Quote Originally Posted by davidallison@shaw.ca View Post
Billy,
I believe the next ex dividend dates for IWM are July 5th, 23rd September, 22nd Dec and a potential distribution on 28th December. This information is contained in the iShares 2011 Distributions Schedule. (hopfully attached) So this would impact IWM on the 5th of July, correct? The ex-date is 5th July, the record date is 7th July, and the pay date is 11th July.

I have a question about pivots and pivot clusters. Have you ever given any thought to monitoring pivots, other than intra day, to most recent data? So for example yearly pivots, would reflect the last 12 months, and therefore recalculated monthly? I have witnessed daily pivots working well. Yesterday’s IWM reversal at SI, with a very slight shake out, is a prime example. If we take a quarterly pivot, would S1, calculated for the last 3 months, not offer stronger support, then S1 calculated to the end of March? I am just struggling with the question of why, from the last trading day of June, to the first trading day of July, a quarterly pivot, support and resistance, should change so dramatically.

Dave
Thank you Dave. Yes, IWM will be impacted on July 5th and indicative limits and stops for related ETFs will be diifficult to make before the open on that day. We will comment on how to handle this in due time. We still need the same information for all related ETFs as they all have different distribution dates.

About your pivot and pivot cluster question, yes, it is interesting to track rolling timeframes like you are suggesting. And if anyone can prove an edge in doing so, I will be glad to investigate further.
What matters is to stick with what is working best for actual setups. The more levels you add to the system, like your rolling timeframes or Fibonacci levels or MIDAS and VWAP curves, the more neutral your setups will become and the more levels will be splashed all over the place on your charts. My definition of what is working best is what levels may be the most important in large players’s algorithms and what can really impact their trading plans. Actual experience and backtesting keeps proving that the current methodology is close to optimal, but I am flexible and open to modify the system with any proven additional edges.
Billy