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Rolling Pivot Points
Last Activity 7/8/2024 10:45 AM
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Tony

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Subject : RE: Rolling Pivot Points
Posted : 7/25/2007 5:09 PM
Post #5898 - In reply to #5890

HI Chris and Manfred,

I want to just thank you for all of your work and contribution to the pro forum. You not be aware that you have a following of folks that truely appreciate you work. Currently, I still trade a dummy account in FX. I enjoy trading pivots and will at some point get ot set up for FX. So once again thank you as this looks like a tool that I could use.

tony
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Kris

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Subject : RE: Rolling Pivot Points
Posted : 7/26/2007 11:19 AM
Post #5918 - In reply to #4233

Hi Bob,

Unfortunately the best moves normally happen while I am in the office. Typically I pickup the "cigarette-butts" of the forex market, i.e trades that are available to me in the evening :-)

I view it as a real problem, because if a strategy gives me very good back-test results, I should trade every signal(!), otherwise I cannot expect consistent performance (in line with the back tested results). Now if profitable trades are during mid-day, but I trade in the evening, I may be picking-up the less profitable trades(the butts!?). That is why automated trading is so important, I am building up some courage to let my computer lose.

Anyway, typically I use very simple strategies with 1-2 related system(s), 1-filter/confirmation and 1-stop. Since we are talking about Pivots, attached is a strategy with Pivot Filter that serves me well in a volatile market (i.e. FX):

* two systems - RSI-P & RSI-TLB
* Pivot Filter - allow long trades when price is above the central pivot level of the next larger time frame (short vice versa), e.g. on 60-min chart my filter is daily central pivot level, and on daily chart my filter is weekly central pivot level.
* my forex stop within a forex trade-plan.
* attached are all required files.

Also, I believe that with this strategy it is important to carefully select/enable correct timeframes. For example, I disable the 10-min timeframe. For 10-min I use different filter setting and a different stop (my 2-bar stop)

Tony, thank you for your good word. Welcome to Forex, the dark side of the market. I migrated to Fx about 16 months ago and I am slowly losing interest in stocks and futures :-)

Cheers, Kris

Attached file : ForexStop.txt (1KB - 353 downloads)
Attached file : Forex.ott (92KB - 361 downloads)
Attached file : fx-RSI.ots (664KB - 372 downloads)

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Kris

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Subject : RE: Rolling Pivot Points
Posted : 7/27/2007 3:34 AM
Post #5929 - In reply to #4233

Well, I think we can retire the DailyPivots60min indicator, as OT2007 FloorPivot() does a great job if one adjusts the Exchange Information [menu] >> Edit >> Exchange Information..., where one can specify correct time-zone and market hours.

However, the DailyPivot10min (top right on attached pic) is still useful as it shows mid-points between the R#-PP-S# levels. Typically after a narrow day (see 19-Jul and 25-July on bottom right Hourly chart) the next day's (20-Jul and 26-Jul) pivots are bunched up and one should be ready for a larger move. Conversely, after a large move on a day like yesterday (26-Jul) one should use the mid points, see 10-min chart (top right corner) for precise entry and exit points.

By the way, yesterday we had another massive JPY move from central Pivot level all the way to S5 level(!) This time I was in from of my trading station and made some good cash :-)

Cheers, Kris

Attached file : JPY.JPG (204KB - 368 downloads)

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RichardL

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Subject : RE: Rolling Pivot Points
Posted : 7/27/2007 11:13 AM
Post #5934 - In reply to #5918

Hi Kris

I tried to fire up your files, but the filter function is looking for FloorPivot_Above() and FloorPivot_Below()

If you are happy to post them, would be very grateful.

all the best

Richard
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Kris

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Subject : RE: Rolling Pivot Points
Posted : 7/27/2007 12:04 PM
Post #5936 - In reply to #4233

Oops, I forgot that I turned script into a function module.

Go to strategy builder > Filter block > Conditions > Long (window) and delete the "FloorPivot_Above()" string and enter: C > (H[1]+L[1]+C[1])/3

In the Conditions > Short (window) delete "FloorPivot_Below()" and enter: C < (H[1]+L[1]+C[1])/3

That will do the trick.

Cheers, Kris

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RichardL

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Subject : RE: Rolling Pivot Points
Posted : 7/27/2007 12:56 PM
Post #5938 - In reply to #5936

Magic, thanks Kris

and to echo the others in sincere thanks for the amazing code you and Manfred put together - it is inspirational but must be v hard graft to get right so very much appreciated for sharing.

cheers
Richard
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Tony

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Subject : RE: Rolling Pivot Points
Posted : 8/8/2007 11:01 AM
Post #6031 - In reply to #4233

Hi Folks,

just wanted to mention that the posted fx strategy does offer some great signals. But be careful if one is testing it as you will experience changing signals with timeframe in filter set at current plus one.

Have we ever found a way to keep a signal from dissapearing once it is present in these higher timeframe confirm strategies.

