Rolling Pivots Daily

The rolling daily pivot was suggested as a trend filter by Mark B. Fisher in his book The Logical Trader. By taking the highest high, lowest low of the past N-days and the close/settlement of the current regular session, we arrive at the rolling pivot levels.

Indicator Description

If the market trades above the rolling daily pivot, we’re in an uptrend, if it’s below, we’re in a downtrend. The ideal trade entry will be in the direction of the major trend when the market retraces towards the daily rolling pivots value area, typically represented by a 3 day rolling pivot range, i.e. the Directional Pivot (DP), Central Pivot (CP) and the Main Pivot (PP).

The indicator is available for NinjaTrader 8.