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Pivot Point Calculation
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Pivot Point Calculation

  #41 (permalink)
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Slipknot511 View Post
Personally, I just use the figures from mypivots.com each day.

If you use the SessionPivotsV23 Indicator in DailyBars/Wide Pivots mode with Kinetick data, you will mostly get the same values. Except when www.mypivots.com are wrong.

Today they still show pivots for September corn, rollover was over a week ago.

You could save some time for nothing.

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  #42 (permalink)
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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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  #43 (permalink)
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trendisyourfriend View Post
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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I certainly did not know that. But as the range is used as an inout to calculate the pivots , it is not astonishing that once you perform some calculations on the pivots that it reappears as output!

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  #44 (permalink)
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Daily Pivot Range Formula

For the posterity, the formula for calculating the Daily Pivot Range:


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  #45 (permalink)
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trendisyourfriend View Post
For the posterity, the formula for calculating the Daily Pivot Range:


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Correct.

The SessionPivotsV28 indicator has the range. The lines are MediumSpringGreen and labelled Y-Mid and Y-PRL. You can change the colors or the labels.

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  #46 (permalink)
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Fat Tails View Post
CME and NYMEX

All trades made on Sunday evening and Labour Day are for trade date Tuesday, so there is no session close on Monday.

NinjaTrader does not allow to enter holidays in the session manager, so it will display false sessions. This happens five times per year.


Floor Pivots (ETH)

For CME traded instruments this is the way to calculate correct floor pivots:

Monday's pivots are calculated from Friday's high, low and settlement price.
Tuesday's pivots are calculated from Friday's high, low and settlement price.
Wednesday's pivots are calculated from the high and low of the Monday/Tuesday two-day-session and Tuesday's settlement price.

For further information see CME Holiday Calendar.

What about the correct floor pivots for Tuesday October 12, 2010 ? Should the pivots calculated from the high and low of the Friday/Monday two-day-session and Monday's settlement price ?

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  #47 (permalink)
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trendisyourfriend View Post
What about the correct floor pivots for Tuesday October 12, 2010 ? Should the pivots calculated from the high and low of the Friday/Monday two-day-session and Monday's settlement price ?


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.

Attached Thumbnails
Pivot Point Calculation-2010-columbus-day.pdf   Pivot Point Calculation-cme-holidays.jpg  
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  #48 (permalink)
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Fat Tails View Post
Correct.

The SessionPivotsV28 indicator has the range. The lines are MediumSpringGreen and labelled Y-Mid and Y-PRL. You can change the colors or the labels.



Hi, thanks for your work, great pivots indicators. Can you please tell me what PRL stands for? Thank you

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vikstock View Post
Hi, thanks for your work, great pivots indicators. Can you please tell me what PRL stands for? Thank you

I still wanted to write a documentation how to use the pivots....

PRL stands for pivot range line. The pivot range is a concept that was used by floor traders.

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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  #50 (permalink)
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Fat Tails View Post
I
(b)...If yesterday was an uptrending day, the main pivot PP is further away from the midline, so the pivot range is wide.

It will be interesting to watch tomorrow as today produced a large pivot range of 3 points.

On the ES Tuesday Nov 09, 2010: (ETH = RTH today)

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