follow those, which would be thesame as succumbing to crowd mentality. Some traders and technical analysts use various ways to calculate moving averages, such as the simple, theweighted, and the exponential. I prefer the simple moving average and adifferent set of values for my moving average, namely the pivot point.
THE SIMPLE MOVING AVERAGEThe simple moving average (the arithmetic mean) is the most popular moving average used in technical analysis. The simple moving average is thesum of the closing prices over a period of sessions divided by the numberof sessions. For example, a 10-day moving average would be the sum of thepast 10 days’ closing prices divided by 10. Each new day would drop thefirst day’s closing price and add the new day’s closing price. As new data isadded to the calculation, old data is removed. By averaging the price data,a smoother line is produced, and the trend is much easier to recognize. Thedisadvantage of the simple moving average is that it only takes into account the time period of the sessions covered in the calculation and that itgives equal weight to each day’s price.In Chapters 4 and 5, we covered the pivot point formulas and the significance of pivot points as support and resistance. As you will recall, thepivot point calculation provides the mean (average) for the session’s trading range, or high, low, and close: (H + L + C)/3.This moving average section discusses how the moving average helpsclarify the market’s price flow by extending price analysis over a certain period of time. In this manner, moving averages can accentuate when a market enters an extreme condition by how far it departs from the mean. Priceaction either will move toward the moving average or will return to themoving average to retest that level.The “Market Direction” number that was shown in the Excel sheet inFigure 5.8 is a combination of the use of price session information (pivotpoint number) over a period of time (moving average). The market direction number utilizes cumulative data from the high, the low, and the closefor a session. This information provides a clear picture of the “average trueprice” for that time period. The market direction number is then calculatedby taking the average pivot number from the past three periods. Any timeframe can be utilized to calculate the number. However, the longer the timeframe, the more significance the number will hold. To calculate the marketdirection number, add three pivot points from the same session, and dividethe sum by three. The purpose of using the pivot point in the moving average calculation is that the pivot point will show the continuance of thetrend.
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Market Direction =
Pivot + Pivot + Pivot3
As stated previously, the market direction number, which is a three-period pivot point moving average, can act as a support number in bullishconditions and has a high degree of importance when one of the pivot pointcalculations for the current session coincides with or is near that number.The market direction number holds true as a resistance number in a bearmarket condition. If another number coincides with the market directionnumber, such as the actual pivot point or an R-1 (resistance level one)number, then it would serve as the target high number for that specific timeperiod. Another way of using the three-period pivot point moving averageis as a point of reference or fair value. For example, when the market pricedeparts, or deviates, too far from the mean, then you can use the extremeresistance or support number, such as R-2 or S-2 (support level two), orthe farthest target number of that direction, as a potential turning point.When various time frames are incorporated into the analysis (daily,weekly, and monthly), there is more certainty that the target price level cangenerate the anticipated reaction. If the market gaps too far from the dailypivot point moving average, use the monthly and/or weekly target supportand resistance numbers to help identify a targeted reversal support or resistance point. Figure 6.1 shows a spot foreign exchange (forex) Britishpound daily chart with the three-period pivot point moving average overlaid on top of prices. Notice that as the market changes conditions frombearish (downtrend) to bullish (uptrend), prices bounce off the moving average as a support line and then trade off the moving average as it acts asa ceiling of resistance. If you notice the price action from November 15 toNovember 25, you will see that the market entered a consolidating phase asprices moved above and below the moving average. The moving averagewent virtually in a flat line with a bias to an upside slope. This was hintingthat prices were getting ready to change direction. When you watch themoving average in relation to the underlying price action, sometimes youcan get clues as to the true market price direction using the pivot pointmoving average. Due to the weighting of the high, low, and close combined, the moving average factors in the typical price of that time period,thus giving a better gauge of market value. If the close is closer to the high,the average will be at a higher assigned value. Using the three-period pivotpoint will help you filter out much of the market noise and will give you atruer sense of the market’s fair value within the price range of the pastthree trading periods.At times, the slope, or angle, of the moving average can give you a clueas to the market’s true strength or weakness, especially when combined
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FIGURE 6.1Used with permission of esignal.com.