Thanks,

Tony
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Kris

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Subject : RE: Rolling Pivot Points
Posted : 8/8/2007 12:59 PM
Post #6033 - In reply to #4233

Tony,

Thanks for pointing it out, I forgot to mention. The logic behind the (Pivot) filter in a timeframe: Current+1 is designed to maintain consistent signals, but in volatile markets the signals may change.

Lets assume that we have 5-min, 60-min, daily and weekly timeframes within our profile. If we trade on 60-min timeframe, the pivot filter will be on daily timeframe. Now, if the market opens and stays below the central daily pivot level, only short signals will be allowed. However, when the market rallies above the central daily pivot level the filter allows only the long signals. As a result, because 60-min closing price is above the the daily pivot level, the strategy allows only long signals for the whole day, recalibratig signals fired this morning(!?) I am afraid that it is not perfect, but it still works reasonably well.

Also, I wouldn't use it in a profile with too many timeframes. E.g. I wouldn't want to trade on 5-min chart with a filter based on 15-min bar(!) In fact in my 5-min strategy I use filter in Current+2 timeframe, i.e. daily pivot (skipping the 60-min timeframe).

I hope it makes sense. Cheesr, Kris
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Tony

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Subject : RE: Rolling Pivot Points
Posted : 8/8/2007 4:54 PM
Post #6039 - In reply to #4233

Hi Kris,

very good feedback. Much appreciated. Yes, using multiple timeframe confirm is sound. But I am still wondering if we have a workaround that keeps signal in place on the voteline / focus list once signal is fired even though volitiliy may have change the filter condition to where it is no longer true?

Yes, this is an old issue that is once again popping up.

Thanks,

Tony
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Matthew Greenslet

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Subject : RE: Rolling Pivot Points
Posted : 8/9/2007 9:23 AM
Post #6049 - In reply to #4233

If you do not want your signals to change as a result of optimization Click Edit | To Do List and under the Test Settings tab use a fixed back test period. This will prevent the back test from shifting automatically so OT will always use the same data set for optimization which will always result in the same settings. However please note that at some point you will want to manually move your back test period to a closer date. If your strategy relies on optimization, the further you get away from your back test boundary the signal accuracy will degrade.

[Edited by Matthew Greenslet on 8/9/2007 9:24 AM]

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Kris

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Subject : RE: Rolling Pivot Points
Posted : 9/7/2007 2:44 PM
Post #6368 - In reply to #4233

Rolling Pivots strike again (!)

Check Hubert's video: http://clicks.aweber.com/z/ct/?UfPCSh97eeG5anPGdVU_Fw

Then attached pictures, and if you like it download the indicator.

According to Hubert, it works well in quiet/sideways markets. Looking at today's market, it is amazing how many currencies respected these levels.

Cheers, Kris


Attached file : EUR_2_min.JPG (88KB - 349 downloads)
Attached file : JPY_2_min.JPG (79KB - 336 downloads)
Attached file : Pivots02min.txt (2KB - 353 downloads)

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Greg

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Subject : RE: Rolling Pivot Points
Posted : 9/7/2007 4:18 PM
Post #6369 - In reply to #4233

Kris,

Do you have any ideas why I would get this look? This is RT
Attached file : RollingPivots.png (5KB - 348 downloads)

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Kris

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Subject : RE: Rolling Pivot Points
Posted : 9/8/2007 12:41 AM
Post #6374 - In reply to #4233

Hi Greg,

Current version works on 2-min charts only(!). I have updated the code to ensure that if the chart periodicity is different to 2-min the indicator doesn't draw anything. Next version will be more flex...

Sorry, I wasn't specific enough in my post (although it is documented within the indicator code).

Cheers, Kris


[Edited by Kris on 9/8/2007 1:46 AM]

Attached file : Pivots02min.txt (2KB - 341 downloads)

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Kris

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Subject : RE: Rolling Pivot Points
Posted : 9/8/2007 2:27 AM
Post #6376 - In reply to #4233

I am experiencing intellectual difficulty with auto-detecting the chart periodicity, so attached please find Hourly Floor Pivots for 1-min, 2-min and 5-min charts respectively.

The last indicator (Pivots1hr05min.txt) code includes my current thinking on detecting chart periodicity, but it isn't working (yet).

To avoid confusion all three indicators will draw pivots only on correctly specified chart period, i.e. it will draw 5-min rolling pivots only on 5-min chart, but will not draw the garbage that Greg alerted me to on e.g. 2-min chart.

Maybe one of the more accomplished developers could have a look at the Pivots1hr05min.txt code and help us get the auto-chart-periodicity to work.

Cheers, Kris


Attached file : Pivots1hr01min.txt (2KB - 371 downloads)
Attached file : Pivots1hr02min.txt (2KB - 378 downloads)
Attached file : Pivots1hr05min.txt (3KB - 398 downloads)

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Kris

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Subject : RE: Rolling Pivot Points
Posted : 9/8/2007 4:03 PM
Post #6385 - In reply to #4233

Interesting strategy based on 240-min Floor Pivot Points at: http://www.forexfactory.com/showthread.php?t=38542

Similar principles could be used for 60-min Floor Pivots posted in a previous note.

