monthly pivots

How about posting the monthly pivots on your fine web site?

I was just discussing that with Banchee in a related thread cgary. I am open to this sort of suggestion and can include it in the numbers. Question is, what numbers do you use to calculate the monthly pivot numbers? For example, what date ranges would today's figures come from?

Ok DT. Here are the monthly numbers on the TTM site FOR the month of Jan '07:

	ES	NQ	YM	ER2

Hi	1445.00	1848.75	12608	809.8

Lo	1399.50	1763.25	12194	780.6

Close	1428.50	1775.00	12539	794.9



R3	1494.67	1913.58	13114	838.8

R2	1469.83	1881.17	12861	824.3

R1	1449.17	1828.08	12700	809.6

Pivot	1424.33	1795.67	12447	795.1

S1	1403.67	1742.58	12286	780.4

S2	1378.83	1710.17	12033	765.9

S3	1358.17	1657.08	11872	751.2

I hope they turn out alright with text only format. I would assume that the Hi,Lo,Close are from the month of Dec '06. I'm just posting them for now and will look at the exchange sites for confirmation of these numbers before replying.

According to JC's book (which I had purchased), he uses the monthly Hi-Lo-Close of the continuous contracts (e.g. @YM, @ES, etc. in TS) for these numbers. I have confirmed this in my TS daily charts. Even though Dec '06 was a rollover month, the numbers are still valid for all 4 index futures mini contracts. So it's no mystery on the calculations according to TTM. I hope this helps.

It looks like the formula that he is using is a combo of Woodie and Classic. If you go to the Pivot Point Calculator and enter those numbers i.e. the high, low and close. Then select the Woodie group under the Quick Change Formula Set and then change the formula for the Pivot Point to (H+L+C)/3 and then click the Calculate button you will get the same results.

Banchee, the book you purchased by "JC", is that John Carter?

I don't think that it will be a problem publishing monthly pivots but we need a consensus on a standard. Using a continuous contract can't be right. Also, you usually don't have enough data in the new contract (after rollover) to look-back at least a month so I can't see any reason to use the continuous contract.

Next we have to decide the start and end dates for the "monthly pivot."

Here are some ideas:

Calendar Month
Are we going to start from the beginning of the calendar month and accumulate days? If we do this then the first day of the month will be using between 19 and 22 trading days of data to calculate the pivot points and the second day will be using just 1 day and be the same as the daily pivot.

20 trading day look back
This would have the benefit of always having the same number of trading days and would be up-to-date as it would include the previous day's data.

4 week look back
This could be further subdivided into a 4 week look-back starting from the previous trading session OR the previous week's last trading day.

I think that you understand the dilemma faced when expanding the figures that far back.

The question that really needs to be asked is which of those calculations (if any) provide the most consistent support and resistant values? i.e. Which ones work? I don't know of anybody that's done any research in that area (yet) and so can't comment.

What happened to the consensus issue on including Monthly Pivots on the Daily Notes page? My suggestion is the Calender Month pivot, first day to last trading day of month, taking high, low, close on last trading day of calender month. Why, because of the activity during the last few days of month and the beginning few days of month by fund managers. Makes logical sense to me. What am I missing here, seems straight forward to me. Anybody done any research to find out what time segment used by the majority? How about some feedback to settle this matter so can get the boss to include them in the Daily Notes?

The Monthly Accumulating Pivot (for want of better name) seems like a strange calculation to me. As I mentioned, the first day that it's available it will be the same as the daily pivot. If it starts on a Monday then the following Monday it would be the same as the weekly pivot for that day. You would be basing your "monthly" pivot levels off a daily, a daily/weekly hybrid, weekly, and then multi-week/day values to arrive at a figure that was always taking into account different number of days. I've never seen this used anywhere else in trading - i.e. where you have cumulative data feeding into an indicator. (Perhaps for this very reason it's a great trading secret )

I'd love to hear from just one person who uses monthly pivots and how they use them.

MarcoVest, how are you planning on using them? What type of trades will you take with them? Day trades or swing trades or longer term investments?