with candlestick charting. The slope helps filter out the noise, and you cansee if the market’s value is progressively appreciating or depreciating.When a market goes from the trending phase into the consolidation phase,it is the slope of the pivot point moving average that can help you identifythe potential price direction the market makes next from the consolidatingphase, such as if the market will make a continuation or a trend reversalmove. For added clarity, when combined with identifying a high-probability bottom or top-forming candle, you have added confirmation of a potential move.In Figure 6.2, the graph shows a representation of a pivot point movingaverage in a declining trend phase. Then as prices consolidate as the pivotpoint average measures the typical price rather than the close, we can determine what the true market value is and which way prices tend to bemoving. Markets sometimes demonstrate extreme volatility at turningpoints, and the moving average approach can help filter out the noise inflicted by wide price swings. These swings often lead to confusion orworse—traders getting whipsawed, causing loss in trading equity.
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Moving averagewith a higher slopeindicates a bullish bias.
FIGURE 6.2
As the moving average slopes up, it indicates that the market values arealso tending to trade higher. Eventually, we see a trend reversal, which iswhat the direction of the moving average indicated.In Figure 6.3, let’s look at a five-minute chart on the Chicago Board ofTrade (CBOT) mini-Dow contract. Just to clarify, the minimum tick fluctuation is a one-point move, and every point is worth $5. So the overall contract value is $5 times the index. If the Dow is at 10500, the contract valueis $52,500. This may not make sense now, but as you read the book further,you will understand what the low close doji sell signal is about and what thespecific rules are for entering on this pattern. For purposes of illustratingwhat phase a market goes in and how the pivot point moving average canhelp you follow a market, let’s look at the sequence of events:• The market develops into a downtrend.• At the bottom, a bullish reversal candle pattern forms.• Prices start trading wildly, but the moving averages (M/As) are slopinghigher.• The market reverses and then goes into a sideways channel or consolidating phase. (If you examine the pivot point moving averages, youwill see they were pointing higher while prices were in the congestionphase.)• Prices finally break out and continue the uptrend.
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FIGURE 6.3Used with permission of esignal.com.
This chart was from 2/10/2006; prices went on to trade that day as highas 10963. The moving averages did alert you to the internal strength, and theprice direction did continue higher—a pretty good method for getting aclue to the market’s next move.In Figure 6.4, we have the CBOT mini-Dow contract, which shows thatthe market was coming out of the congestion, or consolidation, period inlate October. The three-period pivot point moving average was also flatlining with an upward slope in the direction of the moving average. Once themarket made a break for it by establishing the uptrend, the average helpedidentify the trending condition. As the chart illustrates, the pivot point moving average actually hugs the market’s lows when in an uptrend and thehighs in a downtrend. It also helps to identify the conditional changes whenthe market makes reversals.This moving average approach works just as well for active day tradingmarkets, such as the e-mini–Standard & Poor’s (S&P) shown in the 5minute chart in Figure 6.5, as it does for swing or position traders. Thismethod can help active day traders to see and to confirm changes in priceconditions, such as when the market is in a consolidating period to trend-
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FIGURE 6.4Used with permission of esignal.com.
ing mode. Notice how the moving average acts as a support once the market starts the breakout in the uptrend.The three-period pivot point moving average works as a tool to confirmtriggers and exits by price action closing above or below the moving average pivot line. In Figure 6.6, we have a 15-minute chart on the spot forexJapanese yen currency. As the market forms a bottom at 9:00 A.M., noticehow the moving average shows a cup formation and that the price of themarket closes above the moving average. This gives us a clue that the market is starting to change from a bearish trend condition to a consolidatingphase and that the market is starting to move into a reversal of the currenttrending condition. As the market starts to establish higher highs andhigher lows, it also is closing above prior highs and, most important, closing above the three-period pivot point moving average. Now the averagestarts to act as a support target until prices reach the top, and the movingaverage starts to flatline again as prices go into another consolidatingphase. The Japanese yen chart provides a good example of a high closehammer trigger, confirmed by the price closing above the moving averagepivot line.
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FIGURE 6.5Used with permission of esignal.com.
