CL Market Profile Analysis
|July 28th, 2014, 12:45 PM||#281 (permalink)|
New York, NY
Futures Experience: Advanced
Favorite Futures: Forex, Futures
Posts: 202 since Feb 2014
Thanks: 336 given, 441 received
multi-day weekly pivots
So I tried to replicate the pivots used in DCB's chart
Using tick data , 18:00 EST to 17:15 as session, regular (floor) pivot formulas, I calcualted the daily S1 for the CL2010-10 contract on Aug/20/2010 at 73.94 - only 2 ticks off DCB's, which is close enough. The difference may be explained by me using the 17:15 close rather than the settlement price.
I failed to replicate the multi-day weekly pivots.
And thus I'm not sure what those weekly pivots are. Those levels puzzle me.
This made me wonder if DCB used weekly periods defined for a full week based on the prior week's data, or weekly periods based on the seven prior calendar days (which would mean different weekly pivots every day).
I'm aware this thread is from four years ago, but it still has very valuable information. DCB never logged back in. If anyone has/had a look and can provide insight on the matter, would greatly appreciate it.