Mnikolic Investment Research
intelligent trading algorithms™
Mnikolic Investment Research
intelligent trading algorithms™

PivotBuilder Trading Suite 2018 Edition has been released and is now available for download and sale. The latest version expands Tick Delta filtering (via tick delta crossovers) and introduces new order management options, namely user-defined trading sessions and end-of-session position liquidation. The 2018 Edition also features code architecture native to TradeStation 9.5 (update 22) and MultiCharts 11.

Above: PivotBuilder 2018 Edition trading E-Mini S&P500 Futures (CME: ES) intraday (10 min) price action.

New Feature: Tick Delta + Tick Delta Crossover Filtering

For those unfamiliar with the concept, Tick Delta is the net difference (positive or negative) between upticks and downticks of a security. Positive Tick Delta (upticks exceed downticks) is interpreted as Bulls being in control of the market. Negative Tick Delta (downticks exceed upticks) is interpreted as Bears being in control. Since raw Tick Delta is often very volatile, we've added a second Tick Delta line (derived from raw) to PivotBuilder, with a user-definable smoothing factor. The two Tick Delta lines are the primary mechanism behind PivotBuilder 2018's Tick Delta filtering and their position in relation to one another is used to determine directional strength.

The introduction of a second Tick Delta line, called Base Tick Delta, is a moving average derived from the first, raw tick delta line. Our research has shown that using tick delta moving average crossovers is more responsive than just the 0-level cross of raw tick delta. The period or smoothing of the base tick delta moving average is controlled via new parameter, Tick.Delta.Base.Average.Period. This value is highly sensitive to the smoothing factor (Tick.Delta.Averaging) that controls the behavior of the raw tick delta line – lower Tick.Delta.Averaging values work well with higher Tick.Delta.Base.Average.Period values and vice versa. Having both set to high would introduce lag (overfiltering). If you’re looking to have a 0-style crossover (as in old versions of PivotBuilder) set the Tick.Delta.Base.Average.Period value to 100 or higher.

When active (Apply.Tick.Delta set to true) Tick Delta acts as a filter within PivotBuilder. In addition to PivotBuilder's main signal conditions:

  • long signals will only be issued when Tick Delta is in the positive category (raw tick delta above base)
  • short signals will only be issued when Tick Delta is in the negative category (raw tick delta below base)
*raw tick delta is typically less smoothed than base, akin to double moving average systems

To help you visualize what Tick Delta looks and behaves like under the hood, PivotBuilder includes a separate indicator add-on called PivotBuilder Tick Delta Visualizer. It is basically an oscillator with the same parameter options as the Tick Delta filter within PivotBuilder, showing how Tick Delta changes as parameter values are modified. The oscillator is color-coded, painting the raw tick delta line green when it is above its base (derived) line and red when below.

Tick Delta can sometimes be a leading indicator - a good example of this is seen during 12/2 session in the above screenshot – while price consolidated and stayed near lows, Tick Delta was sloping up indicating that the downward price movement had no weight (down volume) under it. PivotBuilder does all this within its framework, the Visualizer add-on is there just to give you a representation of the Tick Delta subalgorithm.

Tick Delta Filtering options are only available within the 4 strategy add-ons.

The following example employs Tick Delta Filtering and demonstrates PivotBuilder 2018's performance in E-Mini S&P500 Futures (CME: ES) 10-minute trading action. Strategy covers all price action for the past 18 months (July 2016 - January 2018):

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Equity Curve

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Strategy Performance

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Trade Analysis

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Trade Distribution

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Monthly Returns

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Monte Carlo Analysis.

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Monte Carlo Distribution Analysis

PivotBuilder (with Tick Delta Filtering) on E-Mini S&P 500 Futures (CME:ES) 10-Min: Chart, Strategy in Action

Get the strategy - the above ES 10-minute strategy is available for free download (in workspace format) to all PivotBuilder clients via user community forum.

New Order Management Options: User Defined Trading Session + End of Session Liquidation

PivotBuilder’s LE (Long Entry) and SE (Short Entry) add-ons contain additional options for opening trades (long or short) during a user specified period of time (session), and not outside it. Having the session Start and Stop times covering the entirety of the day (0000, representing midnight, and 2359, representing 23:59) is essentially equivalent to turning this feature off and always being in the market. Any other values will tell PivotBuilder to only open positions between the Start and Stop times.

  • Start.Trading.At – time after which PivotBuilder is permitted to open positions (short if SE or long if LE)
  • Stop.Trading.At – time after which PivotBuilder must cease opening new positions (short if SE or long if LE)
In addition to these parameters, there is another called Close.End.Of.Session. When set to true Pivotbuilder will liquidate all positions (long if set within LE and short if set within SE, or both, if set in LE and SE) after Stop.Trading.At time is reached. This is useful if you want to be out of the market before it closes (gap avoidance, etc.).

The following screenshot shows the two new order management features in ES 10-minute trading action:

Latest Platform Support: TradeStation 9.5 (Update 22+) and MultiCharts 11

PivotBuilder 2018 was compiled within TradeStation 9.5 Update 22 and MultiCharts 11 environments, offering improved technical performance (speed of calculations, etc.) as well as complete and native support for those platforms (including their latest technologies/features).

PivotBuilder's manual has been revised (in particular sections, to cover all new features of the 2018 Edition.

Existing Clients

  • The 2018 Edition, like prior upgrades, is free to all existing PivotBuilder license holders.
Download 2018 Edition

New Clients

  • If you are interested in purchasing PivotBuilder, please visit the official store page below.
Purchase PivotBuilder

Custom Workspace Development

Although PivotBuilder is intuitive to configure and optimize, we also offer the optional, paid service of premium workspace development. This service is geared toward those traders whose primary concern is the signal performance and not strategy building. Based on client's budget and trading preferences (market, time frame, risk), we develop, optimize, and deep-history/forward test profitable configurations while ensuring return consistency across multiple economic cycles. If you're interested in this service, please contact us with your expectations and we'll reply within 24-48 hours.

More Information

All details pertaining to PivotBuilder Personal Trading Suite can be accessed through its dedicated section of the site.

See full details

Marko Nikolic
President & Chief Developer
Thursday, January 4, 2018, Toronto, Canada

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