there is no reason to exclude the earlier trades from the calculation of the average price for the day.

Daily, weekly, monthly pivots: YM is a local instrument that depends on the US economy. During the night session, it is mainly driven by news from Asia and Europe .... therefore it resets at the beginning of the US session. It definitely makes sense to have a look at genuine - regular session - floor pivots. I always use the settlement price instead of the last traded price, which can be taken from daily data, if you have the right datafeed.

PivotZones: You do not need the PivotZones, if you use the SessionPivots. The only difference is the visual presentation of the pivots, it is more a matter of taste.

FibsFromPriorDay, ..PriorWeek, ... PriorMonth: I prefer to use them with ETH settings, but most of the time I do not use them at all.

All indicators can be downloaded via www.futures.io. SessionPivots, PivotZones are also available through this forum. Professional versions of the VWAPs and Pivots are available through our website www.lizardtrader.com.

[EminiTraderCBOT]

Thank you very much.

Which template divides the 3 sessions?

If you were using them all, would instrument settings work?

I don't see these available for download on lizardtrader website. Are they free?

[Harry]

Thank you very much.

Which template divides the 3 sessions?

If you were using them all, would instrument settings work?

I don't see these available for download on lizardtrader website. Are they free?

You cannot download session templates and install them. You need to create them manually.

Instrument settings work, if you do not wish to use RTH indicators.