Pivot Strategy Analysis (RTX)

The PivotStrategyAnalysis (PSA) RTX Extension allows the user to specify any key daily or weekly price level such as previous high, previous close, or overnight VPOC, and analyze the effectiveness of that level as a pivot point during the following session or week.  The indicator provides for a variety of convenient options including stop, target, frontrun wiggle, reset distance, nature of system, trade limits, and time filters.  The frontrun wiggle determines how far ahead of the level, if any, to enter the trade (defaults to 0).  The reset distance dictates how far price must move away from the level, after a trade, in order for a new trade to be considered.  The nature of the system may be set to either fade or trend.  The number of trades per period may be limited to any number of trades, any number of losses, or any number of wins.  Lines are automatically drawn which clearly mark the entry price, the reset price, target, and stop. An information box is provided which accumulates the trade information and reports total number of trades, number and percent of winners, number and percent of losers, net P&L, Max P&L, Min P&L, MFE, MAE, Consecutive Wins, and Consecutive Losses.  The system may be set to either a daily or weekly period.  Optional filters will prevent trading during a user specified number of minutes at the start and end of the session or week.

Note

The pre-defined levels for POC/VAH/VAL within PSA are limited to how far back you have tick data. These custom indicators allow you to go back as far as you wish studying these levels. Import the below chart in order to use PSA_POC, PSA_VAH, or PSA_VAL within Pivot Strategy Analysis.

PSA Prices Chart

Glossary of Terms:

  • P&L - Profilt and Loss
  • MFE - Maximum Favorable Excursion
  • MAE - Maximum Adverse Excursion
  • VPOC - Volume Point of Control

Presentation

Pivot Strategy Analysis Prefs

  • Period - Options for Daily, Weekly, Level Change, and Level Chg + Daily periods.  This option dictates the period which will be using when limiting trades and when limiting entry during first or last minutes of period.  Level Change will considers a new period when the underlying level changes price.  This allows for testing of levels which change intraday such as zig zag retracements.  It also allows for levels that may change monthly (or quarterly, yearly) such as monthly S1 pivot.
  • Pre-Defined Level - A choice of either Pre-Defined Level or Custom Indicator is available.  For convenience, a number of Pre-Defined levels are supplied including Prev Day Session High, Prev Day Session Low, Prev Day Session IBH, Prev Day Session IBL, Prev Day Close, Overnight High;Overnight Low, Overnight VPOC, Overnight Retracement, and Previous Day Retracement.
  • Custom Indicator - This is the custom indicator used for the key price levels.  Often the Session Statstic (SESST) token will be used within the custom indicator to provide key prices such as previous high or previous low, but any indicator may be used in this context.
  • Color - Color used to paint the key price level line.
  • Reality Check - When checked, fade entries are required to trade 1 tick past the level in order to get filled.  Targets also require price to trade 1 tick past the target price on order to get filled.  Trend Entries and Stops incur 1 tick of slippage.
  • Nature - The nature of the system may be either fade or trend.  A fade system will go long when approaching from above and short when approaching from below.  A trend system will go long when approaching from below and short when approaching from above.
  • Trades From - Option for which sides trades will be considered and provides options of Inside, Outside, Either Side, Below, or Above.  Inside will only consider trades from the direction of open relative to the key price level (if we open below key price level, only consider trades from below).  Outside will only consider trades come from the opposite side of the open relative to key price (if we open above key price, only consider trades from below after we have moved below the key price by our reset distance).
  • Reset Distance - this is the distance from which price must approach our key level in order to consider a trade.  If we open too close to our key level, price must move away from our level by the reset distance before a trade will be considered.  After a trade completes, we must again move away from our key price by the reset distance in order to consider another trade (assuming we haven't reached our trade limit).
  • Frontrun Wiggle - This controls how many ticks in front of our key price level, if any, we'll enter the trade.  If a value of 2 is entered, we will enter the trades 2 ticks in advance of our price level, and then compute the stop and target from that price.  This option defaults to 0 and should be set to 0 if the level must be touched in order to enter a trade.
  • Target - Profit target, in ticks, required to achieve a winning trade.
  • Stop - Stop loss, in ticks, required in order to achieve a losing trade.
  • Limit Per Period - Limits may be specified in Trades, Wins, or Losses.  For example, if the limit is set to 1 Win, we will continue allowing trades until a winner (target hit).  If 2 Losses is specified, we will continue to enter trades during the period until our 2nd loss (get stopped out 2nd time).
  • No Entery First/Last Minutes - Filter to prevent trading during a period, in minutes, and the begin and end of the period (session or week).
  • Filter - Three optional filters are available to restrict when trade entries will be allowable.  Options include No Trade or Trade Only during "First X Sessions (of Chart)", "Open Inside Range" and "Session of Week".  For example, turning on a filter for "No Trades: Session of Week: 5" would prevent trading on last (Friday) session of week.
PivotStrategyAnalysis (@ES#)
PivotStrategyAnalysis. This chart was uploaded by Investor/RT 12.5.9 showing symbol: @ES#.

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