Pocket Pivot with extrapolated Volume and Moving Averages

2022年9月19日

The script shows historical pocket pivots, much as other scripts with a green diamond shape on the volume pane.
When the market is open, the current bar, however, is extrapolated to the end of the day using a sixth-order polynomial.
Thus real-time pocket pivots are shown. To work properly, the user must input a time-zone offset parameter; the default is west coast USA.
Time-zone offset is -12 hours to +12 hours compared to the NYSE exchange time zone (USA west coast: -3.)
The volume extrapolation polynomial is based on a historical NASDAQ intraday volume model developed locally by a team.
Only ten-day lookback pocket pivots are computed as defined initially by Dr. Chris Kacher. (The default lookback can be changed by the user.)
Only pocket pivots are shown where the low of the daily bar is within user-defined proximity to the 50-day moving average or 10-day moving average (for continuation pocket pivots.)

2022年9月22日

版本注释

Original script incorrectly computed end of trading day and beginning of trading day by subtracting the timezone offset from the NYSE market time.
The corrected script adds the timezone offset to correctly use that term.

2022年9月30日

版本注释

The prior indicator applied extrapolation to volume on weekends: this is not proper. Added line to test if the market is closed (session.ismarket ==false).
Also tweaked the lineWidth default value to equal 4.

2022年10月9日

版本注释

Modified method to turn off extrapolation on weekends by testing if dayofweek(time) == dayofweek.saturday or dayofweek.sunday.
Erroneously extrapolating volume on weekends has been a bug since the beginning and it has taken me time to learn of the above test. The remaining hole in the strategy are market holidays and short trading sessions. I do not have a method for this.

2022年10月15日

版本注释

Removed requirement for setting local time zone offset

2022年10月22日

版本注释

Yet again getting the extrapolation disabled on weekends. My errors.

2022年10月22日

版本注释

Yet again trying to disable the extrapolation function on weekends...

2023年1月18日

版本注释

Minor cleanup. I noticed that the extrapolation wasn't working at a time when the market was open. The volume extrapolation is supposed to work when the market is open.

2023年6月16日

版本注释

Added test for chart timeframe. Volume extrapolation is only valid on daily charts. Extrapolation is disabled for other timeframes. 2023-06-16