Intraday Futures Strategies Using Pivot Point Breakouts

Summary

This project compares intraday futures strategies built from daily pivot levels. It calculates pivot points using classic, Camarilla, and Fibonacci approaches, then tests textbook support-and-resistance rules alongside two alternatives on one-minute data for Mini S&P 500, Treasury, EURUSD, and Gold futures. The first alternative adds positions as resistance or support levels break, up to a stated position cap. The second uses the opening price relative to the central pivot, trades crossings of that pivot, adds at further levels, and defines targets and stops around other levels.

The reported backtests use a 250-day in-sample period and a 30-day out-of-sample period. The authors describe the classic textbook rules and first alternative as generally weak; the second strategy appears strongest on Mini S&P and remains consistent out of sample, while Gold’s positive in-sample result does not persist. These are limited historical results, not evidence of durable profitability. The study uses the first futures contract without rollover adjustment, excludes Sundays, and omits commissions, fees, taxes, volume constraints, and slippage, all of which may change outcomes.

Key ideas

• The study compares several pivot-point formulas and finds little difference among their results for simple systems.
• Textbook trades that buy support and sell resistance perform poorly in the reported sample.
• An alternative strategy trades pivot crossings and adds positions at successive support or resistance levels.
• The second strategy has its clearest reported results in Mini S&P futures, while some other markets weaken out of sample.
• The one-minute backtest omits transaction costs, slippage, volume constraints, and futures rollover adjustments.

Tags

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