Manfred Veteran  Posts: 210 Joined: 4/2/2006 Location: South Africa  User Profile | When it comes to pivot calculations what is the preferred approach to calculation by those in the know? Lets use weekly floor pivot levels as an example. Does once calc based on the HHV, LLV etc between Monday and Friday, over the 5 days or Does one simply go to the most recent week's close and then calculate pivots in 5 day lookbacks backwards from there to get the trading levels for the current week? Under normal circumstances the two ways are synonymous, but what does one do if there is a public holiday or some other reason that there were only 4 trading days (or less that 4 if > 1 non-trading day) in the week. Do I then calc from Monday to Friday, if say Tuesday was the holiday - and the calc would simply be based on 4 bars or would one ignore the holiday and stick to a 5 day lookback, so in the example given I'd calc using data from Friday back to Monday and since the Tues bar does not exist, the 5th bar back would be last week Friday so that would now be included in the Pivot calc. My problem is OT is I can use either method but the one based on dayofweek() is not foolproof because I'm snookered in my code if Friday is actually the non-trading day so b4 I re-invent the wheel for the umpteenth time I'd like to know which method of calc floor traders actually use in the real world. Thanks [Edited by Manfred on 4/3/2007 10:42 AM] | |
