How to identify the closest pivot points level to current price

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  • 02/10/2019 at 9:13 PM #90989 quote
    juanj
    Participant
    Master

    Good Day PRC Community

    I have a question which I hope some of the other experienced coders (@Nicolas @Vonasi @RobertoGozzi) here can help me with:

    Let’s say I have identified 10 major levels of support and resistance (some above and some below the current price).

    Note: Each major level has its own variable name assigned to it.

    Question:

    How do I determine the level (variable name) directly above the current closing price as well as directly below?

    02/10/2019 at 9:18 PM #90990 quote
    robertogozzi
    Moderator
    Master

    Since arrays are not supported, you’ll have to use IF…ELSIF… ENDIF to test each time all the 10 variables.

    Thers’s no shorter workaround.

    02/10/2019 at 9:20 PM #90991 quote
    juanj
    Participant
    Master

    Thinking of solutions as I type this:

    First thought is to find all levels (variables) larger than the current close and then use the min of those

    Then find all the levels (variables) lower than the current close and then use the max of those

    Now to find a practical way to code it

    02/10/2019 at 9:22 PM #90992 quote
    juanj
    Participant
    Master

    Nested if statements won’t cut it as there are actually 21 levels which will have to be measured against close as well as themselves. Meaning we are looking at hundreds of outcomes. Will have to use a combination of If statements and loops in applying my last mentioned logic.

    02/10/2019 at 9:33 PM #90994 quote
    juanj
    Participant
    Master

    Coding this without arrays is going to tricky but I want to believe there is a way without writing a 21×21=441 condition nested if statement

    02/10/2019 at 9:41 PM #90996 quote
    juanj
    Participant
    Master

    My brain is breaking over this, every solution keep going back to needing arrays

    02/10/2019 at 10:35 PM #90997 quote
    robertogozzi
    Moderator
    Master

    No workarounds, sorry.

    We must wait till end of March to discover any new feature in version 11, but I guess arrays are not going to be supported, yet.

    02/10/2019 at 11:10 PM #90998 quote
    Vonasi
    Moderator
    Master
    juanj wrote:

    First thought is to find all levels (variables) larger than the current close and then use the min of those Then find all the levels (variables) lower than the current close and then use the max of those Now to find a practical way to code it

    You answered your own question!

    So you have 10 support/resistance levels recorded as a1 to a10 that could be anywhere compared to price.

    Here is an example using just three levels that can be easily expanded to 10 levels.

    once above1 = 100000000
once above2 = 100000000
once above3 = 100000000
once below1 = 0
once below2 = 0
once below3 = 0
//Repeat until you have ten start values for each

(your code that finds the last ten support and resistance levels and stores them as a1 to a10)

//first value
if a1 < 100000000 and a1 > close then 
above1 = a1 - close
endif

if a1 > 0 and a1 < close then 
below1 = close - a1
endif

//2nd value
if a2 < 100000000 and a2 > close then 
above2 = a2 - close
endif

if a2 > 0 and a2 < close then 
below2 = close - a2
endif

//3nd value
if a3 < 100000000 and a3 > close then 
above3 = a3 - close
endif

if a3 > 0 and a3 < close then 
below3 = close - a3
endif

///repeat the above until all 10 options are covered!

nearestabove = min(min(above1,above2),above3) //expand to 10
nearestbelow = min(min(below1,below2),below3) //expand to 10

lb = close - nearestbelow
ha = close + nearestabove

    Written after quite a few glasses of red wine and a beer so might be complete cobblers and usually there is a more efficient way to do it than my first idea!

    02/11/2019 at 12:19 AM #91000 quote
    Vonasi
    Moderator
    Master

    My above code assumes that every time you find a new support or resistance level then one is dropped and the new one is added like this:

    newlevel = (value returned by your code for finding new support or resistance levels)

if a3 <> newlevel then
a1 = a2
a2 = a3
a3 = newlevel
endif

// and then onto the code posted above.
    02/11/2019 at 8:58 AM #91006 quote
    juanj
    Participant
    Master

    Thanks Vonasi, you seem to code just fine with your wine. Probably due to the Ballmer Peak 😉 (https://xkcd.com/323/)

    I have added the code, plotting all Monthly, Weekly and Daily Pivot Levels.

    But for some reason the result is wacky, The ‘Pivot Above’ in reality is actually the Pivot Directly Below? And the ‘Pivot Below’ is just the lowest pivot??

