Pivot Breakouts Filtered by Volume, Momentum, RSI, and VWAP
Summary
This script identifies the latest confirmed pivot high and low, then enters long when price crosses above the high or short when it crosses below the low. An optional filter requires a volume surge, intrabar price momentum, RSI on the appropriate side of its midpoint, and price on the matching side of VWAP. ATR sets stop-loss and take-profit distances, with separate multipliers for each. An opposing breakout also closes an existing position.
The script exposes pivot sensitivity, volume and momentum thresholds, and whether to use the filters, but the document provides no backtest report or performance evidence. The pivot requires bars on both sides for confirmation, which can delay recognition of a level; plotted offsets may make historical pivot placement look earlier than it was actionable. The RSI period is described as intended for one-second charts, while no market, timeframe, or validation results are supplied. Results will depend on settings, execution assumptions, and the instrument tested.
Key ideas
- Confirmed pivot highs and lows serve as breakout levels for directional entries.
- Optional confluence filters combine relative volume, intrabar momentum, RSI, and VWAP.
- ATR-based stop and target distances are applied when a breakout occurs.
- Pivot confirmation uses bars to the right, so the level is not available immediately at the pivot bar.
- No backtest evidence is provided to establish profitability or robustness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.