Constructing daily pivot points from session prices

A session midline built after the close

The daily pivot is a constructed session midline, usually the mean of selected high, low, and close prints. It is used as the hinge of a support-resistance ladder that later price can confirm or invalidate.

The next session’s pivot map is built after the regular session ends, from that completed session’s price data. The daily pivot is the arithmetic mean of the prior high, prior low, and prior close, with close treated as settlement. Settlement is the official closing print used as the close input in the pivot average.

A five-level support and resistance map

Four companion formulas place two support levels below the pivot and two resistance levels above it, producing a five-level map. Support is a mapped price area below the pivot where sustained buying is hypothesized to absorb selling. Resistance is a mapped price area above the pivot where sustained selling is hypothesized to absorb buying.

Resistance 1 equals twice the daily pivot minus the prior low. Support 1 equals twice the daily pivot minus the prior high.

The attached directional rule

The attached directional rule is long when price violates the daily pivot upward and short when price violates it downward.

Four-price and mid-session variants

One four-price variant adds the electronic-session settlement to the prior high, low, and close, then divides the sum by 4. The other four formulas stay unchanged. Electronic-session settlement is the overnight session’s last official print, treated as an extra close when the day session is expected to resume near that price.

A second four-price variant uses the average of the current opening range as the extra input. The opening range is the early-session span that fills orders waiting at the open, often summarized by the average of the first two-minute bar.

A third variant is a mid-session rebuild. It rebuilds the same mean from the first half-session high, low, and close at 11:30 a.m. CST or 12:30 p.m. CST depending on the open, keeps the morning support and resistance figures, and is not used when the session lasts four hours or less.

Eight working reference prices

The working price list stacks the five pivot-derived levels with the prior high, low, and close, producing eight reference prices rather than five.

Editorial reading of the input choice

Editorial interpretation. The historical workflow leaves the input set open at the session boundary: the completed regular session, an electronic-session settlement, an opening range, or a mid-session rebuild. The test that follows is whether the next session’s violation of the resulting daily pivot still defines a usable long or short hypothesis.