Pivot-of-Pivot Reversal Entries with ATR-Adjusted Swing Levels

Summary

This strategy identifies significant swing highs and lows, then searches those pivots for a second-order turning level. A swing high must stand above neighboring highs within specified left and right windows, with an ATR-based allowance; swing lows use the inverse comparison. The strategy stores recent pivots and selects a high or low pivot that is locally prominent among the stored values.

Once active, a long stop order is placed just above the selected pivot high, and a short stop order just below the selected pivot low. The setup therefore enters on a break through these derived levels, using the pivot structure to define potential reversal or breakout points. The listed parameters include left and right pivot bars and ATR length and multiplier. Published backtest settings specify BTC/USDT futures on daily bars over roughly a year, but the document gives no performance statistics. Pivot identification depends on neighboring bars and parameter choices, and false breaks remain a stated risk. The description recommends adding stop losses and filters such as volume, but the supplied strategy code does not include an explicit risk exit or those additional filters.

Key ideas

• Swing pivots are identified by comparing highs or lows across left and right bar windows.
• An ATR adjustment provides tolerance in the pivot significance checks.
• The strategy tracks recent pivots and selects prominent pivot highs and lows.
• Stop entries are placed just beyond the selected pivot-of-pivot levels.
• False breakouts and the absence of an explicit stop loss limit the described risk controls.

Tags

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