TRADING TRIGGER STRATEGY• After a Downtrend. If the price closes above the moving average (M/A)and above the prior time period’s highs, with a sequence of higher highsand higher lows, enter a long position, as the uptrend is now confirmed.You will want the moving average to have formed a flat line or a highersloping angle. Place a stop below the lowest low point.Closing Price > M/A = Go long or exit shorts• After an Uptrend. If the price closes below the moving average andbelow the prior time period’s lows, with a sequence of lower highs andlower lows, enter a short position, as the downtrend is now confirmed.You will want the moving average to have formed a flat line or a lowersloping angle. Place a stop above the highest high point.Closing Price < M/A = Go short or exit longsWhen trading based off the market direction number or three-periodpivot point moving average, there is no need to wait for the value of the
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FIGURE 6.6Used with permission of esignal.com.
moving average to start rising or falling to determine the trigger to enter themarket. A close above the moving average will trigger a long position, anda close below the moving average will trigger a short position. However,you want to see the moving average values follow the direction of the pricemove in the desired trade.
CONDITIONAL OPTIMIZED MOVINGAVERAGE SYSTEMThe Conditional Optimized Moving Average System™ (COMAS) incorporates the pivot point moving average approach with another variable.This method combines two moving averages. The resulting system providesa powerful crossover trigger to enter the market as well as an indicator ofthe move’s strength with the slope and the difference, or separation, of themoving average lines.A crossover provides both the entry and the exit signals, in addition toa set of rules or conditions. This system works on any time frame, five min-
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utes and greater, and in any high-volume market. It is an excellent shortterm trading method for highly liquid markets such as forex, for certain futures markets, and for stocks that have ample trading volume. Onevariation of what I use in my trading library with the Genesis Software andteach in our Trading Triggers University is the one-period pivot point withthe three-period moving average of the pivot point. There are other combinations you can use, such as a five-period pivot point moving average of thepivot point with a two-period simple moving average of a close. I test various time periods and variables for my parameter settings because of thevarious conditions each market has. After all, bonds move differently thanthe e-mini–Standard & Poor’s (S&P) 500, the mini-Dow, the Russell, or theNadsdaq does. You may agree that forex currencies move differently thanindividual stocks. The bottom line is this: I use the two moving average values to help me identify a shift in momentum of the market; and then as theconditions change, such as a close above or below the values of both moving averages, I use the pivot point filtering method to help me identify a potential profit target.For the purposes of this book, let me show you how to integrate thepivot point with the three-period moving average of the pivot point. InChapter 5, I disclosed how to filter the pivot support and resistance levelsby labeling the market condition as neutral, bullish, or bearish. You can alsochart and track the conditional change of the market by plotting the directional change in the two moving average settings. Figure 6.7 shows bothmoving average values declining; but as the pivot point crosses above thethree-period moving averages, it alerts us that the internal market conditionis changing to bullish. Once both moving averages start to point up and thepivot point is above the three-period pivot point average the market condition confirms we are in a bullish trend. As a general rule, a trader wouldlook to buy from an area of support in a market that is trending upward(buy pullbacks).Figure 6.8 shows a five-minute chart on the e-mini–S&P 500 futures. Inthe preopen outcry session around 8:00 A.M. (yes, you can trade preopenoutcry session), notice that the market is trading sideways and that themoving average values are as well. Then by 8:30 A.M., the market turnslower and goes into a congestion phase trading sideways until 9:45 A.M. Thetall white candle closes above both moving average values and above theprior time period’s high (which was a hammer pattern). As the marketstarts to move in a bullish trend mode, focus on the action of the moving averages in relation to prices. The pivot point is above the three-period moving average pivot point; and there are higher highs, higher lows, and higherclosing values above both moving averages and past highs. This series ofconditions continued until after the top was formed by a shooting star at10:15 A.M. The trigger to go long occurred after the breakout of the sideways
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FIGURE 6.7
FIGURE 6.8Used with permission of esignal.com.
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range at 1282.25 and after the trigger to exit the trade was initiated at 1288.This was a 5.75-point gain per contract. The focus is that prices tradedabove both moving average values and that the three-period pivot pointmoving average acted as support all the way up. Both moving averageswere moving in tandem with each other, and the slope of both averages waspointing in the direction of the trend.
