Livermore Trend States and Key Pivot Breakouts for Long Trades

Summary

This strategy turns Jesse Livermore’s trend framework into a state-based trading system. It classifies price action as a major uptrend or downtrend, a natural rebound or retracement, or a secondary rebound or retracement. Reversals between states are determined by price relative to prior highs and lows and pivot distance thresholds. The threshold can be a fixed percentage or derived from ATR, with separate multipliers for major and minor moves.

A long position is opened after two consecutive periods confirm a major uptrend, and closed after two periods confirm a major downtrend. The description notes equity-based sizing, but presents no measured performance despite including a BTC/USDT futures backtest configuration. It is long-only, may react late, depends on parameter choices, and has no explicit stop loss in the code. Frequent state changes can also increase trading costs, especially in volatile markets.

Key ideas

• The method models price action with six major and secondary trend states.
• Fixed percentage or ATR-based pivot distances determine transitions among those states.
• Two consecutive confirmations of a major uptrend trigger a long entry, while a confirmed major downtrend closes it.
• The strategy trades long only and includes no explicit stop loss.
• The provided backtest settings do not report performance results.

Tags

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