    Defparam cumulateorders = False

//pivot calculations

Timeframe(Monthly)

MHigh = high[1]
MClose = close[1]
MLow = low[1]

MPivot = (MHigh + MLow + MClose)/3 //Monthly Pivot Calculation

MR1 = MPivot*2-MLow
MS1 = MPivot*2-MHigh
MR2 = MPivot+(MHigh-MLow)
MS2 = MPivot-(MHigh-MLow)
MR3 = MHigh+(2*(MPivot-MLow))
MS3 = MLow-(2*(MHigh-MPivot))

Timeframe(Weekly)

WHigh = high[1]
WClose = close[1]
WLow = low[1]

WPivot = (WHigh + WLow + WClose)/3 //Weekly Pivot Calculation

WR1 = WPivot*2-WLow
WS1 = WPivot*2-WHigh
WR2 = WPivot+(WHigh-WLow)
WS2 = WPivot-(WHigh-WLow)
WR3 = WHigh+(2*(WPivot-WLow))
WS3 = WLow-(2*(WHigh-WPivot))

TImeframe(Default)

If dayofweek = 1 Then
DPivot = (DHigh(2) + DLow(2) + DClose(2))/3 //Daily Pivot Calculation

DR1 = DPivot*2-Dlow(2)
DS1 = DPivot*2-DHigh(2)
DR2 = DPivot+(DHigh(2)-DLow(2))
DS2 = DPivot-(DHigh(2)-DLow(2))
DR3 = DHigh(2)+(2*(DPivot-DLow(2)))
DS3 = DLow(2)-(2*(DHigh(2)-DPivot))
Else
DPivot = (DHigh(1) + DLow(1) + DClose(1))/3 //Daily Pivot Calculation

DR1 = DPivot*2-Dlow(1)
DS1 = DPivot*2-DHigh(1)
DR2 = DPivot+(DHigh(1)-DLow(1))
DS2 = DPivot-(DHigh(1)-DLow(1))
DR3 = DHigh(1)+(2*(DPivot-DLow(1)))
DS3 = DLow(1)-(2*(DHigh(1)-DPivot))
EndIf

If MR1 + MS1 + MR2 + MS2 + MR3 + MS3 + Mpivot + WR1 + WS1 + WR2 + WS2 + WR3 + WS3 + Wpivot + DR1 + DS1 + DR2 + DS2 + DR3 + DS3 + Dpivot = 0 Then
EndIf

//Find Pivot Above and Below Close

If MR1 > close Then
MR1Above = MR1
MR1Below = 0
ElsIf MR1 < close Then
MR1Below = MR1
MR1Above = 100000
EndIf

If MS1 > close Then
MS1Above = MS1
MS1Below = 0
ElsIf MS1 < close Then
MS1Below = MS1
MS1Above = 100000
EndIf

If MR2 > close Then
MR2Above = MR2
MR2Below = 0
ElsIf MR2 < close Then
MR2Below = MR2
MR2Above = 100000
EndIf

If MS2 > close Then
MS2Above = MS2
MS2Below = 0
ElsIf MS2 < close Then
MS2Below = MS2
MS2Above = 100000
EndIf

If MR3 > close Then
MR3Above = MR3
MR3Below = 0
ElsIf MR3 < close Then
MR3Below = MR3
MR3Above = 100000
EndIf

If MS3 > close Then
MS3Above = MS3
MS3Below = 0
ElsIf MS3 < close Then
MS3Below = MS3
MS3Above = 100000
EndIf

If MPivot > close Then
MPivotAbove = MPivot
MPivotBelow = 0
ElsIf MR1 < close Then
MPivotBelow = MPivot
MPivotAbove = 100000
EndIf

If WR1 > close Then
WR1Above = WR1
WR1Below = 0
ElsIf WR1 < close Then
WR1Below = WR1
WR1Above = 100000
EndIf

If WS1 > close Then
WS1Above = WS1
WS1Below = 0
ElsIf WS1 < close Then
WS1Below = WS1
WS1Above = 100000
EndIf

If WR2 > close Then
WR2Above = WR2
WR2Below = 0
ElsIf WR2 < close Then
WR2Below = WR2
WR2Above = 100000
EndIf

If WS2 > close Then
WS2Above = WS2
WS2Below = 0
ElsIf WS2 < close Then
WS2Below = WS2
WS2Above = 100000
EndIf