TRADING TIPSThis is an important point, so let me reiterate—What helps indicate thestrength of a trend when you use two or more sets of values for your moving averages are:• The slopes of the moving averages are both pointing in the direction ofthe trend.• The moving averages have a good degree of separation or are equidistant from each other, which indicates a steady trending condition.• The moving averages are trending in tangent or are parallel with eachother, rather than one significantly outpacing the other.• If the shorter-term moving average separates or moves too far awayfrom the longer-term moving average, then there is a potential for anoverbought condition. Traders should start looking to liquidate half oftheir positions.• When a crossover occurs, traders should liquidate the entire positionWe have not yet covered candle patterns, an integrating component ofthis trading method. Most traders have a basic understanding of candle patterns, and I do go over the more frequent and recurring ones. By now youmay have seen dojis, shooting stars at tops, and hammers at bottoms in thisfirst section of the book. There is a good reason for that, which we willcover. Right now, let’s focus on the moving average components.Figure 6.9 is a 5-minute chart on the CBOT mini-Dow looking at thesame time period as the e-mini–S&P in Figure 6.8. Notice the coincidencefactor as both markets form similar patterns at the same precise moment. Ibring up this point because it is important that as a day trader you followlike or similar markets to see if there is confirmation throughout the sector.Besides, if one market rallies, it is likely that the other market will rally aswell. All 30 stocks in the Dow are traded in the S&P 500. Therefore, theycan be considered like, or markets that will trade in tandem with eachother. One market may develop a specific pattern that is more pronouncedthan a pattern in the other market, and you can trade one market based on
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FIGURE 6.9Used with permission of esignal.com.
a signal from the other. Notice in Figure 6.9 that the Dow made a lower lowon that day and was formed by what I call the jackhammer pattern, whichI will cover later.Watch the relationship of the moving averages. Once the long whitecandle formed after the hammer, which is the candle that made the lowestlow point in the market, the tall white candle closed above both moving average values and above the hammer candle’s high. As prices started tomove in a bullish trend, focus on the action of the moving averages in relation to prices. The pivot point is above the three-period moving averagepivot point; prices form a sequence of higher highs, higher lows, and higherclosing values above both moving averages and the prior time period’shighs. This series of conditions continued until after the top was formed bya shooting star around 10:15 A.M. in conjunction with the mini-S&P. Thetrigger to enter a long occurred at 10845 until the first lower closing low, orconditional change, occurred when prices closed below prior sessions’lows and below the moving averages at 10895—a nice clean 50-point tradein the mini-Dow, or $250 per contract in less than 50 minutes.In Figure 6.10, let’s go over what the 15-minute chart on the spot forex
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FIGURE 6.10Used with permission of esignal.com.
yen looks like with the COMAS method. If you look at the candle before 10A.M., you will see the moving average values actually crossed over first, before the long white candle formed after 10 A.M. This gives an early warningand indicates that there is a bullish bias. Keep in mind that it happened before the price action confirmed a bullish trend with the sequence of higherhighs, higher lows, and higher closing highs. This feature allows you tohave an early warning system in place that helps spot directional trendchanges. Look at Figure 6.11 with the daily chart on the spot forex Britishpound. As you can see, the moving average crossover that occured on November 25 foretold of the bullish trend reversal that carries the marketfrom the 1.71 level all the way up to the 1.77 area. In that trend run, you willsee how the moving averages both lined up and acted as support. By thetime December 15 rolled around, see how the moving averages cross backdown, giving you an early warning that the trend was in jeopardy; and sureenough, a bearish reversal occurred. From the peak made in December, wesee that the market declined, which triggered a sell signal when the pivotpoint crossed beneath the three-period moving average. That not only indicated a major bearish reversal but also showed that the three-period pivot
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FIGURE 6.11Used with permission of esignal.com.
