Is there any backtesting program that has "pivot points"

Discussion in 'Strategy Development' started by thriftybob, Feb 22, 2008.

  1. 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.
  2. bespoke


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

    Anyways, it's very simple to program.
  3. 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?
  4. MGJ


    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.
  5. Wood474


    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.
  6. Tums


    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: 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).
  7. 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.
  8. 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.

  9. Murray Ruggiero

    Murray Ruggiero ET Sponsor

    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
    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)
    End Sub
    #10     Feb 23, 2008