Contents:

TradeStation Indicators

• Anchored VWAP (from Paul Levine’s MIDAS Method) 
• Multiple time frame pivots, plus support and resistance (R1..R3, S1..S3) [Updated! - Nov 19 09]

Articles

• Paul Levine’s 18 part series on his MIDAS Method

TradeStation Indicators:

We don’t provide fancy manuals or have much time to offer support, so the following are offered AS-IS!  We do welcome feedback, however, and if we get enough requests, we will implement improvements based on user suggestions.

Anchored VWAP Bands (from Paul Levine’s MIDAS Method)

VWAP (volume weighted at price) has been used by institutions for some time and has gained a lot of attention among retail traders in the past few years.  VWAP is simply the ratio of the value traded to total volume traded over a particular time horizon, and is often used by passive investing institutions, such as pension funds, as an entry target to minimize market impact.  The time horizon mentioned above is usually one day, but it needn’t be, which is where anchored VWAP comes in.  This concept was first discovered and written about by Paul Levine in the mid-1990′s (and who sadly died in 1998), which he called the MIDAS method and what is now called anchored VWAP.  By anchoring VWAP to an important inflection point and allowing the VWAP calculation to continue without reset, it serves as a remarkably powerful support and resistance line.  Two users on the TradeStation forum (dbntina and boxmeister) had previously coded a VWAP indicator with standard deviation bands, which we have modified to allow anchoring and selective plotting of the standard deviation lines.

Usage tips: 

1. StartingDate must be in TradeStation date format (e.g., June 22, 2009 = 1090622).
2. Or, if StartingDate is 0 then it will reset each day (not anchored).
3. StartingTime is used as the anchor time within the anchor date. 
4. StartingTime must be in military time with no punctuation (e.g., 2:45 pm = 1445).
5. If in reset-each-day mode (StartingDate = 0), StartingTime is ignored.
6. Update: Previous day’s closing VWAP may now be plotted by setting PlotClosingVWAP to true.  Note, this feature only works if VWAP is reset each day (StartingDate = 0).  The indicator is now called “!PCM_Anc_VWAP_Bands2″

Thanks to the members of the Value in Time group hosted by Pascal Willain for generously sharing information about Paul Levine’s work and how to apply it.

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Screen Shots:

Multiple Time Frame Pivots Indicator

A relatively simple way to calculate support and resistance is with a formula that floor traders have used for years and once did by hand.  They would take the average of yesterday’s high, low and close to come up with the pivot point (PP).  Then they would calculate up to 3 levels of support (S1, S2 and S3) and resistance (R1, R2 and R3).  Many traders use these levels not only on the previous day’s prices, but also on weekly, monthly, quarterly, semester and yearly time frames.  Intraday traders often look to the 60 minute pivot to guage strength of the market (above or below the 60 minute pivot) and to set price targets.  When several levels line up in confluence, they can serve as powerful support or resistance. Features and usage tips: 

1. Plots yearly, semester, quarterly, monthly, weekly, daily and intraday pivots, support and resistance levels in a single chart.
   Time frame for intraday pivots is customizable (most traders use 60 minutes for daytrading).
2. Make sure you’ve loaded enough data in the chart to plot the requested time frame.  If you haven’t loaded all of last year’s data, for instance, you will not see the current yearly levels.
3. Check the box for Update value intrabar under the General tab, or you will not see pivots on the right-most bar intraday.
4. Longer time frames appear as thicker dots.
5. Pivots, support and resistance levels for each time frame can be selectively turned on or off.
6. Support and resistance levels for all time frames can be selectively turned on or off (e.g., show only S1 and R1 for all time frames).
7. Automatically notes the time frame of the chart and does not attempt to provide pivots for lower time frames (e.g., won’t generate error trying to show daily pivots on a monthly chart).
8. A generous reader has added the ability to display text.  There are various Inputs at the bottom to control the display.
9. To see the pivots for a given time frame before the new time period begins, set Force[time_period]Calc to True.  For instance, on a weekend, you would set ForceDailyCalc and ForceWeeklyCalc to True to see next week’s daily and weekly pivots.  Don’t forget to turn them back to False once the first session of the week begins.
10. The default formula for R3 and S3 has been changed to the traditional floor trader pivots formula.  The one previously used was TradeStation’s version, which is different.  Set UseTraditionalS3R3Calc to false to continue to use the TradeStation version.
11. A new Input, PlotLastBarOnly does just that.

Known issues:

1. Because weeks can overlap yearly, semester, quarterly and monthly periods, weekly charts should not be used to show these levels.
2. For symbols that have sessions that overlap days (futures & forex), monthly and higher time frame levels computed on an intraday chart will include data for the month up to 11:59 pm, rather than the close of the session that ended that day. 
3. Official daily settlement is not necessarily the last quoted price on an intraday chart.  Accordingly, pivots for daily and higher time frames may not be exactly correct on intraday charts.

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Screen Shot:

HT to our friend Billy O’Nair for introducing us to the quarterly, semester and yearly pivots. 

Articles:

Paul Levine’s MIDAS method.  An 18 part series written by Paul himself about his breakthrough discovery.