point acted as a resistance line all the way down as prices kept in the bearish sequence of lower highs, lower lows, and lower closing lows. There isone more element to that sequence, which is that a dark candle representsthe market closes below each time period’s open. Keep that in mind whenwe go over candle patterns in Chapter 7.As illustrated in Figure 6.12, the COMAS method can work in helping todetermine changes in market conditions from a consolidating phase to abullish uptrending phase and then back to a downtrending, or bearish, condition phase. This graph illustrates a bearish conditional change in the market once the pivot point crosses beneath the three-period moving averagepivot point. Once you have identified that a bearish condition exists, thenyou can trigger a short position. As a general rule, a trader should look tosell from an area of resistance in a market that is trending to the downside;that is, sell rallies. A trader wll see more profits in selling rallies than in buying breaks in declining or bearish trending markets.In trading, as in life, timing is everything. There is nothing more frustrating to a trader than to correctly analyze the market, correctly predictthe direction of the trend, get stopped out due to a premature entry, and
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FIGURE 6.12
then watch the market move in the originally predicted direction. As we alldetermine early in our trading careers, being correct about the direction ofthe trend is not enough. We must also be able to anticipate when the market is setting up to trigger an appropriate entry into the market. The pivotpoint combined with a moving average of the pivot point is one method thatcan help you successfully identify when a conditional change may occur inthe market.Let’s look at Figure 6.13, which is a 15-minute chart on the spot forexBritish pound. Notice the period after the long white candle at approximately 9:00 A.M.—prices go in a sideways mode or consolidation phase.The moving averages also flatline with a bias toward a downward slope.The crossover occurs, followed by a lower closing low, a lower high, and alower low; and the close is below the open. In addition, the price is closingbeneath both moving averages; and, most important, the three-period pivotpoint moving average acts as resistance, all the way down, until the marketmoves into a consolidating phase.The concept of incorporating pivot point analysis with a moving average approach will give you a testable, mechanical, systematic approach totrading. In order to execute a trade, you need to have specific elementsoccur. Knowledge of these elements will arm you with critical informationthat can help provide you with protection from overtrading and from suffering from emotional pitfalls.
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FIGURE 6.13Used with permission of esignal.com.
1. In order to execute a trade, you need to see a change in market direc-
tion and commitment from the market to illustrate a change in marketdirection by closing above or below the moving averages.2. You need to follow some simple rules, such as take buy signals at support and take sell signals at resistance.The importance of this trading method is that you must be able to applythe techniques on a consistent basis that allows you to make decisions in amechanical and nonemotional way. A common mistake that traders makeis that they do not test a strategy to make a logical determination aboutwhether the strategy is viable for their trading style. Many traders adopt anew strategy, trade with it immediately, and start tweaking different components of the strategy. Then they decide that there is no merit to the strategy, since it is not profitable, and begin looking for a different strategy. Amuch better approach is to establish a defined set of trading rules and testthose rules until an outcome is determined based on a reasonable numberof trades. Patience to wait for triggers and not act on the anticipation of anoutcome and discipline to follow through with that trigger are a must if youare to be successful. These character traits can be learned and developed
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by implementing this methodology. It is what I teach students and otherhighly successful professional traders.When the price target has been met and the trigger has presented itself,enter the trade without hesitation. Do not think about the entry; this is amechanical process. You have already done your homework, and you havesatisfied your criteria. Your system is in place, and this is part of the system.If you do not place the trade when the trigger executes and confirms, youare not trading according to your plan. Successful traders have the courageto act and act promptly. It is important to recognize the immediate environment or market condition. Is it up, down, or sideways? After a trend isestablished, let’s say a bullish trend, it should consist of higher highs andhigher lows; each period should close above the open, and we should seehigher closing highs. The pivot point moving average should help verifythis condition. In a bearish trend, we would want to see lower highs andlower lows; each period should close below the open of each period. Underthese circumstances, the pivot point moving average should confirm thismarket condition as well.Traders need to identify themselves, which will help them know thetime frame to follow in a trending market. Are you a day trader? Are you aswing trader who may be in a position that lasts two to five days? Or areyou a position trader? Once you acknowledge what your time objective is,you can narrow down your goals and your expectations for the trade. Forexample, when I am day trading, I will generally be able to identify what theaverage range for a day is; I will expect that if I miss 20 percent of the bottom and 20 percent of the top, while waiting for a moving average crossoversignal, then I can expect to only capture 60 percent of the average dailyrange. Perhaps this can be achieved only once or twice a day.
