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Direct MessagesDate/Time: Fri, 19 Apr 2024 18:00:41 +0000
Shadowtrader Pivots Not Quite Right
View Count: 1539
| [2021-04-22 22:39:30] |
| User656492 - Posts: 115 |
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Hello, Good People- The formulas provided in Pivot Formula 8 are not quite correct. As per Shadowtrader.net: The high, low and close used in the calculation is from the prior day’s values. Generally these values are derived from the E-mini S&P futures, also known as “ES”. The pivots can be calculated using 24hour data or only trading hours only data. Although experimentation has proven both to be valid, we have found using trading hours only data to be more relevant as large gaps often put the pivot points too far outside of the market to be of any use. 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. 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) |
| [2021-04-22 23:56:45] |
| Ackin - Posts: 1863 |
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+1
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| [2021-04-23 02:08:32] |
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We will look this over.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-04-28 21:06:51] |
| SC Support Tom - Posts: 450 |
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WRT Post #1: I checked both the Shadowtrader website and the Sierra Chart function CalculatePivotPoints. Our formulas do indeed disagree with those of Shadowtrader. The correct formulas are listed in that post. 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) |
| [2021-04-28 22:01:30] |
| User950990 - Posts: 5 |
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Will you update the formulae for this pivot in a future release?
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| [2021-04-28 22:23:38] |
| SC Support Tom - Posts: 450 |
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I will take this up with Sierra Chart Engineering tomorrow.
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| [2021-04-29 01:14:53] |
| Ackin - Posts: 1863 |
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I will take this up with Sierra Chart Engineering tomorrow.
+ please look: https://www.sierrachart.com/SupportBoard.php?ThreadID=63733 |
| [2021-04-29 01:16:24] |
| 58LesPaul - Posts: 429 |
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Where can I find this ShadowTrader Pivot study?
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| [2021-04-29 01:19:59] |
| Ackin - Posts: 1863 |
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Where can I find this ShadowTrader Pivot study?
for example: Pivot Points-Variable Period
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| [2021-04-29 01:21:22] |
| Ackin - Posts: 1863 |
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Formula Types Pivot Points: Formula Types |
| [2021-06-03 10:02:17] |
| SC Support Tom - Posts: 450 |
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WRT Post #1: The formulas provided in Pivot Formula 8 are not quite correct. and Post #4 (my post): I checked both the Shadowtrader website and the Sierra Chart function CalculatePivotPoints. Our formulas do indeed disagree with those of Shadowtrader. The correct formulas are listed in that post. The disagreement that I noted was that the formulas quoted in the Shadowtrader website use "High", "Low", and "Close", whereas Sierra Chart uses "PriorHigh", "PriorLow", and "PriorClose". But the Prior values are indeed the ones to be used, as per the Shadowtrader website. I understand now that the disagreement that you noted has to do with the 15 min discrepancy in equity trading hours vs CME session hours. This is more subtle, and will require a closer look. |
| [2021-06-03 10:03:28] |
| SC Support Tom - Posts: 450 |
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WRT Post #7: I will look into this. |
| [2021-06-09 06:58:07] |
| SC Support Tom - Posts: 450 |
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WRT Post #7: This is done. These formulas will be available in the next release as Formula Type 28. I will document Formula Types 27 and 28 tomorrow. |
| [2021-06-11 05:03:26] |
| SC Support Tom - Posts: 450 |
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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) |
| [2021-06-11 12:49:22] |
| User656492 - Posts: 115 |
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This is not producing the same result as published on the shadowtrader website. You're going to have to rename this study as "Similar to Shadowtrader pivots, but slightly different." I'm sure SC team knows that CME settlement price is not the same as last price printed at 4pm EST. "Lead month The lead month is the anchor leg for settlements and is the contract expected to be the most active. Tier 1: The volume-weighted average price (“VWAP”) of all trades executed on CME Globex between 14:59:30 and 15:00:00 CT, the settlement period, in the E-mini S&P futures will be calculated for the designated lead month and rounded to the nearest .10 index point." Example: June 10 last price for E-mini SP500: 4238.50. Settlement price: 4238.00 |
| [2021-06-14 21:35:46] |
| SC Support Tom - Posts: 450 |
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WRT Post #15: I have conferred with Sierra Chart Engineering again, and a fix for this has been implemented. It will be in the next release. Two new Inputs have been added: Reference Daily Chart for Data and Use Daily Chart for Settlement Only. Suppose Chart #1 is going to have the Pivot Points study applied to it, specifically the Shadowtrader Pivot Points. You will set your Session Times to 09:30:00 and 16:00:00 (SC Engineering actually recommends 15:59:59) so that the correct Highs and Lows are used. You will then open Chart #1, a Daily chart with the same symbol. Then apply the Pivot Points - Daily to Chart #1, and use the following Input Settings for that study on that chart. * Daily Chart Number = 2 * Reference Daily Chart for Data = Yes * Use Daily Chart for Settlement Only = Yes Then the Pivot Points study will use the CME settlement value instead of the Close from the prior day. I will include this information in the documentation once the new version is released. Date Time Of Last Edit: 2021-06-18 06:47:58
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| [2021-06-14 23:12:10] |
| User656492 - Posts: 115 |
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Thanks for following through on this! You rock, Tom!
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| [2021-06-15 04:50:01] |
| Sierra_Chart Engineering - Posts: 14013 |
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Post #16 applies to version 2273.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-06-15 05:07:30] |
| User656492 - Posts: 115 |
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When you say "Input settings for Chart #1", where do I find "Input settings"? I'm looking at 2273 right now but have no idea where to find this. |
| [2021-06-18 06:49:06] |
| SC Support Tom - Posts: 450 |
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WRT Post #19: I mean apply the Pivot Points - Daily study to Chart #1, and use the given Input Settings for that study on that chart. I have edited Post #16 to reword it for clarity. |
| [2022-03-27 20:10:43] |
| user_xyz - Posts: 369 |
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Tom / SC / Et al., Last few yrs additional improvements / inputs have been added to the pivots study. Is there a way to get accurate OHLC data on an intra day chart yet without referencing a daily? Have a 2nd Instance monitoring 25 intra-day futures contracts in a grid with pivots applied to each chart. The only way I've found to get accurate pivots is creating a spreadsheet study for each chart, then add spreadsheet study with calculated pivots. This is really resource intensive just to get accurate pivots on intra-days. Adding 25 daily charts to the same chartbook just for this purpose doesn't seem right (50 charts total?) Can this be done yet? Other ideas? Date Time Of Last Edit: 2022-03-27 20:24:52
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| [2022-03-27 21:19:37] |
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No, if the official settlement price is required in the pivot points calculation: . Is there a way to get accurate OHLC data on an intra day chart yet without referencing a daily?
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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