FloorPivotPoints: Floor Pivot Points

The classic floor-trader pivot with two supports and two resistances, computed from the previous session’s high, low and close and held for the whole session. On a daily chart that is the previous bar; on an hourly chart it is yesterday’s session — daily pivots, which is the definition.

Signature

FloorPivotPoints(lookback, on=<source>)

Argument	Type	Required	Notes
lookback	int Param	Yes	Pinned at 1: the pivot is defined on the immediately preceding period. Bounds 1–1.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low, close.

Formula

$$ P = \frac{H_p + L_p + C_p}{3} $$ $$ R_1 = 2P - L_p, \quad S_1 = 2P - H_p, \quad R_2 = P + (H_p - L_p), \quad S_2 = P - (H_p - L_p) $$

with subscript p the previous session (its highest high, lowest low and last close).

Warmup

One whole session; all five outputs track the close until then.

Reading the value

fp.pivot
fp.r1
fp.r2
fp.s1
fp.s2

Multi-value: cannot be chained onto or crossed.

Example

class PivotFade(Strategy):
    """Buy the first support, exit at the pivot."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        fp = FloorPivotPoints(1, on=self.trade)
        if self.trade.close < fp.s1 and self.trade.is_flat:
            self.buy(self.trade, reason=f"At S1 {fp.s1:.2f}")
        if self.trade.close > fp.pivot and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Pivot reached")

Notes

• The traditional pivot set of the exchange trading floors: the pivot is the previous bar’s typical price, and the levels are its reflections off the previous high and low.
• Session-anchored (session_start): the levels change once per session, at its first bar. A symbol whose session boundary cannot be placed (a weekly or monthly session) cannot be given a previous session, and the indicator says so rather than computing something else.
• On a daily chart the numbers are exactly the previous-bar pivots this indicator always gave.