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Date/Time: Thu, 28 Mar 2024 10:40:29 +0000



Post From: Shadowtrader Pivots Not Quite Right

[2021-06-11 05:03:26]
SC Support Tom - Posts: 450
WRT Post #1:


The high, low and close used in the calculation is from the prior day’s values.


PIVOT = (High + Close + Low)/3
R3 = High + 2(Pivot – Low)
R2 = Pivot + (R1 – S1)
R1 = (2*Pivot) – Low
S1 = (2*Pivot) – High
S2 = Pivot – (R1 – S1)
S3 = Low – 2(Hi – Pivot)

These two taken together indicate that the formulas of Sierra Chart match those of Shadowtrader exactly, except that Sierra Chart includes R4 and S4, which are not included in the Shadowtrader scheme.

As for this:


The “special sauce” is that we take the high and low in the futures that traded during equity trading hours only. So 9:30 to 4pm, even though each day’s futures session actually ends at 4:15pm EST.For the closing value we take the settlement value from the CME as opposed to just the Last price at 4:15pm. The settlement value does NOT have to be exactly the same as whatever the 4:15pm LAST was. It usually is, but can be different by a couple of ticks or more. When at the site, refresh the page if necessary to make sure you have the correct day’s data on the screen. Write down the figure from that site and plug it and your high and low (from your intraday ES chart) into a simple Xcel with the formulas below. “R” means Resistance and “S” means Support.

I have spoken with Sierra Chart Engineering, and I have been advised that no changes need to be made or will be made to accommodate this. Rather, you can account for it by appropriately setting your Session Times.

Chart Session Times: Session Times

In particular, you would set your End Time to 16:00:00 EST.

Chart Session Times: End Time (Chart >> Chart Settings >> Session Times)