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:
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.
Last edited by Fat Tails; May 26th, 2011 at 09:12 AM.
The following user says Thank You to Fat Tails for this post:
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.