Announcement

**ACM** · 09-25-2006, 08:39 AM

ozfader
I believe that in this thread Jason has already provided you with a solution which is to determine the change in date using if(day(0)!=day(-1) and at that time retrieve the value of the Close at the prior bar which you then use to calculate the pivots.
Enclosed below is a revision of PivotPointAll.efs (which is included in the Pivots folder) that implements the simple change suggested by Jason (the modification is commented in the script)
All you need to do is to set the Time Template of the chart to the trading hours of the symbol which will exclude the Settlement tick

PHP Code:


/******************************************************************************************

Copyright © eSignal, a division of Interactive Data Corporation. 2005. All rights reserved.

This sample eSignal Formula Script (EFS) may be modified and saved under a new filename;   

however, eSignal is no longer responsible for the functionality once modified.             

eSignal reserves the right to modify and overwrite this EFS file with each new release.    

@version 3.0 by Alexis Montenegro for eSignal                                              

*******************************************************************************************/

 

function preMain() {

 setPriceStudy(true);

 setStudyTitle("Pivot Points");

 setCursorLabelName("PP-R2", 0);

 setCursorLabelName("PP-R1", 1);

 setCursorLabelName("PP", 2);

 setCursorLabelName("PP-S1", 3);

 setCursorLabelName("PP-S2", 4);

 // R2

 setDefaultBarStyle(PS_DASH, 0);

 setDefaultBarFgColor(Color.RGB(255,0,0), 0);

 setDefaultBarThickness(2, 0);

 // R1

 setDefaultBarStyle(PS_DOT, 1);

 setDefaultBarFgColor(Color.RGB(0,0,255), 1);

 setDefaultBarThickness(1, 1);   

    // Pivot  Point

 setDefaultBarStyle(PS_SOLID, 2);

 setDefaultBarFgColor(Color.RGB(0,0,0), 2);

 setDefaultBarThickness(1, 2);

    // S1

 setDefaultBarStyle(PS_DOT, 3);

 setDefaultBarFgColor(Color.RGB(0,0,255), 3);

 setDefaultBarThickness(1, 3);

 // S2

 setDefaultBarStyle(PS_DASH, 4);

 setDefaultBarFgColor(Color.RGB(255,0,0), 4);

 setDefaultBarThickness(2, 4);

}

 

var bInit = false;

var xHigh  = null;

var xLow   = null;

//var xClose = null;//removed by ACM

var vPP = null;

var vR1 = null;

var vS1 = null;

var vR2 = null;

var vS2 = null;  

var vClose;//ACM added

 

function main() {

 

    if(isMonthly() || isWeekly())

    return;

    

    if(bInit == false){

        xHigh  = high(inv("D"));

        xLow   = low(inv("D"));

        //xClose = close(inv("D"));//ACM removed (no longer required)

        bInit = true;

    }

    

    var vHigh  = xHigh.getValue(-1);

    var vLow   = xLow.getValue(-1);

    //var vClose = xClose.getValue(-1);//ACM replaced with line below

    if(day(0)!=day(-1)) vClose = close(-1);//ACM added

    if(vHigh == null || vLow == null || vClose == null)

    return;

    

    vPP = (vHigh+vLow+vClose)/3;

    vR1 = 2*vPP-vLow;

    vS1 = 2*vPP-vHigh;

    vR2 = (vPP-vS1)+vR1;

    vS2 = vPP-(vR1-vS1);  

    

    return new Array(vR2, vR1, vPP, vS1, vS2);

}

In the following chart you can see that the pivots are calculated using the intraday Close and not the Settlement. On 9/19 the value of PP is 3826.67 (which if rounded would display 3827) and not 3825.33
Alex

**ozfader** · 09-25-2006, 03:15 PM

Many thanks Alexis,

As a programmer I make a great photographer, however in the interim I've managed to utilize your pivotpointsall2.efs study (with a few slight personal pref changes) so that it's able to calculate the correct pivots for Eurex.

I'm not knowledgeable enough to fully understand why it works, but it does, and for that I'm grateful. Thank you once again.

I'm also not familiar with the protocol for altering and distibuting existing formulae, such as yours below. Perhaps you could comment?

**ACM** · 09-27-2006, 10:43 AM

Alan
You are most welcome.

I'm also not familiar with the protocol for altering and distibuting existing formulae, such as yours below. Perhaps you could comment?

If the author of the script allows it (and most will with open source code) you can freely modify and redistribute the formulae. In this case the common courtesy is to include the credits of the author and comments on all the changes made just as you did in the script you posted. Also if you post a modified script as a file attachment you may want to rename it so as not to create files with the same name.
You may also want to consider storing your scripts in a group in File Sharing to which you can then provide links.
Alex

**ozfader** · 09-27-2006, 02:20 PM

Originally posted by Alexis C. Montenegro

You may also want to consider storing your scripts in a group in File Sharing to which you can then provide links.

