Intraday Pivot Reversals with VWAP, CPR, and Candle Filters

Summary

This document describes an intraday reversal framework that looks for qualifying bullish or bearish candles touching daily pivot levels, support and resistance bands, the Central Pivot Range, VWAP, or its moving average. Candle filters include a minimum body size and, for bullish candles, Fibonacci-based placement of the open and close within the candle range. A bearish candle at a reference level generates a long signal, while a bullish candle generates a short signal. The overview also identifies RSI, moving averages, and volume averages as supporting indicators.

The material explains the indicator roles and discusses potential benefits such as daily recalculation of pivots and multiple price references. It gives no measured performance results. Risks include excessive signals, losses from fading strong trends, sensitivity to fixed candle and indicator settings, and the absence of an explicit stop-loss. The discussion recommends testing across instruments and conditions, adding trend and risk controls, and treating the approach as an intraday framework rather than evidence of a proven edge.

Key ideas

• The strategy fades qualifying candles when they touch pivot, support, resistance, or VWAP reference levels.
• Bearish candles trigger long signals, while bullish candles trigger short signals.
• Daily pivots, CPR, VWAP, moving averages, RSI, and volume measures provide context for price action.
• Fixed candle thresholds and countertrend entries may be unreliable across markets and conditions.
• The document reports no performance evidence and notes the need for explicit risk controls and testing.

Tags

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