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Monthly Pivots Question
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Created: by Sidhartha Attachments:3

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Monthly Pivots Question

  #1 (permalink)
Trading Apprentice
London
 
Futures Experience: Advanced
Platform: AmiBroker
Favorite Futures: TF
 
Posts: 2 since Apr 2011
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Monthly Pivots Question

HI All,

Little question about monthly pivots.

Today is May 26th. As of today, to calculate the monthly pivots which of the follow applies,

1. Take the monthly bar for April and use those values to calculate the monthly pivot for May. This value will apply right through the duration of May.

2. Take a running total of this month's (May) monthly bar values and use that to calculate an on-going pivot for this month.

3. Take a rolling last 20 trading days worth of data and use that to calculate a monthly pivot for today.

I'm a little unsure what the convention is for traders. Obviously these things are a self fulfilling prophecy so I want to be doing what everyone else is doing.

Many Thanks

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  #2 (permalink)
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Sidhartha View Post
HI All,

Little question about monthly pivots.

Today is May 26th. As of today, to calculate the monthly pivots which of the follow applies,

1. Take the monthly bar for April and use those values to calculate the monthly pivot for May. This value will apply right through the duration of May.

2. Take a running total of this month's (May) monthly bar values and use that to calculate an on-going pivot for this month.

3. Take a rolling last 20 trading days worth of data and use that to calculate a monthly pivot for today.

I'm a little unsure what the convention is for traders. Obviously these things are a self fulfilling prophecy so I want to be doing what everyone else is doing.

Many Thanks

Option 1 is correct.

The monthly pivot for the month of May is calculated from the high, low and the close of the month of April. For futures you will use the settlement price instead of the close. Please note that on the last business day of the month the settlement price for index futures (Es, YM, NQ, EMD) is determined via a fair value procedure at 3:00 PM Central Time (which is 15 minutes earlier than usual).

You will get high, low and settlement price by loading Kinetick EOD data.

If you do not want to calculate monthly pivots, you can simply use the SessionPivots indicator here:

https://futures.io/free_downloads/ninjatrader-7/indicators/371-download.html?view

Chart below shows monthly pivots for ES 06-11.

Traders also use weekly pivots and rolling pivots for a rolling n-day period. For the weekly pivots you would use high, low and close/settlement of the last week. For rolling n day pivots a 3-day period is most common. The balance point is the midline of the last three days and can be compared to the 3-day rolling pivot as follows.

Balance Point BP = (3-day-high + 3-day-low)/2
Rolling 3-day Pivot = (3-day high + 3-day-low + yesterday's close)/3

So you can use daily pivots, rolling n-day pivots, weekly pivots and monthly pivots. All of them can be calculated from the ETH or RTH sessions. For commodities and index futures I suggest to use RTH pivots, for FOREX and currency futures ETH pivots. But of course, there is no official rule, but you will need to find out by checking your charts.

Attached Thumbnails
Monthly Pivots Question-monthlypivots1.jpg   Monthly Pivots Question-monthlypivots2.jpg  

Last edited by Fat Tails; May 26th, 2011 at 10:12 AM.
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  #3 (permalink)
Trading Apprentice
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Thanks for your reply. Exactly the detail I was looking for.

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  #4 (permalink)
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Fat Tails,

The most difficult task i have with pivots is finding a way to display them without making my chart looks too crowded with lines. There certainly must exist an elegant solution to display many lines without the trees hiding the forest so to speak. The Market Profile displays some of the lines like the opening range and the extentions as a vertical bar with different colors. Maybe something similar could be done in NT to display the daily, weekly and monthly pivots on the same chart but by using three vertical bars. Maybe there is a better way too just thinking out loud.

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trendisyourfriend View Post
Fat Tails,

The most difficult task i have with pivots is finding a way to display them without making my chart looks too crowded with lines. There certainly must exist an elegant solution to display many lines without the trees hiding the forest so to speak. The Market Profile displays some of the lines like the opening range and the extentions as a vertical bar with different colors. Maybe something similar could be done in NT to display the daily, weekly and monthly pivots on the same chart but by using three vertical bars. Maybe there is a better way too just thinking out loud.

The indicators only display the lines on the right side of the chart. I guess that you cannot have the lines and not have the lines at the same time. What matters in the end is that they are correct.

Attached Thumbnails
Monthly Pivots Question-tf-06-11-3-min-26_05_2011.jpg  
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