Camarilla H4 and L4 Breakouts with an EMA Filter and Trailing Exits

Summary

This strategy calculates daily Camarilla pivot levels from the prior day’s price data and looks for moves across the outer H4 and L4 levels. A long entry requires the bar to open below H4 and close above it, with price also above an eight-period exponential moving average. A short entry uses the opposite cross of L4 and requires price below the average. The strategy attaches trailing exits and a fixed loss distance to each position, with different settings for long and short trades.

The author reports a profit factor of 2.6 and a 76% profitable-trade rate for SPY on a five-minute chart, but provides no underlying test period, trade count, cost assumptions, or drawdown data. The note also says volume and the day’s opening price are considered manually, and suggests further work on EMA-based exits. These reported results are specific to the stated instrument and interval and should not be taken as evidence of robustness across markets or settings.

Key ideas

• The strategy uses prior-day Camarilla H4 and L4 levels as breakout thresholds.
• Long and short entries require a bar to cross the relevant level and confirm direction relative to an eight-period EMA.
• Trailing exits and fixed loss distances are configured separately for long and short trades.
• The author reports SPY five-minute results but omits key details needed to assess the test’s reliability.
• Volume and the day’s opening price are described as manual considerations rather than automated filters.

Tags

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