London Session Breakouts with Range, Pivot, and Momentum Filters

Summary

This strategy trades MES during a defined London session using either a pre-London range break or a break of a confirmed swing pivot. The pre-session high and low are tracked, and the range must meet a minimum size before its boundaries can trigger trades. Pivot highs and lows provide a second structural breakout route. Long and short entries also require directionally aligned RSI, above-average volume when that filter is enabled, and optional higher-timeframe EMA bias.

Stops are placed beyond a recent opposite pivot with a buffer, while an ATR-based distance sets a minimum stop width; the target is calculated from the resulting risk and a configurable reward-to-risk multiple. The rules cap trades per session and close positions at session end. The document supplies implementation details and default settings but no performance results. Pivot confirmation uses bars on both sides, so signals are necessarily delayed; actual outcomes also depend on instrument behavior, data, and execution assumptions.

Key ideas

• The system enters during the London window after a pre-session range or swing pivot is broken.
• A minimum pre-session range size filters out narrow setups.
• RSI, volume, and optional higher-timeframe EMA bias provide momentum and directional confirmation.
• Stops combine pivot structure and an ATR-based floor, and targets scale with the selected reward-to-risk ratio.
• Session trade limits and end-of-session closing rules constrain exposure, while no performance evidence is provided.

Tags

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