Will do so Alexis. Thanks again.

PHP Code:


/*********************************************************        

Alexis C. Montenegro © December 2004                              

Use and/or modify this code freely. If you redistribute it        

please include this and/or any other comment blocks and a         

description of any changes you make.                              



//September 2006                                                  

Added R3 and S3, plus midpoints and labels.                       

Please note that EUREX traders need to correct for Daily          

Settlement adjustments, etc. by setting their Time Template       

to an Interval of 840, and similarly including an Optional        

Close Interval of 840 in "Study Properties" under "Edit Studies". 

Alan Vertue                                                       

******************************************************************/



var fpArray = new Array();



function preMain() {



    setPriceStudy(true);

    setStudyTitle("Eurex Pivots");

    setCursorLabelName("R2",    0);

    setCursorLabelName("R1",    1);

    setCursorLabelName("PP",    2);

    setCursorLabelName("S1",    3);

    setCursorLabelName("S2",    4);

    setCursorLabelName("S3",    5);

    setCursorLabelName("R3",    6);

    setCursorLabelName("PPS1",  7);

    setCursorLabelName("S1S2",  8);

    setCursorLabelName("S2S3",  9);

    setCursorLabelName("PPR1", 10);

    setCursorLabelName("R1R2", 11);

    setCursorLabelName("R2R3", 12);

    

    // Changes to Pivot lines

    //R3

    setDefaultBarStyle(PS_DOT, 6);

    setDefaultBarFgColor(Color.RGB(150,150,255), 6);

    setDefaultBarThickness(6, 6);

    // R2

    setDefaultBarStyle(PS_DASH, 0);

    setDefaultBarFgColor(Color.RGB(255,200,200), 0);

    setDefaultBarThickness(6, 0);

    // R1

    setDefaultBarStyle(PS_DOT, 1);

    setDefaultBarFgColor(Color.RGB(200,200,255), 1);

    setDefaultBarThickness(6, 1);   

    // Pivot  Point

    setDefaultBarStyle(PS_SOLID, 2);

    setDefaultBarFgColor(Color.RGB(255,255,0), 2);

    setDefaultBarThickness(6, 2);

    // S1

    setDefaultBarStyle(PS_DOT, 3);

    setDefaultBarFgColor(Color.RGB(200,200,255), 3);

    setDefaultBarThickness(6, 3);

    // S2

    setDefaultBarStyle(PS_DASH, 4);

    setDefaultBarFgColor(Color.RGB(255,200,200), 4);

    setDefaultBarThickness(6, 4);

    askForInput();

    // S3

    setDefaultBarStyle(PS_DOT, 5);

    setDefaultBarFgColor(Color.RGB(150,150,255), 5);

    setDefaultBarThickness(6, 5);

    // PPS1

    setDefaultBarStyle(PS_DOT, 7);

    setDefaultBarFgColor(Color.RGB(0,0,0), 7);

    setDefaultBarThickness(2, 7);

    // S1S2

    setDefaultBarStyle(PS_DOT, 8);

    setDefaultBarFgColor(Color.RGB(0,0,0), 8);

    setDefaultBarThickness(2, 8);

    // S2S3

    setDefaultBarStyle(PS_DOT, 9);

    setDefaultBarFgColor(Color.RGB(0,0,0), 9);

    setDefaultBarThickness(2, 9);

    // PPR1

    setDefaultBarStyle(PS_DOT, 10);

    setDefaultBarFgColor(Color.RGB(0,0,0), 10);

    setDefaultBarThickness(2, 10);

    // R1R2

    setDefaultBarStyle(PS_DOT, 11);

    setDefaultBarFgColor(Color.RGB(0,0,0), 11);

    setDefaultBarThickness(2, 11);

    // R2R3

    setDefaultBarStyle(PS_DOT, 12);

    setDefaultBarFgColor(Color.RGB(0,0,0), 12);

    setDefaultBarThickness(2, 12);

}





    askForInput();

    

    var x=0;

    fpArray[x] = new FunctionParameter("Symbol", FunctionParameter.STRING);

    with(fpArray[x++]){

        setDefault();

    }

    fpArray[x] = new FunctionParameter("Interval", FunctionParameter.STRING);

    with(fpArray[x++]){

        setDefault();

    }

    fpArray[x] = new FunctionParameter("Interval2", FunctionParameter.STRING);

    with(fpArray[x++]){

        setName("Optional Close Interval");

        setDefault();

    }

    fpArray[x] = new FunctionParameter("Lookback", FunctionParameter.NUMBER);

    with(fpArray[x++]){

        setLowerLimit(1);

        setDefault(1);