HOW DO I START?First, I need to structure my computer and my charts to a format that isconducive to day trading. For stock index contracts, I watch two “like” or“tandem” markets in two time periods. These are the CBOT mini-Dow andthe e-mini–S&P. Lately, due to client requests, I have been alerted to trading the Russell 2000 and the German stock index Deutscher Aktien Index,known as the DAX. The DAX, an index portfolio of 30 German blue-chipstocks, opens at 3 A.M. (ET) and closes at 11 A.M. (ET). (On a side note, asof October 2006, the DAX, based in Frankfurt, Germany, will start accepting non-German companies. In order to qualify for the Index, foreign companies must conduct their operations in Germany.) The DAX 30 actuallytracks close to moves in the S&P 500 futures. In spot forex, I use the euroand a like market, such as the British pound and the yen.
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For day trading, I use the 5- and 15-minute time periods. All of my chartscreens look the same: The 5-minute e-mini–S&P and the mini-Dow are onthe top, and the 15-minute S&P and mini-Dow are on the bottom. All mychart pages are set up this way; therefore, all chart pages are synchronizedso that I do not watch different time periods when switching from onescreen to another—I have a uniform setting.• I find the most reliable day trade signals are confirmed in the 15-minutetime frame and triggered in the 5-minute time period as well.• When both time frames are in sync with each other and when like markets have similar signals, this generates a higher probability trigger.As I stated earlier, the parameters I use in this book are a variation ofwhat is programmed in my proprietary library with Genesis Software. Thisis a system that generates buy and sell signals based on the principles wehave gone over in the book so far. More information on this software can befound on my web site at www.nationalfutures.comFigure 6.14 illustrates how I line up the e-mini–S&P with the mini-Dowside by side with the corresponding time periods of 5 minutes at the top and15 minutes at the bottom. Stock and forex charts are lined up the same way.The greatest feature with this software is that it highlights a sell signalwith a red triangle pointing down, and it signals a buy trigger with a greentriangle pointing up. These coincide against resistance levels to sell andsupport levels to buy. As you can see, the sell signals when aligned againstthe pivot point resistance numbers offer a fantastic visual confirmationbased on my predefined strategies; therefore, it will help eliminate the emotional element and impatience of acting on anticipation rather than on atrue signal.All the signals and methods covered in this book can be applied withmost charting packages. In fact, 26 years ago, I was calculating the pivotpoint support and resistance numbers with a handheld calculator. The pivotpoint calculator is available on my web site. In addition, this book comeswith a CD (compact disc) that has a pivot point calculator as well. All thatneeds to be done is to input the data for the high, the low, and the close; andthe R-2 down to the S-2 numbers will be calculated for you. It is very easyto use; all you need are the prices for stocks, futures, or forex markets forany time frame. Figure 6.15 shows the monthly price range for Dell Inc.,which I will use to demonstrate how powerful this method of market analysis is when combined with certain candlestick patterns.Figure 6.16 is Dell with the monthly and weekly pivot support targetsindicating a possible bottom. Using the higher time frames, such as themonthly figures, alerted me to a major bottom. All I then needed to do was
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FIGURE 6.14Used with permission of www.GenesisFT.com.
to look and wait for the reversal trigger, which came when the market madea high close doji pattern.The next few chapters will really bring home the message of the valueof incorporating pivot points and candlestick patterns. Using the pivotpoint as a moving average in addition to using the pivot point calculationsto identify target ranges will certainly make you a more prepared trader.This method has captured the attention of many experts who are nowusing it; and its accuracy at predicting turning points in the market constantly amazes me. Believe me, many people are fascinated by this concept.In December 2002, Futures Magazine first published an article I wrote onthe subject, “Combining Cycles and Pivot Points to Predict Market Values”(p. 38), and has published several other articles of mine. Perry Kaufman, thefamous technician and author, in the fourth edition of his nearly 1,200-page
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FIGURE 6.15Used with permission of www.nationalfutures.com.
Pivot Point Moving Average System
