code for pivots

Discussion in 'Strategy Development' started by terminator, May 3, 2007.

  1. could anyone help me with programming code for calculating weekly pivots in tradestation? I have EOD OHLC data and i cant get tradestation to calculate weekly pivots in my backttesting.


    thannks
     
  2. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    Here is the code for the intra-day pivot point system which ships with TradersStudio. The current version of TradersStudio can backtest intra-day data down to 1 min bars.



    ' TradersStudio(r) (C) 2004-2007 All Rights Reserved
    Sub IntraDayPivotSys()
    Dim YestOpen As BarArray
    Dim YestHigh As BarArray
    Dim YestLow As BarArray
    Dim YestClose As BarArray
    Dim S1 As BarArray
    Dim S2 As BarArray
    Dim R1 As BarArray
    Dim R2 As BarArray
    Dim MidPoint As BarArray
    YestOpen=OpenD
    YestHigh=HighD
    YestLow=LowD
    YestClose=CloseD
    MidPoint=(YestHigh+YestLow+YestClose)/3
    R1=(2*MidPoint)-YestLow
    S1=(2*MidPoint)-YestHigh
    R2=MidPoint+R1-S1
    S2=MidPoint+S1-R1
    If Time<TimeSerial(15,0, 0) And TradesToday()<2 Then Buy("R2BuyBreak",1,R2+getactiveminmove,Stop,Day)
    If Time<TimeSerial(15,0, 0) And TradesToday()<2 Then Sell("S2SellBreak",1,S2-getactiveminmove,Stop,Day)
    If MarketPosition=1 And TradesToday()<2 Then Sell("FailSell",1,R1-getactiveminmove(),Stop,Day)
    If MarketPosition=-1 And TradesToday()<2 Then Buy("FailBuy",1,S1+getactiveminmove(),Stop,Day)
    ExitEOD("EndOfDay","",999)
    End Sub