    }

    fpArray[x] = new FunctionParameter("Type", FunctionParameter.STRING);

    with(fpArray[x++]){

        setName("Pivot type");

        addOption("Standard"); 

        addOption("DeMark");

        addOption("Woodie");

        setDefault("Standard"); 

    }

    fpArray[x] = new FunctionParameter("Params", FunctionParameter.BOOLEAN);

    with(fpArray[x++]){

        setName("Show Parameters");

        setDefault(false);

    }



var bInit  = false;

var xHigh  = null;

var xLow   = null;

var xClose = null; 

var vPP    = null;

var vR1    = null;

var vS1    = null;

var vR2    = null;

var vS2    = null;

var vR3    = null;

var vS3    = null; 

var vPPS1  = null;

var vS1S2  = null;

var vS2S3  = null;

var vPPR1  = null;

var vR1R2  = null;

var vR2R3  = null;  

var bInit = false;

var vSymbol = null;

var vSymbol2 = null; 



function  main(Symbol,Interval,Interval2,Lookback,Type,Params) {



    if(bInit == false){

        if(isIntraday() && Interval == null) Interval = "D";

        else if(isDaily() && Interval == null) Interval = "W";

        else if(isWeekly() && Interval == null) Interval = "M";

        else if(Interval == null) Interval = getInterval();

        if(Symbol==null) Symbol = getSymbol();

        vSymbol = Symbol+","+Interval;

        if(Interval2==null) vSymbol2 = vSymbol;

        else vSymbol2 = Symbol+","+Interval2;

        xHigh  = high(sym(vSymbol));

        xLow   = low(sym(vSymbol));

        xClose = close(sym(vSymbol2)); 

        if (Type=="Woodie"||Type=="DeMark") xOpen = open(sym(vSymbol));

        if (Type=="DeMark"){

            setCursorLabelName("PP-R1",0);

            setCursorLabelName("PP",1);

            setCursorLabelName("PP-S1",2);

            setDefaultBarFgColor(Color.blue, 0);

            setDefaultBarFgColor(Color.black, 1);

            setDefaultBarFgColor(Color.red, 2);

            setDefaultBarThickness(1, 0);

            setDefaultBarThickness(1, 1);

            setDefaultBarThickness(1, 2);

        }

        setShowTitleParameters(eval(Params));

        bInit = true;

    }

    

    var vHigh  = xHigh.getValue(-Lookback);

    var vLow   = xLow.getValue(-Lookback);

    var vClose = xClose.getValue(-Lookback); 

    

    if(Type == "Standard"){

    vPP   = (vHigh+vLow+vClose)/3;

    vR1   = 2*vPP-vLow;

    vS1   = 2*vPP-vHigh;

    vR2   = (vPP-vS1)+vR1;

    vS2   = vPP-(vR1-vS1);

    vR3   = vR2+(vHigh-vLow);

    vS3   = vS2-(vHigh-vLow);

    vPPS1 = (vPP+vS1)/2;

    vS1S2 = (vS2+vS1)/2;

    vS2S3 = (vS2+vS3)/2;

    vPPR1 = (vPP+vR1)/2;

    vR1R2 = (vR2+vR1)/2;

    vR2R3 = (vR2+vR3)/2; 

    

    var retArray = new Array(vR2, vR1, vPP, vS1, vS2, vS3, vR3, vPPS1, vS1S2, vS2S3, vPPR1, vR1R2, vR2R3);

 

    }else if(Type == "Woodie"){

        vOpen  = xOpen.getValue(-Lookback+1);

        vPP = (vHigh+vLow+(2*vOpen))/4;

        vR1 = 2*vPP-vLow;

        vS1 = 2*vPP-vHigh;

        vR2 = (vPP-vS1)+vR1;

        vS2 = vPP-(vR1-vS1);  

        var retArray = new Array(vR2, vR1, vPP, vS1, vS2); 

    }else if(Type == "DeMark"){

        var vOpen  = xOpen.getValue(-Lookback);

        if(vClose>vOpen){

            x = vClose+vHigh+vHigh+vLow;

        }

        else if(vClose<vOpen){

            x = vClose+vHigh+vLow+vLow;

        }

        else if(vClose==vOpen){

            x = vClose+vClose+vHigh+vLow;

        }

        vR1 = x/2-vLow;

        vS1 = x/2-vHigh;

        vPP = (vR1+vS1)/2;

        var retArray = new Array (vR1,vPP,vS1);

