Is there any backtesting program that has "pivot points"

Seems to me using them to identify highs and lows and therefore trade off them should be a good idea, but I've not seen any backtest program that has them.

 

I'll save you the time: don't bother.

Anyways, it's very simple to program.

 

Feel free to elaborate instead of killing my theory without any discussion, reasoning or results

Also, as I said, none of the backtesting systems I've seen has them as an option. What system did you test them with?

 

If you're interested in futures, there are some vendor-sold mechanical systems for trading futures that use pivot points. All of them are progammed in Tradestation. A representative example is "Trend One" by PWA Futures. They track its performance in the Futures Truth newsletter; it hasn't been among the top 20% of all systems tracked, in quite a while.

I agree with a previous poster: once you have decided on the logic of your pivot point trading system, you can program it into any of the standard test programs: Tradestation, Amibroker, Wealthlab, Trading Blox, Excalibur, Trading Recipes, Navigator, and so on.

 

Pivot points are excellent when used correctly. I use them all the time and have done for years. I use them in several markets, currency futures, T Bonds and European and US equity markets.

 

Here is a set of indicators written by a user which include pivot points: http://www.tradeengineer.com/DoQ_Indicators

 

Any backtesting software can be programmed to calculate pivots as part of your strategy.


The formula used in the calculation of Classic Pivot Points are:
http://www.mypivots.com/articles/glossary.aspx?qterm=Classic Pivot Points

R4 = R3 + RANGE (same as: PP + RANGE * 3)
R3 = R2 + RANGE (same as: PP + RANGE * 2)
R2 = PP + RANGE
R1 = (2 * PP) - LOW
PP = (HIGH + LOW + CLOSE) / 3
S1 = (2 * PP) - HIGH
S2 = PP - RANGE
S3 = S2 - RANGE (same as: PP - RANGE * 2)
S4 = S3 - RANGE (same as: PP - RANGE * 3)

Where R1 through R4 are Resistance levels 1 to 4, PP is the Pivot Point, S1 through S4 are support levels 1 to 4, RANGE is the High minus the Low for the given time frame (usually daily).

 

i'm looking for one that identifies higher highs vs lower highs, etc, not the mathematical average type.

for example, when i get a higher low, i string the lows together on a chart as a trendline, and want to take the new higher low, minus a small fudge factor, and move my stop up to there if I was long.

 

If using tradestation there are two "Show Me"s call Pivot High and Pivot Low play with the two input settings until it matches your chart of preference.

You are on the right track, these are the pivots that matter.

Anek

 

Pivot point code in TradersStudio

' 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