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Weekly pivot influence on first trading day


quote:
Originally posted by BruceM

...I have a friend who will only trade in the direction of the weekly pivot on the first trading day of the week....he uses it like a magnet...so for today he is only taking longs......his is by observation

I'm curious about testing the general theory of this. I'm typing as I think...

If we took the week's first trading day's opening price and measured the number of points that it traded in the direction of the weekly pivot point and also the number of points it traded away... We might be able to measure a statistical deviance in the direction that it trades. Problems with this theory are (1) the market has an upward bias in the long term (i.e. not symmetrical (2) Market Profile theory can replace this because we are probably trading towards the weekly Point of Control which is likely to be near the weekly Pivot Point.

Testing is difficult because we need to compute the first trading day of the week in case it is a holiday and also count the number of trading days in the prior week in case of holidays. For example, last week we had 3 trading days in the E-mini S&P500 because of Gerald Ford's day of mourning. This was an unexpected holiday that is not on the calendars.

What I am thinking of is running a test to see if a rolling 5-trading-day pivot point has any influence on the direction of trade for any particular day-of-the-week. For example, are Monday's more likely to be days where the price is "drawn to that pivot like a magnet" rather than any other day of the week. That should be easier to test...
This was a fed day today and the market came back from 1482.50 and took out the double bottom at 1461.25 and traded to 1460.75.

The weekly pivot is 1458.33 so adding 2.5 points gets you to 1460.83...perfect hit and a rally back up to new highs as I type this.....currently 1488.25...wow!! This increased volatility will force the one point stop vendors to re-write their work!

Just for reference!

Bruce
They brought it back down to the weekly pivot from a gap higher open today..( Monday).so far they have been able to bring it only 2.5 points below the pivot into the 1462 area as I type this
market traded back to the weekly pivot last week but MISSED it the week before.....
Thanks Bruce - and my apologies for not entering it last week as I'd promissed I'd do for you and then completely forgot.
They did it on Friday this week
they did it on Tuesday this week
they hit the weekly pivot on Monday this week
They hit the weekly pivot on Tuesday this week. I thought it was interesting how we gapped lower from yesterdays close today and traded through the weekly pivot in the overnight session. Then the day session started and they brought it back up to the pivot and further. I'm liking the 5 point levels off the weekly pivot more and more with this increased volatility.

Bruce
no weekly pivot hit this week but they came within 2 points of it in the overnight session.....does this mean it should trade back to it this coming week? Haven't had back-to-back misses ...YET
This is definitely interesting. Do you have historical data compiled in some manner that is available for viewing?
Absolutely! The past 4 months has enabled me to collect some good data and I will continue to do so. Very good exercise!