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Minetoo

Which Pivots???

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There is a lot of discussion on these boards regarding Pivot Point trading and calculation and the purpose of this thread is to come to some definitive conclusions about which Pivot Point calculator and calculation method is best.

There are four (4) PP calculators on this site alone and numerous other ones available elsewhere. My question is which one has the greatest validity? Does the user input session data or 24 hour data? Do you use the close or the settlement price? What about the vaunted and somewhat secretive 'floor trader' pivots? In sum, is there a consensus (and attendant back-testing) as to which numbers and which calculator works best?

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I personally use the regular ol' classic pivot calculations:

 

R4 = R3 + RANGE (same as: PP + RANGE * 3)

R3 = R2 + RANGE (same as: PP + RANGE * 2)

R2 = PP + RANGE

R1 = (2 * PP) - LOW

PP = (HIGH + LOW + CLOSE) / 3

S1 = (2 * PP) - HIGH

S2 = PP - RANGE

S3 = S2 - RANGE (same as: PP - RANGE * 2)

S4 = S3 - RANGE (same as: PP - RANGE * 3)

 

I use only the 9:30-4:15 session for my calculations, and find that they work perfectly well. I also use Market Profile "value area" pivots to trade from.

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I also prefer the classic pivots but I can't see the logic of using the 0930-1615 hours. It doesn't correspond with YM, DJ or NYSE open hours. I think it's best to use either the official YM high, low and close (or settlement) from the CBOT website or use NYSE hours (0930-1600).

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ime, with YM - the 24 hr session is superior (price respects these pivots) more than the day session. again, just my experience.

 

i also find that YM more frequently "respects" floor trader pivots vs. ES. i have no idea why

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That's my experience too dalby. Mypivots.com uses the 24 hour ECBOT session with the 1615 settle price as the close. Using the 1700 close is also an option. Definitely there are sometimes highs and lows in the electronic-only session that you don't want to exclude from your pivot calculations.

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forgot to mention...

 

i've noticed also that the pivots calculated using the SETTLE price (which is sometimes different than the close) are usually better respected.

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Hello,

I would like to share my view on pivot point. In Indian Market 2nd Pivot level works better in both side. Yet my logic says one should not work blindly only on pivot levels. I think other parameters,tools will add up confidence.

Say if a got a Fibbonacci level coinciding with any of the pivot levels, in some case it might give me confidence on the level. Thanks & Pls give me your feedback.

 

Anik Mitra

Kolkata,India

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What Tin Gull said :) traditional ones 'work' just fine. Sometimes on the DAX they are almost magical. Of course at other times when business is slow they are chopped from side to side as stops are run and traders lured in. Actually this can be the case with any well known line or formation, if there is no underlying order flow the fakirs come out in force :)

 

Cheers,

Nick.

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What about tight, range-bound days (aka 'chop' or 'random rotational days') when the price action doesn't even come near the pivot lines? Are they just discarded on these days and some other strategy employed?

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At least one pivot usually comes into play but they're not the holy grail. You need to look at other sources of support and resistance like previous highs/lows, fibs and value area levels.

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I use the values from the daily chart which should be 24h high/low and the settlement price should be the close. So for YM On tradestation I use the data from the previous day on a daily @YM chart to plot on my current intraday chart using my own indicator, which can be downloaded from the indicators forum. I use the 'standard' formula.

 

I use these calculations from experience as they have proven to be the most respected by the market on the YM, ES and DAX.

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What about tight, range-bound days (aka 'chop' or 'random rotational days') when the price action doesn't even come near the pivot lines? Are they just discarded on these days and some other strategy employed?

 

On those days it will often chop around the PP itself. Halfway points are often respected too. The problem often comes after a wide range day - the lines for the next day are going to be spread out (due to the geomatory behind the maths). After such a day you may get a narrow consolidating day (or 2) in which case you may not hit much.

 

Really there is no substitute for eyballing the charts yourself and seeing what works (or not) for your favourite instrument.

 

Cheers.

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Greetings.............

while we are on the subject of pivots.........

 

Is it possible to use pivots for longer time frames; over days or weeks.

 

Can I use a monthly bar to calculate the pivots for the following days and weeks of the next month ?

 

Do I use a weekly bar for the following days for the following week ?

 

How would pivots be used for short term (days) or even weeks.

 

I'm not sure how things would scale for different time periods. One day trading day in the stock market contains approximately 78 five minute bars and the pivots for this day are calculated from the previous day with a ratio of 78:1.

 

thanks,

 

//michael

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yes, many people (myself) included use monthly and weekly pivots.

 

needless to say, these are much wider between levels than daily pivots, and often don't come into play.

 

i love confluence. like when a daily pivot, a weekly pivot, and a market profile level (like a virgin POC) all come together.

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Guest cooter

I'm not sure how things would scale for different time periods. One day trading day in the stock market contains approximately 78 five minute bars and the pivots for this day are calculated from the previous day with a ratio of 78:1.

 

BTW - Many of us trade the indices using the 9:30-1615 timeframe on the futures contracts, yielding 81 five-minute bars over a 405 minute timeframe.

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