Camarilla Pivot Levels for Threshold-Based Long and Short Signals

Summary

This backtest strategy calculates Camarilla support and resistance levels from a selectable resolution’s high, low, and close. The first four levels on either side use scaled fractions of that period’s range around its close; the fifth resistance is calculated from the high-to-low ratio, and the fifth support reflects it around the close. Users select one support and one resistance threshold and can optionally reverse the resulting signals.

A close above the selected resistance sets the position state long, while a close below the selected support sets it short; between those thresholds, the previous state persists. The strategy submits entries for the active direction and closes all positions if the state is neutral. The source provides formulas and rules but no performance results, transaction-cost assumptions, or analysis of parameter choices. The stated resolution defaults to daily, and the method’s usefulness depends on how the chosen levels and period behave for a particular market.

Key ideas

• Camarilla levels are derived from a prior period’s high, low, and close, with selectable calculation resolution.
• The strategy lets users choose a support and resistance level as directional thresholds.
• A close above resistance signals long, while a close below support signals short.
• The previous directional state persists while price remains between the selected thresholds.
• The document gives no backtest findings or costs to establish strategy performance.

Tags

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