End of month resets?

[AndrewS]

 I do not use monthly pivots because I have found them to be inconsistent. But I took a look at them on the S&P500 and it seems to me that there is a reset around the end of the month, as though an algorithm had been changed. I am interested in people’s comments.

[Caseynotes]

57 minutes ago, AndrewS said:

 I do not use monthly pivots because I have found them to be inconsistent. But I took a look at them on the S&P500 and it seems to me that there is a reset around the end of the month, as though an algorithm had been changed. I am interested in people’s comments.

Hi, yes it's the same for Mn, Wk and Daily so they are not rolling but each new day/week/Mn uses the OHLC data from the previous day, week & Mn.

[AndrewS]

Caseynotes, thank you for your reply.

What I meant was that it seems to me that the characteristic of the price movements seems to me to change somewhat at the end of each month and the behavior of the price movements have a different character in the next month.  Perhaps I have an overly imaginative pattern recognition.

[Caseynotes]

3 minutes ago, AndrewS said:

Caseynotes, thank you for your reply.

What I meant was that it seems to me that the characteristic of the price movements seems to me to change somewhat at the end of each month and the behavior of the price movements have a different character in the next month.  Perhaps I have an overly imaginative pattern recognition.

ok, wasn't sure what your picture was trying to convey. there will certainly be moves close to the end of each month due to month end flows where risk managers walk around tapping traders on the shoulder and saying 'you're not considering carrying that loser into next month are you' 🙂