Pivot Breakout Strategy with Weekly and Annual Benchmark Returns

Summary

This document combines a stop-entry strategy based on confirmed pivot highs and lows with a performance display that summarizes weekly and yearly returns. When a pivot high appears, the script tracks that level and can place a long stop just above it; a pivot low enables a short stop just below its level. The strategy uses a configurable pivot lookback and sets position size as a percentage of equity, with a commission assumption included in the strategy settings.

The reporting component compounds bar-by-bar equity returns into weekly and annual figures from a chosen start date. It can compare these figures with either the chart symbol or a selected benchmark, and optionally display the difference as alpha. Colored table cells show relative gains and losses. This is a code-based tool, not evidence that the entry rules outperform: no realized return results or statistical evaluation are supplied. The displayed comparisons also depend on symbol selection, data alignment, and the chosen date range.

Key ideas

• The strategy places stop entries beyond recent confirmed pivot highs and lows.
• Pivot confirmation depends on configurable bars to the left and right of a candidate point.
• Weekly and yearly strategy returns are compounded from bar-level equity changes.
• An optional benchmark view reports benchmark returns and the strategy’s difference from them.
• The document explains implementation but does not provide evidence of profitability or robustness.

Tags

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