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CL with S/R Indicator Levels


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CL with S/R Indicator Levels

  #1 (permalink)
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CL with S/R Indicator Levels

I have noticed that the S/R indicators really are not effect levels and have been apart of my decision making whether or not to take a trade or where to place my targets. I have seen price blow right past these levels so many times that it tells me that they are not effective. So I see no value in using this indicator, in fact it has been an negative factor with my trading.

Does anyone else use this indicator and do you see value and use it as part of your trading decision making? For complete disclosure I use the NT default Woodies Pivot indee. Maybe there is another option in the Elite or standard download section that has been proven to be levels of S/R. Any advise or input is appreciated.

Ryan

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  #2 (permalink)
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Are you talking about floor pivots? Are you using daily or weekly pivots? RTH or ETH chart?

I use pivots in my CL trading and I find them quite useful. You cannot use them as a definitive "price will stop here" or "once price is above this, it is now support". Just like everything in trading, discretion and experience are involved.

If you read my advice thread you'll find for a while I used pivots, removed them, and came back to them all because I was still gaining the experience necessary to adapt them to my trading.

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  #3 (permalink)
Market Wizard
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S/R Levels for CL


I use S/R levels extensively.

(1) Floor pivots work exceptionally well with CL. Floor pivots (RTH) for Thursday.

(2) Floor pivots (RTH) on Friday.

(3) Fibonacci Confluence Lines

(4) European Session High and Low, Opening Range

(5) Targets derived from historical volatiliy (average daily range)

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  #4 (permalink)
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Big Mike View Post
Are you talking about floor pivots? Are you using daily or weekly pivots? RTH or ETH chart?

I use pivots in my CL trading and I find them quite useful. You cannot use them as a definitive "price will stop here" or "once price is above this, it is now support". Just like everything in trading, discretion and experience are involved.

If you read my advice thread you'll find for a while I used pivots, removed them, and came back to them all because I was still gaining the experience necessary to adapt them to my trading.

Mike

I'm not sure what floor pivots are? I only have daily RTH charts. No, I would never use them as a hard rule, but I have seen price blast through them so easily so many times and thought the default NT indee's were ineffective or there must be a better indicator in the forum. I have tended to use PA on a larger TF help me to determine these levels.

I will continue reading your thread and thought I would get others insight on this.

Ryan

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  #5 (permalink)
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Fat Tails,

These look interesting, would you mind sharing these downloads? It would be interesting to see if our levels are similar.

Thanks,

Ryan

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  #6 (permalink)
Market Wizard
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itrade2win View Post
I'm not sure what floor pivots are? I only have daily RTH charts. No, I would never use them as a hard rule, but I have seen price blast through them so easily so many times and thought the default NT indee's were ineffective or there must be a better indicator in the forum. I have tended to use PA on a larger TF help me to determine these levels.

I will continue reading your thread and thought I would get others insight on this.

Ryan

Floor pivots are something very simple. You take yesterday's high, low and the settlement price. This is available from daily data and does not change throughout today's session. Floor traders had no computers, so they could prepare these levels prior to trading.

Important is the choice between ETH (electronic trading hours) and RTH (regular trading hours = floor trading hours). Also always take the settlement price, not the closing price. The settlement price can be taken from the Kinetick EOD data that comes with NinjaTrader 7.

These are the formulae assuming (H = yesterday's high, L = yesterday's low, C = yesterday's settlement).

PP = 1/3 * (H+L+C)
R1 = 2*PP - L
R2 = PP + range = PP + H - L
S1 = 2*PP - H
S2 = PP - range = PP - H + L

There is no law that price needs to respect floor pivots. If price wants to go up, it will not respect any S/R level. However, if there is no strong trend, they often work very well. R2 and S2 are much stronger levels than R1 and S1.

The SessionPivots indicator for NT7 can be found in the download section of this forum. It also shows yesterday's high, low and close, which are as important as the floor pivots.

The OpeningRange indicator can also be found in the download section.

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  #7 (permalink)
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Fat Tails View Post
I use S/R levels extensively.

(5) Targets derived from historical volatiliy (average daily range)


Harry,

Care to elaborate how you form a target from historical volatility ? If volatility is 2$ for CL, how would you place your targets ? What level will serve as a pivot to project the volatility ?

I use S\R too but i also look at Naked POC, Yesterday's Value Area High\Low. I look at ledges that form during the overnight session and during the regular session these are powerfull levels. During the day, i look at swing high\Low etc. I also look at http://www.tothetick.com/blog free TF and CL zones.

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  #8 (permalink)
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trendisyourfriend View Post
Harry,

Care to elaborate how you form a target from historical volatility ? If volatility is 2$ for CL, how would you place your targets ? What level will serve as a pivot to project the volatility ?

I use S\R too but i also look at Naked POC, Yesterday's Value Area High\Low. I look at ledges that form during the overnight session and during the regular session these are powerfull levels. During the day, i look at swing high\Low etc. I also look at http://www.tothetick.com/blog free TF and CL zones.


The first idea was to use the average daily range over a period of n days as a proxy for historical volatility. So I calculated a 3-day average daily range and a 10-day average daily range. As these were different, I decided to use both. For that reason you do not see lines on the chart, but bands.

The upper band is created by adding the historical volatility bands to the current day's low. The lower band is generated by subtracting the historical volatility band from the current day's high.

When the inner bouds of the bands are hit - meaning that the current day's range has reached the lower of 3-day and 10-day average range - the inner bounds will be plotted by adding and subtracting half of the n-day average daily range to and from the current day's midline, so I let them shift a bit in the direction of the trend.

This is just one way to measure volatility. Another way that I am going to explore, is the comparison of (High-Open) and (Open-Low) with historical values. Maybe that this second analysis can be refined with trendfilters or taking into account, whether the previous day was a balancing or a trending day. To be continued.

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