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Your classic pivots differ from Trade Station


quote:
Sent: Monday, October 19, 2009 10:51 PM
To: MyPivots
Subject: Pivot points.

Can you tell me why your classic pivots are different than my floor trader pivots from Trade Station. Shouldn't they be the same?

Thank You

There are two reasons why another system's pivot points would be different from ours:

  1. The input values are different

  2. The formula used are different

The input values that we use to calculate the pivots that we produce are listed on the same page on any page under our Daily Notes. Each type of pivot that is calculated also has a link on the name that will take you to a page that shows the formula that we use.

First check that Trade Station are using the same numbers that we are and then check the formula that Trade Station are using against ours.

Hope that helps.
Although it's been addressed to some extent on other threads I believe, there will often be a difference between this site's and TradeStation's pivot points. I'm pretty sure the calculations are the same and the S and R levels originate off of the initial calculation of the "average price," or mid-pivot: (High+Low+Close)divided by 3.

TradeStation uses the RTH High, Low and Close from 8:30am-3:15pm Central Time. Mypivots calculates the "classic" pivots the same way (I think) but using additional globex/overnight data. Sometimes they match TradeStation "floor" pivots if the RTH High and Low are not taken out by after hours trading.

I mostly use the RTH calculations in my own analysis and have TS's floor pivots plotted but also am aware of the mypivot's calcs on the day ... and use the mypivot's exclusively for weekly pivots. It's also nice to compare with the other calculation methods (Camarilla, DeMark etc.)

As to which is "better" ... I think that has also been discussed somewhere else on this site though I think a few have alluded to the fact that it depends on how a trader uses these prices in their own trading as to how effective one may be over the other, especially if there's any component of discretionary trading/decision-making involved (which there usually is).

Hope my info is correct here ... and that it helps.
Thanks MM - I didn't realize that the default on Trade Station was to use RTH. I know that on eSignal the indicators use whatever time frame the chart is set to and I would have guessed that Trade Station would have done the same so if your chart is set to RTH then the calculations would be as well.
Well DT, I think I pooch-screwed this one up a bit. My answer was based on keying some of the wrong symbols (and time frames) into TradeStation charts with the indicator "Trader Floor Pivots" applied. CORRECTION: the TS pivots indicator is not based on RTH but rather on the data present on a chart.

After going back through things, there was still some funky monkey results though. If charting just RTH INTRADAY using 15-minute bars (TS symbols: ESZ09.D or @ES.D), the mid-pivot number differed from the RTH DAILY bar results ... close but still a different resulting number.

When all trading time is used (TS symbols: ESZ09 or @ES), the 15-minute bar chart mid-pivot value was different by almost a full point compared to the mid-point value generated using DAILY bars with the same exact symbols. And yet the High, Low and Close values displayed were the same on both the 15-minute bar and daily bar charts.

I also did some other comparisons of different intraday charts and sometimes came up with different values displayed for the mid-pivot. The 15-minute bar chart and 1-minute bar chart were about a half a point off for the mid-pivot. They showed different prices as the "close" at 23:59 ... didn't see any intraday variances between different bar times (15min, 1min,77min etc.) using RTH.

Using a chart of DAILY bars for all trading hours showed the SAME PIVOT NUMBERS on TradeStation and on Mypivots for Thursday 10-22-09. So there's the match-up I guess. Good lord this is the most convoluted thing I've ever written.

Anyway, maybe this sheds some light on things. Additionally, I popped open the TS Easy Language code for their pivot indicator ... and this is it:

Resistance Level 3 = R3 = R2 + YestHigh - YestLow
Resistance Level 2 = R2 = PP + YestHigh - YestLow
Resistance Level 1 = R1 = PP * 2 - YestLow
PivotPoint = PP = ( YestHigh + YestLow + YestClose ) / 3
Support Level 1 = S1 = PP * 2 - YestHigh
Support Level 2 = S2 = PP - YestHigh + YestLow
Support Level 3 = S3 = S2 - YestHigh + YestLow

The pivot formulas for the mypivots site are at: http://www.mypivots.com/investopedia/46/classic-pivot-points

Btw, tick charts can show slightly different results for the pivot indicator in TS also.

And I've seen scads of different variations on calculating these. Feel free to Google yourself to death for pivot formulas. I'm all worn out ... my brain hurts and I'm about to start clawing my eyes out. Goodnight.

Thanks for that detailed explanation MM. At least we know that Trade Station pivots vary based on time frame like eSignal does and so it very much depends on that setting.