Did you know that if you calculate Wide and Narrow pivots for the ETH and RTH and find the standard deviation for S1+S2+S3+S4+PIVOT as well as R1+R2+R3+R4+PIVOT for both types of pivots and calculate the average of all four results you get the range between the high and low of the ETH and RTH.
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If you look at the CME Holiday Calendar for Columbus Day, there is no two-day-session. Friday's trades were for trade date Friday, Oct 8 and Monday's trades were for trade date Monday, Oct 11. Docoument attached: CME Columbus Holiday Schedule. Also you will find a settlement price for Friday, Oct 8 and for Monday, Oct 11.
For any public holiday you need to consult the CME Holiday Calendar. For some of these days, such as Columbus Day, there are regular sessions. For others such as Labor Day all trades executed during the holiday are for trade date next day. I have preconfigured the SessionPivots indicator for NT7 to detect these holidays. See screenshot below. The old CMIPivots indicator for NT 6.5. cannot do that. There are six 2-day-sessions during the year which apply to CME/CBOT/NYMEX.
ICE does not have 2-day-sessions, so TF has 6 additional daily bars per year when compared to ES.
For Labor Day, which was a Monday with Trade Date Tuesday, I would proceed as follows:
- Monday's ETH (RTH) pivots are calculated from Friday's ETH (RTH) high and low
- Tuesday's ETH (RTH) pivots are also calculated from Friday's ETh (RTH) high and low
- Wednesday's ETH pivots are calculated from the 2-day-session's (Monday and Tuesday) ETH high and low
- Wednesday's RTH pivots are calculated from Tuesday's RTH high and low.
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The midline of the pivot range is the main pivot PP. Than you look for yesterday's midline (high + low)/2 and mirror the midline around the main pivot. The resulting line is PRL.
The concept of the pivot line ahs some interesting aspects:
(a) First both main pivot PP and midline act as support or resistance, so if price reaches the pivot range it is likely to reverse at least a bit
(b) If yesterday was a balancing day, main pivot and mindline are close together, so the pivot range is narrow. A narrow pivots range means indecision. If yesterday was an uptrending day, the main pivot PP is further away from the midline, so the pivot range is wide. If the pivot range is wide, which means that yesterday was a trending day, you expect a balancing day for today. It is therefore likely that the PRL will be hit, when price tries to explore the new value area between yesterday's close and today's pivot.
(c) The three day pivot range is a more flexible tool than the balance point. If prices are above the 3-day-pivot range, this is bullish. You can download the SessionPivots Rolling indicator to display it.
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