Pivot-level breakout
NAS100 · 5m chart · strategy s18_pivot_breakout · 7 variations
Buys NAS100 the first time each day price closes above a resistance level calculated from yesterday's prices, with a tight stop and a large target.
What it is about
Floor traders have long worked out the day's support and resistance levels from the previous day's high, low and close. Two popular recipes are the Camarilla levels (Nick Stott, 1989) and classic floor-trader pivots. Many traders watch these levels, and the textbook advice is to fade them: sell at resistance, buy at support.
Testing on seven markets found the opposite. Fading the levels lost money everywhere; breaking through them made money on stock indices. A close beyond the outer level is a sign the day may become a strong one-way 'trend day'.
The stop is tight, a quarter of the way back to the inner level, and the target is 10R (R = the amount risked), so a few strong days pay for many small losses. Trades are always closed by the end of the day.
How it trades
NAS100, any time in the trading day once a level breaks (levels are fixed at the 18:00 New York start of the day), most often around the New York morning. About 8 trades a month for the buys-only versions, about 11 for the two-direction version. Always flat by the end of the day.
- On the 10R versions only about 1 trade in 4 or 5 wins (21-32%); strings of 15 to 25 losses are normal. The trailing-stop versions win more often (33-44%).
- Default (Camarilla), backtest 2019-today at zero cost: 753 trades, +411.3R, largest drawdown about 24.5R, every year positive.
- Drawdowns across the versions range from about 15.6R to 34.2R.
- Trades last from minutes to the rest of the day; no overnight positions.
- The levels depend on where the data feed ends its day. Pepperstone (the paper-trading broker) trades NAS100 until 17:00 vs 16:15 on the backtest data, so only 21-29% of signals are identical; the default made noticeably less on Pepperstone from July 2024 to Oct 2026 but stayed profitable.
- Low win rate: long losing streaks are part of the deal.
- Not universal: the same rules on US500 failed in 2024-26.
- Breakouts during London hours (03:00-08:00 New York) lost money in both test periods for the default and the two-direction version; a filter for this is a candidate, not yet adopted.
- Some choices (the 4H structure with video-style swings, the trailing sizes) were made after looking at the results; paper trading has to confirm them.
Where it comes from
Camarilla equation (Nick Stott, 1989) and classic floor-trader pivots, researched in October 2026 on seven markets. A full support / resistance study of about 82,000 settings (fades, retests, candle-pattern and break-of-structure confirmations, trend filters) found plain breakouts best. Train = 2019-2023, test = 2024 to Oct 2026.
Main variation: s18-F ★ Main
The variations
Each variation is the same strategy with a different approach, trading its own paper account. Click one to see exactly what it changes.
The default tight stop, but instead of a fixed 10R target the stop trails 3R behind the best price once the trade is 3R up, so a big trend day is not cut off at 10R and a fading one still banks a profit.
s18-ACamarilla, buys, 10RThe default: buy the first close above the Camarilla H4 level, stop a quarter of the way back to H3, 10R target.
s18-BFloor pivotsUses the classic floor-trader R1 level (breakout) and the pivot P (reference) instead of Camarilla. R1 is usually closer to the market, so it triggers more often.
s18-CTextbook stop at H3The stop sits at the reference level H3 itself, as the Camarilla method describes, instead of a quarter of the way there. A wider stop means fewer losers but each 10R winner needs a far bigger move.
s18-DBoth directions, 1-hour structureTakes downside breakouts (sells below L4) as well as upside ones, but only in the direction of the market-structure trend on 1-hour candles. The idea: break below support only when the hourly trend is already down, and buy breakouts only when it is up.
s18-EHalf stop, trail 2RA stop half way back to H3 and no target: once 2R in profit, the stop follows 2R behind the best price. Trades are given room both ways, aiming for more winners and smaller swings in the account.
s18-GBoth directions, 4-hour structure, video swingsLike D, but the trend is read from 4-hour candles and swings are found with the rule from Victor's video: a swing high counts only after a later candle body closes below the low of the candle that made it. The aim is a calmer, slower trend filter.
Variations side by side
Live result of all 7 together: −8.6R (zero cost).
| Live paper account (R, zero cost) | Backtest 2018 – today (R, zero cost) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| s18-F★ MainPivot-level breakout | NAS100 | 5m | −1.2R | 3 | 33% | – | +374.5R | +0.50R | 8/8 | 8.1 | 33% | −17.9R |
| s18-APivot-level breakout | NAS100 | 5m | −1.2R | 3 | 33% | – | +411.3R | +0.55R | 8/8 | 8.1 | 24% | −24.5R |
| s18-BPivot-level breakout | NAS100 | 5m | −1.7R | 4 | 25% | – | +291.9R | +0.33R | 8/8 | 9.4 | 32% | −19.0R |
| s18-CPivot-level breakout | NAS100 | 5m | +0.3R | 3 | 67% | – | +137.9R | +0.18R | 7/8 | 8.1 | 46% | −21.4R |
| s18-DPivot-level breakout | NAS100 | 5m | −3.0R | 3 | 0% | – | +467.3R | +0.45R | 8/8 | 11.2 | 22% | −34.2R |
| s18-EPivot-level breakout | NAS100 | 5m | −1.6R | 3 | 33% | – | +277.1R | +0.37R | 8/8 | 8.1 | 44% | −15.6R |
| s18-GPivot-level breakout | NAS100 | 5m | −0.2R | 2 | 50% | – | +315.2R | +0.41R | 8/8 | 8.2 | 21% | −27.5R |
Main = the variation with the most backtest R per R of max drawdown (2018 – today, zero cost). It is picked on that history, so the live accounts are the real test.