Camarilla H4 and L4 Breakouts with EMA Filters and Trailing Exits

Summary

This strategy calculates daily Camarilla pivot levels from the prior day's high, low, and close, then trades breaks through the H4 and L4 levels. A long signal occurs when price opens below and closes above H4 while also closing above an eight-period EMA. A short signal occurs when price opens above and closes below L4 while closing below the EMA. The exits combine fixed loss distances with trailing-stop settings, with different parameters for long and short positions.

The author reports a profit factor of 2.6 and 76% profitable trades on SPY using five-minute data, but the excerpt gives no test dates, sample size, costs, or broader evaluation. These figures are author-reported and cannot establish robustness. The strategy depends on pivot breaks and an EMA filter; gaps, intraday noise, transaction costs, and changing market conditions may affect results. The post also notes that volume and the day's opening price are used manually, so those contextual checks are not part of the automated rules shown.

Key ideas

• Daily Camarilla levels are calculated from the prior day's price range and close.
• Longs trigger on an H4 break with price above an eight-period EMA; shorts use the corresponding L4 break and EMA condition.
• Long and short exits use distinct trailing-stop and fixed-loss settings.
• The author reports SPY five-minute results, but provides insufficient test details to assess their reliability.
• Volume and the day's opening-price context are described as manual checks 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.