Pivots.cpp

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#include "stdafx.h"

#include <algorithm>

#include "Pivots.h"

namespace ou { // One Unified
namespace tf { // TradeFrame

const std::string PivotSet::m_sPivotNames[ PivotSet::PivotCount ]
  = { "R3", "R23", "R2", "R12", "R1", "PVR1", "PV", "PVS1", "S1", "S12", "S2", "S23" "S3" };

const ou::Colour::EColour PivotSet::m_rPivotColours[ PivotSet::PivotCount ]
  = { ou::Colour::Tomato, ou::Colour::OrangeRed, ou::Colour::Orange, ou::Colour::RosyBrown, ou::Colour::Red, ou::Colour::Pink,
      ou::Colour::DarkRed,
      ou::Colour::BlueViolet, ou::Colour::Blue, ou::Colour::RoyalBlue, ou::Colour::Purple, ou::Colour::SkyBlue, ou::Colour::Violet };

PivotSet::PivotSet(void)
 {
   for ( unsigned short ix = 0; ix < PivotCount; ++ix ) {
     m_rPivots[ ix ] = 0;
   }
}

PivotSet::PivotSet( const std::string &sName, double _S3, double _S2, double _S1, double _PV, double _R1, double _R2, double _R3 ) :
  m_sName( sName )
{
  m_rPivots[ R3 ] = _R3;
  m_rPivots[ R2 ] = _R2;
  m_rPivots[ R1 ] = _R1;
  m_rPivots[ PV ] = _PV;
  m_rPivots[ S1 ] = _S1;
  m_rPivots[ S2 ] = _S2;
  m_rPivots[ S3 ] = _S3;
  CalcHalfPivots();
}

PivotSet::PivotSet( const std::string &sName, const Bar& bar ) {
  CalcPivots( sName, bar.High(), bar.Low(), bar.Close() );
}

PivotSet::PivotSet( const std::string &sName, Bars* bars ) {
  double hi = 0;
  double lo = 0;
  double cl = 0;
  size_t cnt = bars->Size();
  //const Bar* pBar;
  if ( cnt > 0 ) {
    const Bar& bar0( bars->At( 0 ) );
    hi = bar0.High();
    lo = bar0.Low();
    cl = bar0.Close();
    for ( unsigned int i = 1; i < cnt; i++ ) {
      const Bar& bar( bars->At( i ) );
      hi = std::max<double>( hi, bar.High() );
      lo = std::min<double>( lo, bar.Low() );
      cl = bar.Close();
    }
  }
  CalcPivots( sName, hi, lo, cl );
}

PivotSet::PivotSet( const std::string &sName, double Hi, double Lo, double Close ) {
  CalcPivots( sName, Hi, Lo, Close );
}

PivotSet::~PivotSet() {
}

void PivotSet::CalcPivots( const std::string &sName, double Hi, double Lo, double Close ) {
  m_sName = sName;
  CalcPivots( Hi, Lo, Close );
}

void PivotSet::CalcPivots( const Bar& bar ) {
  CalcPivots( bar.High(), bar.Low(), bar.Close() );
}

void PivotSet::CalcPivots( double Hi, double Lo, double Close ) {
  double dif = Hi - Lo;
  m_rPivots[ PV ] = ( Hi + Lo + Close ) / 3;
  m_rPivots[ R1 ] = 2 * m_rPivots[ PV ] - Lo;
  m_rPivots[ R2 ] = m_rPivots[ PV ] + dif;
  m_rPivots[ R3 ] = m_rPivots[ R1 ] + dif;
  m_rPivots[ S1 ] = 2 * m_rPivots[ PV ] - Hi;
  m_rPivots[ S2 ] = m_rPivots[ PV ] - dif;
  m_rPivots[ S3 ] = m_rPivots[ S1 ] - dif;
//  CalcHalfPivots();  // removed 2011/10/23
}

void PivotSet::CalcHalfPivots() {
  m_rPivots[ R23  ] = ( m_rPivots[ R3 ] + m_rPivots[ R2 ] ) / 2;
  m_rPivots[ R12  ] = ( m_rPivots[ R1 ] + m_rPivots[ R2 ] ) / 2;
  m_rPivots[ PVR1 ] = ( m_rPivots[ PV ] + m_rPivots[ R1 ] ) / 2;
  m_rPivots[ PVS1 ] = ( m_rPivots[ PV ] + m_rPivots[ S1 ] ) / 2;
  m_rPivots[ S12  ] = ( m_rPivots[ S1 ] + m_rPivots[ S2 ] ) / 2;
  m_rPivots[ S23  ] = ( m_rPivots[ S2 ] + m_rPivots[ S3 ] ) / 2;
}

} // namespace tf
} // namespace ou


/*
http://www.earnforex.com/pivot_points_calculator.php
The floor pivot points, presented in the first column of the calculation results table,
are the most basic and popular type of pivots used in Forex trading technical analysis.
The pivot point is interpreted as the primary support/resistance level - the point at
which the main trend will be born. First-third level resistance and support points
serve as additional indicators of possible trend reversal or continuation. The rules
to calculate floor pivot points are quite simple:

Pivot (P) = (H + L + C) / 3

Resistance (R1) = (2 X P) - L

R2 = P + H - L

R3 = H + 2 X (P - L)

Support (S1) = (2 X P) - H

S2 = P - H + L

S3 = L - 2 X (H - P)

Other popular method of calculating a simple TA indicator which helps trader to forecast
future trend is Tom DeMark's pivot points. Which are not pivot points exactly, but predicted
low and high of the period. To calculate DeMark's pivot points follow these rules:

If Close < Opencurrent Then X = H + 2 X L + C;

If Close > Opencurrent Then X = 2 X H + L + C;

If Close = Opencurrent Then X = H + L + 2 X C;

New High = X / 2 - L; New Low = X / 2 - H

Woodie's pivot points are similar to floor pivot points, but are calculated in a
somewhat different way, giving more weight to the Close price of the
previous period. Use the following rules to calculate Woodie's pivot points:

Pivot (P) = (H + L + 2 X C) / 4

Resistance (R1) = (2 X P) - L

R2 = P + H - L

Support (S1) = (2 X P) - H

S2 = P - H + L

Camarilla pivot points is a set of eight very probable levels
which resemble support and resistance values for a current trend.
The origin and the precise way to calculate these pivot points are unclear.
The most important is that these pivot points work for all traders and help in
setting the right stop-loss and take-profit orders. We use the following
rules to calculate Camarilla pivot points:

R4 = (H - L) X 1.1 / 2 + C

R3 = (H - L) X 1.1 / 4 + C

R2 = (H - L) X 1.1 / 6 + C

R1 = (H - L) X 1.1 / 12 + C

S1 = C - (H - L) X 1.1 / 12

S2 = C - (H - L) X 1.1 / 6

S3 = C - (H - L) X 1.1 / 4

S4 = C - (H - L) X 1.1 / 2
*/