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Session Pivots Daily (amaPivotsDaily)
Version 2.6 July 4, 2018
The
Session Pivots Daily
is an enhanced pivots indicator which allows for displaying floor pivots, wide pivots, Jackson Zones and Fibonacci pivots.
All pivots are calculated from daily bars (default setting) or from the bar series that has been selected as input series. The indicator may be used to display ETH pivots on an full session chart or RTH pivots on a regular session chart. It is not designed to display RTH pivots on a full session chart. When pivots are calculated from daily bars, they are typically calculated from the full session high, the full session low and the settlement price. However, the daily data only depends on the data supplier and will reflect the high, low and close as shown on a daily chart.
Workaround for displaying RTH pivots on a full session chart:
- Add a secondary bar series to your primary price panel with a RTH trading hours template.
- Set the colors for candle outlines, candle wicks, up and down bars to transparent.
- Apply the amaPivotsDaily indicator to the secondary bar series.
The indicator will now display RTH pivots on a full session chart. However, the pivots will only be displayed after the start of the regular session.
Pivot range:
The indicator is set to display the pivot range which is the range between CP and DP. The pivot range is a symmetrical range around the main pivot PP. A wide pivot range follows after a trending day with a close near the highs or the lows. A narrow pivot range indicates that the prior day was a balancing day and closed near the central pivot.
Prior day high, low and close:
The indicator also displays the high, low and close for the prior trading day. These levels often act as support or resistance during the current trading day. Moreover, prior day high, low and close reflect the input data for calculating all pivot values and can be visually checked against the chart bars, while this is not possible for the pivots themselves.
Pivot formulas:
All options: H = prior day high, L = prior day low, C = prior day close, X = H - L
Main Pivot: P = (H+L+C)/3
Central Pivot: CP = (H+L)/2
Directional Pivot: DP = 2*P - CP
Floor Pivots: P = (H+L+C)/3, R1 = 2*P - L, S1 = 2*P - H, R2 = P + X, S2 = P - X, R3 = R1 + X, S3 = S1 - X, R4 = R3 + (P-L), S4 = S3 - (H-P)
Wide Pivots: P = (H+L+C)/3, R1 = 2*P - L, S1 = 2*P - H, R2 = P + X, S2 = P - X, R3 = R2 + X, S3 = S2 - X, R4 = R3 + X, S4 = S3 - X
Jackson Zones: R1 = P + 0.5*X, S1 = P - 0.5*X, RB1 = P + 0.618*X, SB1 = P - 0.618*X, R2 = P + X, S2 = P - X, RB2 = P + 1.382*X, SB2 = P - 1.382*X
Fibonacci Pivots: R1 = P + 0.382*X, S1 = P - 0.382*X, R2 = P + 0.618*X, S2 = P - 0.618*X, R3 = P + X, S3 = P - X, R4 = P + 1.382*X, S4 = P - 1.382*X
CME holidays:
There are six holiday sessions every year which are integrated with the following trading day. These holidays are Martin Luther King Day, President's Day, Memorial Day, Independence Day, Labor Day and Thanksgiving. The holiday sessions do not qualify as trade dates and there is no settlement. For this reason quality data feeds will not show daily bars. When "Input Data" is set to "DailyBars", the amaPivotsDaily will correctly calculate the pivots for both the holiday sessions and the trading day that follows the holiday. The NinjaTrader in-built pivots indicator will produce false values on the days after the holiday session. When "Input Data" is set to "Full Session", both indicators will calculate false values for the day after the holiday session.
Comparison to pivot indicators coded for NinjaTrader 7:
For NinjaTrader 7 I had used subdivided session templates for calculating RTH pivots on full session charts. This approach was too complicated and mainly confused users. Subdivided session templates also truncate all bars at the session begin and the session end, which in turn distorts other indicators such as moving averages or oscillators. Therefore all our NT8 indicators are now compatible with the default trading hours template <instrument settings>. However, the new approach makes the task of coding RTH pivots for full session charts more complex. Such an indicator needs to add a third bar series with minute data and also come with a small data base containing the regular trading hours and holidays for the most liquid futures contracts. This can no longer be provided free of charge.
On the other hand the pivot indicators for NinjaTrader 8 have become more reliable. Preloading of daily data is no longer necessary, as the pivots indicator will load daily data automatically, when applied to a chart. This makes the pivots easier to use and less error prone.
Update version 2.1.:
Bug removed. Indicator did not display pivots calculated from daily data, when the first day of the lookback period of the chart was a trading day without daily settlement (see six holiday sessions listed above).
Update version 2.6.:
Enhanced CPU efficiency. Minor changes.
Nota:
The forum software has renamed the downloadable zip file to the false version number 2.0. Please disregard the version number of the zip file. The zip file contains the indicator version as specified above.
Category
NinjaTrader 8 Indicators and More
Details:
Session Pivots Daily (amaPivotsDaily)
Category:
NinjaTrader 8 Indicators and More
October 21st, 2017
Size: 12.29 KB
Downloaded: 3284 times
Keywords:
daily
eth
fibonacci
floor
floorpivots
jackson
pivotrange
pivots
range
rth
session
settlement
1919
Fat Tails
Comments/ratings
renvik
October 21st, 2017 05:11 PM
Thank you, again. Great work.
willo
October 22nd, 2017 08:53 AM
No Comment
carl954
October 23rd, 2017 01:37 PM
thanks
Aregon
October 23rd, 2017 06:42 PM
Greatly appreciated - Many thanks !!
Buscador
October 25th, 2017 09:58 AM
Thanks. I was praying the weekly and the daily would be adapted for NT8.
Great work as always.
danielk
October 31st, 2017 12:58 PM
No Comment
bobc635
November 5th, 2017 08:47 AM
Thanks FT !!!
brucerobinson
November 7th, 2017 03:21 PM
trendwaves
November 21st, 2017 06:51 PM
Awesome as always.
xplorer
December 19th, 2017 06:24 AM
Thank you Harry.
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All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.