Pivot-of-Pivot Reversals Using ATR-Filtered Swing Levels
Summary
This strategy builds reversal levels from significant swing highs and lows. A candidate pivot must stand apart from surrounding highs or lows by a tolerance based on average true range, which filters out smaller price differences. The script uses configurable left and right bar counts and an ATR multiplier for that significance test.
It then tracks sequences of three ordinary pivots. A pivot high becomes a higher-level resistance reference when the middle high exceeds the adjacent pivot highs; a pivot low is selected when the middle low is below the adjacent pivot lows. While a qualifying pivot state is active, the system places stop entries just beyond the derived level in the corresponding direction. The document explains the pivot construction and notes updates addressing pivot ordering and entry bugs, but gives no performance results, tested market, or risk controls. Because pivots require bars on both sides, signals also depend on subsequent price data for confirmation.
Key ideas
- ATR-based thresholds filter pivot highs and lows that are not sufficiently distinct from nearby bars.
- The strategy forms higher-level pivots from sequences of three ordinary swing points.
- A middle high above its neighboring pivot highs defines a pivot-of-pivots resistance level.
- A middle low below its neighboring pivot lows defines a pivot-of-pivots support level.
- Stop entries are placed just beyond the selected levels, with no performance evidence provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.