Cheers, Kris

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Matthew Greenslet

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Subject : RE: Rolling Pivot Points
Posted : 9/10/2007 1:55 PM
Post #6405 - In reply to #4233

Here is a hack to get the periodicity.

If SymbolData.Periodicity = 1 Then Timeframe = Intraday And Minute = SymbolData.Compression

If SymbolData.Periodicity = 2 Then Timeframe = Daily

If SymbolData.Periodicity = 3 Then Timeframe = Weekly
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Zimbo

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Subject : RE: Rolling Pivot Points
Posted : 10/31/2012 12:46 PM
Post #21377 - In reply to #4233

Its been some 4 years now since the coding for the Floor pivot indicator was posted up by Kris. I just love this indicator but am not very adept at coding. I copied the code into my OT 2012 PR 3C and it came up with a compling error as follows;

FileName: ; Line: 0; Char: 0; Error Number: -2;
Microsoft (R) Visual Basic Compiler version 8.0.50727.5420
for Microsoft (R) .NET Framework version 2.0.50727.5456
Copyright (c) Microsoft Corporation. All rights reserved.

C:\Program Files (x86)\Nirvana\OT2012\VBA\Temp\indDailyPivots60min.txt(165) : error BC30451: Name 'C' is not declared.

If (Bar > (C.Length() - ((NumberHistoricalPivots * LookBack) + CurrLookBack(Bar)))) Then
~
C:\Program Files (x86)\Nirvana\OT2012\VBA\Temp\indDailyPivots60min.txt(204) : error BC30451: Name 'C' is not declared.

ElseIf ((Bar > (C.Length() - CurrLookBack(Bar))) And (afBARHOUR_23(Bar - 1) <> 23)) Then
~

Maybe the newer version of OT has broken the code for the 2007 version. Can anybody help me with this?
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Jim Dean

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Subject : RE: Rolling Pivot Points
Posted : 10/31/2012 5:09 PM
Post #21379 - In reply to #21377

That code (in the error msg) is totally incorrect (re OLang syntax) in several ways. If you want assistance with it please post the full original OLang code.

Sometime in the past couple of years the OLang Parser has gotten much less helpful in the nature of the way it reports problems. Doesn't give line numbers in the orig OLang code in many cases where it used to. And other things.

Lots of times now the code/line#'s in the error msg is the code from the Temp file.

So the only way to diagnose it is look a the original OLang routine in full.
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JB

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Subject : RE: Rolling Pivot Points
Posted : 11/13/2012 8:13 PM
Post #21408 - In reply to #5894

Hi Folks I think I may have made a useful offering but you will have to be your own judges of that!

I have come up with a variation to the hour code for looking at shorter pivot periods.

I woould love to hear feed back about this one. It seems to me following in Frank O's way of thinking that the pivots do offer very useful directional info.

What I need to get from here is an indicator to plot the pivot direction ie if the centre pivot is lower that the previous centre pivot then return equals = 1, if the pivot is the same then 0 and if higher then return 2.

I have had a go with mixed results if anyone can help it would be appreciated.

I did not understand the need for the divide by one in Kris's original code for the hour pivot at compiled line 16 "CurrLookBack = BarMinute()/1".

[Edited by JB on 11/14/2012 3:08 AM]

Attached file : JBIntraPivotIdea.txt (4KB - 317 downloads)
Attached file : JBIntraPivotIdea.png (61KB - 515 downloads)

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beech pilot

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Subject : RE: Rolling Pivot Points
Posted : 2/6/2023 10:06 PM
Post #32191 - In reply to #5890

hello i get a compile error any help




***** Global *****:
FileName: ; Line: 0; Char: 0; Error Number: -2;
Microsoft (R) Visual Basic Compiler version 14.8.4084
for Visual Basic 2012
Copyright (c) Microsoft Corporation. All rights reserved.

This compiler is provided as part of the Microsoft (R) .NET Framework, but only supports language versions up to Visual Basic 2012, which is no longer the latest version. For compilers that support newer versions of the Visual Basic programming language, see http://go.microsoft.com/fwlink/?LinkID=533241

C:\Program Files (x86)\Nirvana\OT2023\VBA\Temp\rp.txt(168) : error BC30451: 'C' is not declared. It may be inaccessible due to its protection level.

If (Bar > (C.Length() - ((NumberHistoricalPivots * LookBack) + CurrLookBack(Bar)))) Then
~
C:\Program Files (x86)\Nirvana\OT2023\VBA\Temp\rp.txt(207) : error BC30451: 'C' is not declared. It may be inaccessible due to its protection level.

ElseIf ((Bar > (C.Length() - CurrLookBack(Bar))) And (afBARHOUR_23(Bar - 1) <> 23)) Then
~

Compiler return value: 1
Build failed.
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Barry Cohen

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Subject : RE: Rolling Pivot Points
Posted : 2/7/2023 4:41 PM
Post #32194 - In reply to #32191

Beech Pilot, that error was posted & responded to later in this thread.
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