Afternoon Pivot Reversal Trading Strategy

October 27, 2011

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Algofutures posted a strategy that may provide a seed for a more complete strategy.

  • Forward ES contract | 5 minute bar chart
  • Enter from 1:40 p.m. to 2:40 p.m.
  • Price must be greater than prior day’s 4:00 p.m. EST close.
  • There is a pivot low where the bar that creates the pivot low closes up.
  • Enter market on next bar.
  • Place a Stop Loss 10 ticks below entry price.
  • Place a Profit Target 18 ticks above entry price.
  • If neither Profit Target or Stop Loss is hit by 3:59:50 p.m. EST, close trade at the Market.
  • Test Period : 19-AUG-10 thru 21-OCT-11

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Source : Algofutures

Some obvious question marks, but interesting concept nonetheless.

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