If WR3 > close Then
WR3Above = WR3
WR3Below = 0
ElsIf WR3 < close Then
WR3Below = WR3
WR3Above = 100000
EndIf

If WS3 > close Then
WS3Above = WS3
WS3Below = 0
ElsIf WS3 < close Then
WS3Below = WS3
WS3Above = 100000
EndIf

If WPivot > close Then
WPivotAbove = WPivot
WPivotBelow = 0
ElsIf MR1 < close Then
WPivotBelow = WPivot
WPivotAbove = 100000
EndIf

If DR1 > close Then
DR1Above = DR1
DR1Below = 0
ElsIf DR1 < close Then
DR1Below = DR1
DR1Above = 100000
EndIf

If DS1 > close Then
DS1Above = DS1
DS1Below = 0
ElsIf DS1 < close Then
DS1Below = DS1
DS1Above = 100000
EndIf

If DR2 > close Then
DR2Above = DR2
DR2Below = 0
ElsIf DR2 < close Then
DR2Below = DR2
DR2Above = 100000
EndIf

If DS2 > close Then
DS2Above = DS2
DS2Below = 0
ElsIf DS2 < close Then
DS2Below = DS2
DS2Above = 100000
EndIf

If DR3 > close Then
DR3Above = DR3
DR3Below = 0
ElsIf DR3 < close Then
DR3Below = DR3
DR3Above = 100000
EndIf

If DS3 > close Then
DS3Above = DS3
DS3Below = 0
ElsIf DS3 < close Then
DS3Below = DS3
DS3Above = 100000
EndIf

If DPivot > close Then
DPivotAbove = DPivot
DPivotBelow = 0
ElsIf DR1 < close Then
DPivotBelow = DPivot
DPivotAbove = 100000
EndIf

PivotAbove = min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(min(MR1Above,MS1Above),MR2Above),MS2Above),MR3Above),MS3Above),MPivotAbove),WR1Above),WS1Above),WR2Above),WS2Above),WR3Above),WS3Above),WPivotAbove),DR1Above),DS1Above),DR2Above),DS2Above),DR3Above),DS3ABove),DPivotAbove)
PivotBelow = max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(max(MR1Below,MS1Below),MR2Below),MS2Below),MR3Below),MS3Below),MPivotBelow),WR1Below),WS1Below),WR2Below),WS2Below),WR3Below),WS3Below),WPivotBelow),DR1Below),DS1Below),DR2Below),DS2Below),DR3Below),DS3Below),DPivotBelow)

Graph PivotAbove coloured(255,0,0) as "Pivot Above"
Graph PivotBelow coloured(0,255,0) as "Pivot Below"

Buy possize contract at market

//Graph close coloured(0,0,0) as "close"
//Graph MPivot coloured(255,0,0) as "MPivot"
//Graph WPivot coloured(0,255,0) as "WPivot"
//Graph DPivot coloured(0,0,255) as "DPivot"
    02/11/2019 at 9:21 AM #91007 quote
    Vonasi
    Moderator
    Master

    I’ve only just glanced at the code but can see straight away that line 231 is wrong. They should all be MIN and not MAX as we are looking for the smallest distance  below price and not the biggest.

    02/11/2019 at 9:23 AM #91008 quote
    juanj
    Participant
    Master

    @Nicolas @Vonasi I suspect my above-mentioned problem is possibly due to the way MTF updates values? If you graph close in relation to ‘Pivot Above’ and ‘Pivot Below’ you can clearly see there is a problem. Either that or the nested Max statement is failing.

    02/11/2019 at 9:23 AM #91009 quote
    Vonasi
    Moderator
    Master

    Also I notice that when you store the values of ABOVE and BELOW you store the actual price whereas in my code I stored the difference between price and the level.

    02/11/2019 at 9:27 AM #91010 quote
    Vonasi
    Moderator
    Master

    Sorry – only one cup of tea so far so not thinking straight! I can see that you have written your code differently to mine. I have to go out now but will try to look at it more closely when I get back.

    02/11/2019 at 9:29 AM #91012 quote
    juanj
    Participant
    Master

    Since the pivot level was still a value I didn’t think it a problem to just use the straight level instead of the difference between the close and price. But will change it and see

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How to identify the closest pivot points level to current price


ProOrder: Automated Strategies & Backtesting

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juanj @juanj Participant
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This topic contains 23 replies,
has 5 voices, and was last updated by GraHal
7 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/10/2019
Status: Active
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