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Rolling Pivot Points

Created by Dave Skender, Rolling Pivot Points is a modern update to traditional fixed calendar window Pivot Points. It depicts support and resistance levels, based on a defined rolling window and offset. [Discuss] 💬

chart for Rolling Pivot Points

// C# usage syntax
IEnumerable<RollingPivotsResult> results =
  quotes.GetRollingPivots(windowPeriods, offsetPeriods, pointType);

Parameters

windowPeriods int - Number of periods (W) in the evaluation window. Must be greater than 0 to calculate; but is typically specified in the 5-20 range.

offsetPeriods int - Number of periods (F) to offset the window from the current period. Must be greater than or equal to 0 and is typically less than or equal to W.

pointType PivotPointType - Type of Pivot Point. Default is PivotPointType.Standard

For example, a window of 8 with an offset of 4 would evaluate quotes like: W W W W W W W W F F F F C, where W is the window included in the Pivot Point calculation, and F is the distance from the current evaluation position C. A quotes with daily bars using W/F values of 20/10 would most closely match the month variant of the traditional Pivot Points indicator.

Historical quotes requirements

You must have at least W+F periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

PivotPointType options

PivotPointType.Standard - Floor Trading (default)

PivotPointType.Camarilla - Camarilla

PivotPointType.Demark - Demark

PivotPointType.Fibonacci - Fibonacci

PivotPointType.Woodie - Woodie

Response

IEnumerable<RollingPivotsResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first W+F-1 periods will have null values since there’s not enough data to calculate.

RollingPivotsResult

Date DateTime - Date from evaluated TQuote

R3 decimal - Resistance level 3

R2 decimal - Resistance level 2

R1 decimal - Resistance level 1

PP decimal - Pivot Point

S1 decimal - Support level 1

S2 decimal - Support level 2

S3 decimal - Support level 3

Utilities

See Utilities and helpers for more information.

Chaining

This indicator is not chain-enabled and must be generated from quotes. It cannot be used for further processing by other chain-enabled indicators.