Pivot Points for Futures Trading: Classic, CPR and Camarilla on ES and NQ

Pivot points are plain arithmetic on three numbers from the prior session: high, low and close. Anyone with the same inputs gets the same levels, which is the reason traders watch them and also the reason they aren't a secret edge. They're a free set of reference prices, and the useful question is how to use them without overstating what they do.

The inputs: RTH or Globex

You choose the session before you calculate anything. Many ES and NQ traders use the regular session, 9:30 AM to 4:00 PM ET, because it reflects the cash-hours range. Others use the full Globex session, which includes overnight trading. Neither is the single correct answer, and the levels differ depending on the choice. Pick one, apply it consistently, and make sure your charting platform's setting matches the one you intended. Globex hours and holiday schedules vary, so check the CME schedule for your product.

Classic pivot formulas

With H, L and C from the prior session:

• PP = (H + L + C) / 3
• R1 = 2 x PP - L, S1 = 2 x PP - H
• R2 = PP + (H - L), S2 = PP - (H - L)
• R3 = H + 2 x (PP - L), S3 = L - 2 x (H - PP)

Worked example (hypothetical ES numbers)

Say yesterday's RTH session had a high of 4850.00, a low of 4810.00 and a close of 4840.00.

Round to the 0.25 tick when you place orders. The PP is a reference for where the prior session's average of three prices sat. Some traders treat trade above PP as a bullish lean and trade below it as a bearish lean. That's a convention, and it should be tested against your own data like any other filter.

Central Pivot Range

The CPR uses the same three inputs to build a zone around PP. One boundary is the midpoint of the range, (H + L) / 2. The other is 2 x PP minus that midpoint. In the example above, the midpoint is 4830.00 and the other boundary is 2 x 4833.33 - 4830.00 = 4836.67. The zone is 6.67 points wide. Which boundary is labeled top and which is bottom depends on where the close sat in the range, so use whichever is higher as the top.

A narrow CPR means the close was near the middle of the range. A wide CPR means it wasn't. Some traders believe a narrow range leads to a trending day and a wide range to a rotational day. I haven't verified that for ES or NQ, so the safe approach is to log CPR width against what the day did for a few months and see whether the relationship is there in your data.

Camarilla levels

Camarilla pivots use the prior close and the range (R = H - L). H3 = C + R x 1.1 / 4. H4 = C + R x 1.1 / 2. L3 and L4 mirror them below. With the example above, R is 40, so H3 = 4851.00, H4 = 4862.00, L3 = 4829.00 and L4 = 4818.00. The common reading is that H3 and L3 are where a reversal might be attempted and H4 and L4 are breakout reference points. Again, that's a convention to test.

Daily and weekly pivots

Weekly pivots come from the prior week's high, low and close. They give you wider reference prices on a daily chart and are better for context than for intraday entries. When a daily level and a weekly level land within a point or two of each other, you simply have more traders potentially watching one area. Whether that changes the outcome is an empirical question.

Setting it up in NinjaTrader 8

NinjaTrader 8 includes a Pivots indicator. Add it from the chart's Indicators window, then check the pivot range (daily or weekly), the calculation type, and the session or bar settings so they match the RTH or Globex choice above. The official NinjaTrader 8 help guide documents each parameter. Keep the lines thin and muted so they don't bury the candles. If the plotted PP doesn't match your hand calculation, the session template is the first place to look.

A pre-session routine

1. Calculate or plot PP, R1, R2, S1 and S2 from the prior session.
2. Note where overnight price sits relative to PP and the CPR.
3. Mark any overlap with other levels you track. Fixed reference prices such as KPLs can't be added until the RTH opening print exists, so you'll be adding them after the open.
4. Decide in advance what you'll do if price opens inside the CPR and what you'll do if it opens outside.

When to give pivots less weight

On days with a major scheduled release such as FOMC, CPI or the jobs report, prior-session data can't anticipate the repricing, and price can pass several levels in seconds. Stop orders can slip in those conditions. A pivot level with nothing else near it is just a number. If you want to see whether pivots are worth keeping on your chart, log each touch, your entry rule and the result in R, including commissions and slippage, and judge it over a sample far larger than thirty trades.