[notouch]

It seems to me that YM pivot points have been fairly useless in this whole uptrend. I can recall only a few days in the past few months where a pivot point has given a decent trading opportunity. I hardly even look at them any more and instead concentrate on previous highs/lows, high volume zones, fibonacci retracements and Market Profile. I think pivot points are more suitable for ranging markets. Weekly pivots on the other hand have been fairly useful.

[nosast]

Hmm, i found them really useful today. I attached a chart showing the pivots. Yellow is the Daily Pivot, Magenta are the Resists and Green the Supports.

I marked some good trading opportunities with the white arrows. Unfortunately i took only a few of these trades

[notouch]

Maybe today was the exception...

The 13,500 level was a round number, the next resistance was the gap fill, then yesterday's high then the all-time high. It seems we had some nice confluence with pivots today though.

[nosast]

You are right notoch... 13500 was a round level in line with the daily R1, 13547 was the gap close level from yesterday and the big gap a few days ago in line with the daily pivot. I am looking for such important levels where more than one support or resist is near the other. James calls them "Clusterzone". Trades initiated at this lines have high odds... Also i am not taking these levels "blind" - i will wait for a small reject when fading or a pullback when trading the breakout.

[jperl]

While we are on the subject of pivots....
here is the same YM chart from May 30 (233 tick chart) with my pivot lines on it. Unlike standard pivots which are fixed in cement for the day, these pivots change as the price changes. They are natural pivots in the sense that they are independent of the type of chart you use them on (tick, time, range etc).
Anybody recognize what they are?

[walterw]

Originally Posted by jperl »

While we are on the subject of pivots....
here is the same YM chart from May 30 (233 tick chart) with my pivot lines on it. Unlike standard pivots which are fixed in cement for the day, these pivots change as the price changes. They are natural pivots in the sense that they are independent of the type of chart you use them on (tick, time, range etc).
Anybody recognize what they are?

they look like a VWAP for the day with some kind of atr applied on bands, could that be it ?

[jperl]

Originally Posted by walterw »

they look like a VWAP for the day with some kind of atr applied on bands, could that be it ?

Very good walter. The blue line is indeed the daily VWAP, the green and red lines are the 1st, 2nd, and 3rd Standard Deviations of the VWAP. Taken together, they form a natural and convenient set of pivots from which to enter and exit trades. These pivots do not depend on the type of chart you use to display them. So for example if you start the VWAP computation say at the open of the day, then the pivots look the same on a 1 minute, 2 minute, 5 minute etc chart.

I use these plus the weekly, monthly and yearly VWAP data for all my trades.
JERRY

Originally Posted by jperl »

Very good walter. The blue line is indeed the daily VWAP, the green and red lines are the 1st, 2nd, and 3rd Standard Deviations of the VWAP.

Jerry,

In your experience with these "Natural Pivots", does price ever stay above/below the 3rd standard deviation of the VWAP for an extended period of time, or does it tend to revert and regress back towards the mean?

Also, does it matter whether the VWAP resets at midnight or the beginning of RTH (Regular Trading Hours - e.g. 9:30 ET for the US Indices).