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] 💬

// C# usage syntax
IReadOnlyList<RollingPivotsResult> results =
  bars.ToRollingPivots(windowPeriods, offsetPeriods, pointType);

Parameters

param	type	description
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 bars 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 bars with daily bars using W/F values of 20/10 would most closely match the month variant of the traditional Pivot Points indicator.

Historical price bars requirements

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

bars is a collection of generic TBar historical price bars. 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

IReadOnlyList<RollingPivotsResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• 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.

️🖌️ Repaint warning

Historical results are a function of the rolling window position and will shift as new bars are added. Each new period causes the window to move forward, recalculating pivot points based on the new window data.

RollingPivotsResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
R4	double	Resistance level 4 (Camarilla only)
R3	double	Resistance level 3
R2	double	Resistance level 2
R1	double	Resistance level 1
PP	double	Pivot Point
S1	double	Support level 1
S2	double	Support level 2
S3	double	Support level 3
S4	double	Support level 4 (Camarilla only)

Utilities

• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

RollingPivotsList rollingPivotsList = new(windowPeriods, offsetPeriods, pointType);

foreach (IBar bar in bars)  // simulating stream
{
  rollingPivotsList.Add(bar);
}

// based on `ICollection<RollingPivotsResult>`
IReadOnlyList<RollingPivotsResult> results = rollingPivotsList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
RollingPivotsHub observer = barHub.ToRollingPivotsHub(windowPeriods, offsetPeriods, pointType);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<RollingPivotsResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.