Strategy #0000000021 · Trend and technical rules
Support, resistance and pivot levels
Calculate reference levels from yesterday, then pre-define the trade around them.
Classic pivot levels use the prior session’s high, low and close to estimate a centre P and first resistance/support. A rule may follow price above/below P or test reversals at R/S.
Levels use the prior session; reversal and breakout are different trading rules.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
Rose calculates the levels first and decides in advance what a touch means
The previous session’s high is 105, low 95 and close 100. Rose calculates P=100, first resistance R=105 and support S=90. These are levels derived from yesterday, not walls that price must respect.
Jack wants to short at R. Rose notes that another trader may treat a break above R as a long signal. Both cannot claim success after seeing the day’s move; direction, confirmation, stop, exit and order timing must be pre-defined.
She checks intraday timestamps, opening gaps, slippage and order-book depth. Research links technical levels to liquidity patterns, but resting orders can be cancelled and a level does not guarantee reversal or net profit.
- 前日 H=105, L=95, C=100Centre pivot is the average of prior-session high, low and close.
- 當日價格 102At 102, price is above the pivot; a trend rule might be long, while a reversal rule needs a separate trigger.
- 阻力／支撐First resistance is 105 and first support 90; touch, close-through and confirmation are different rules.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Use the completed prior session’s high, low and close to calculate the centre pivot and first support/resistance levels.
H/L/C are the prior session high/low/close; P is the centre pivot; R₁/S₁ are first resistance/support. Weekly and monthly versions need matching source periods, calendars and time zones.
Greeks: the directional intuition
- Level definition
- Measures sensitivity to implied volatility.
- Touch vs close
- Measures sensitivity to implied volatility.
- Liquidity
- Measures sensitivity to implied volatility.
- Data snooping
- Measures sensitivity to implied volatility.
Use the completed prior session’s high, low and close to calculate the centre pivot and first support/resistance levels.
Practical context · published observations
Pivot-level state: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
工具只計算水平和價格相對位置，未模擬進場、退出、成交、成本、停損或歷史收益。 Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Pivot, reversal and breakout rules express different trade logic.
The same level can be a reversal boundary or a breakout trigger; fix the hypothesis before observing the move.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Classic pivot levels | Prior-session OHLC | Calculates a centre pivot and first R/S levels from the prior high, low and close. | The level is a convention, not a statistically guaranteed turning point. |
| Floor-trader S2/R2 | Multiple levels | Adds second support/resistance bands using further formulas. | More levels make it easier to find a convincing-looking level after the fact. |
| Opening-price pivots | Open reference | Includes or anchors the calculation to the session opening price. | Overnight gaps and opening-auction rules complicate comparison. |
| Reversal at support/resistance | Mean reversion | Takes the opposite side as price reaches a level. | A strong trend can extend the counter-trend loss. |
| Breakout confirmation | Trend following | Trades with price after a close or sustained move through a level. | False breaks and confirmation delay increase costs. |
| Order-book liquidity levels | Microstructure mechanism | Tests whether technical levels align with limit-order depth or order clustering. | Visible orders can be cancelled; historical association is not executable edge. |
Intraday time zone and gap definitions affect a “touch”; daily closes cannot prove an intraday crossing.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01Kavajecz & Odders-White (2004), Technical Analysis and Liquidity Provision.research
- 02Osler (2000), Support for Resistance: Technical Analysis and Intraday Exchange Rates.research
- 03De Angelis & Peskir (2016), Optimal Prediction of Resistance and Support Levels.research
- 04Kakushadze & Serur (2018), 151 Trading Strategies, §3.14.source