ATR-Filtered Significant Pivot Reversal Strategy

Summary

This strategy filters pivot highs and lows by requiring them to exceed neighboring prices by an ATR-scaled margin. The user can set the number of bars checked on each side, the ATR lookback, and the multiplier. This aims to exclude minor turning points that barely differ from nearby highs or lows.

When a qualifying high appears, the script maintains a pending long stop just above that pivot; a qualifying low arms a short stop just below its level. The example uses four bars to the left, two to the right, a 14-bar ATR, and a 0.1 multiplier. The document offers no performance results or risk controls, and notes only that the filter may help in some cases. Since pivots require bars on the right for confirmation, signals depend on later price data; the description does not discuss execution assumptions or broader validation.

Key ideas

• Pivot highs and lows must clear neighboring prices by an ATR-scaled threshold to qualify.
• The filter uses configurable left and right bar counts, ATR length, and ATR multiplier.
• A qualifying pivot high arms a stop entry above its price, while a pivot low arms one below.
• The author presents the filter as potentially useful but provides no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.