    }   

    //Added labels

        

    drawTextAbsolute(1, vPP, "    DAILY PP    ", Color.black, Color.yellow,           

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "PivotPoint");

    drawTextAbsolute(1, vR2, "    DAILY R2    ", Color.black, Color.RGB(255,200,200), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "R2");

    drawTextAbsolute(1, vR1, "    DAILY R1    ", Color.black, Color.RGB(200,200,255), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "R1");

    drawTextAbsolute(1, vS1, "    DAILY S1    ", Color.black, Color.RGB(200,200,255), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "S1");

    drawTextAbsolute(1, vS2, "    DAILY S2    ", Color.black, Color.RGB(255,200,200), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "S2");

    drawTextAbsolute(1, vS3, "    DAILY S3    ", Color.black, Color.RGB(150,150,255), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "S3");

    drawTextAbsolute(1, vR3, "    DAILY R3    ", Color.black, Color.RGB(150,150,255), 

                    Text.FRAME | Text.BOLD | Text.VCENTER,"Arial", 10, "R3");

    drawTextAbsolute(1, vPPS1,    "PPS1",        Color.black, null,

                    Text.BOLD | Text.VCENTER,"Arial", 10, "PPS1");

    drawTextAbsolute(1, vS1S2,    "S1S2",        Color.black, null,                                

                    Text.BOLD | Text.VCENTER,"Arial", 10, "S1S2");

    drawTextAbsolute(1, vS2S3,    "S2S3",        Color.black, null,                                

                    Text.BOLD | Text.VCENTER,"Arial", 10, "S2S3");

    drawTextAbsolute(1, vPPR1,    "PPR1",        Color.black, null,                                

                    Text.BOLD | Text.VCENTER,"Arial", 10, "PPR1");

    drawTextAbsolute(1, vR1R2,    "R1R2",        Color.black, null,                                

                    Text.BOLD | Text.VCENTER,"Arial", 10, "R1R2");

    drawTextAbsolute(1, vR2R3,    "R2R3",        Color.black, null,                                

                    Text.BOLD | Text.VCENTER,"Arial", 10, "R2R3");

        

    return (retArray);

}

**ricks231** · 11-01-2006, 02:02 PM

Both of those efs's display the pivots correctly for intraday today.

What I would like to fix is the display for all the previous days. Right now they all display the pivots for the day that they are getting the OHLC from instead of displaying those pivots on the following day.

Its only a problem when looking back at past days.

Is it possible to change the efs's where they display the pivots historically on the days they were computed for instead of the days they were computed on?

Thanks

**ricks231** · 11-01-2006, 08:29 PM

I just checked it on a stock and it appears to display correctly there.

I trade using the symbol ES #F=2 and for all previous days don't display correctly.

**ACM** · 11-02-2006, 07:43 AM

ricks231

Right now they all display the pivots for the day that they are getting the OHLC from instead of displaying those pivots on the following day

In both scripts included in this thread the pivots are calculated using the prior day's data. To use your own wording the pivots are displayed on the following day and not on the day from which they are getting the data.

I trade using the symbol ES #F=2 and for all previous days don't display correctly

First of all note that the two scripts compute the pivots in different ways which could return slightly different results.
One script uses the High, Low and Close of the prior daily bar (unless otherwise defined in its settings). In this case the Close will include the Settlement.
The other script uses only the High and Low from the prior daily bar and for the Close it uses the last intraday Close displayed on the chart at the prior day. Depending on the Time Template settings this may return a different value from the daily Close as it may not include the Settlement. Because this script relies on the change of day to determine the value of the Close it should be used only with regular trading hours charts. Also it may return different results with tick based charts (ie intervals T, V, S and P) as these do not currently make use of the Start/End times in the Time Template and display the data in whole day segments only.
Anyhow as far as I can see both scripts are calculating the pivots correctly on ES #F=2 intraday data
In the following images you can see the scripts running on two 15 minute charts of ES #F=2. In both charts the cursor is positioned on October 31st and the values shown in the Cursor Window for the Pivot Point, R1 and S1 are 1383.00, 1387.25 and 1379.00 respectively.

The High, Low and Close values for October 30th were 1387.00, 1378.75 and 1383.25 respectively.
Again note that depending on the Time Template settings the last Close on the intraday chart may not be the same as the Close of the daily bar which includes the Settlement. Using the above values to calculate the Pivot Point we get the following
(1387.00+1378.75+1383.25)/3 = 1383.00
which is in fact the value of the Pivot Point returned by the script(s)
If we then calculate R1 and S1 we have the following
(2*1383.00)-1378.75 = 1387.25
(2*1383.00)-1387.00 = 1379.00
Again these are the same values returned by both script(s) for R1 and S1.
If you are getting different values please post a detailed account of the math you are using to determine these values and all the necessary information regarding the set up of the chart (ie symbol, Time Tremplate settings, etc).
Alex

**ricks231** · 11-02-2006, 09:59 AM

Thanks.

I can see where I got off track; I just have not yet been able to figure out how I got off.

Appreciate the response and appreciate the pivot point efs.

**ACM** · 11-02-2006, 10:32 AM

ricks231
You are most welcome
Alex

Announcement

Settlement v Actual Close problem........again.

Settlement v Actual Close problem........again.

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