Support Resistance Pivot EMA Scalp Strategy [Mauserrifle]

17 Okt

A strategy that creates signals based on: pivots, EMA 9+20, RSI, ATR, VWAP, wicks and volume.

The strategy is developed as a helper for quick long option scalping. This strategy is primarily designed for intraday trading on the 2m SPY chart with extended hours. However, users can adapt it for use on different symbols and timeframes. These signals are meant as a helper rather than fully automated trading bots.

One of the key elements is its pivot-based calculation, driven by my integrated indicator "Support and Resistance Pivot Points/Lines [Mauserrifle]". It enables multi-timeframe pivot calculations which are used to generate the signals and offers customizability, allowing you to define rounding methods and cooldown periods to refine pivot levels. The pivots, in combination with EMA crossovers, VWAP trend, and additional filters (RSI, ATR, VWAP, wicks and volume), create an entry and exit strategy for scalping opportunities that is useful for 0/1 DTE options with an average trade time of six minutes with the default setup for SPY. Option trading should be done outside TradingView. At this moment of release there is no option trading support.

All parameters used in the strategy are tweaked based on deep backtests results and real-time behavior. Be mindful that past performance does not guarantee future results.

The strategy is designed for intermediate and advanced users who are familiar intraday option scalping techniques.

How It Works

The strategy identifies entries based on multiple conditions, including: recently above pivot, recent EMA crossovers, RSI range, candle patterns, and VWAP uptrend. It avoids trades below the VWAP lower band due to poor backtesting results in those conditions. It creates a great number of signals when it detects an uptrend, which entails: VWAP and its lower/upper band slopes are going up, and the number of next high pivot points is greater than the number of lower pivot points. This indicates that we hope it will keep going up. In historical testing, this showed favorable results. This uptrend criteria runs on 15m charts max (where up to the VWAP effectiveness is the greatest).

The strategy also checks for candle and volume patterns, identified in backtesting to improve entry levels on historic data. Which include:

• A red candle after multiple green ones, hoping to jump on a trend during a small pullback
  
• Zero lower wick
  
• Percentage and volume is up after lower volume candles
  
• Percentage is up and the first and second EMA slopes are going up
  
• Percentage is up, the first EMA is higher than the second, the price low is below the second EMA and price close above it
  

The VWAP uptrend overrules the candle and volume conditions (thus lots of signals during those moments).

The above is the base for many signals. There is a strict mode that adds extra checks such as:

• not trading when there is no next low or high pivot
  
• requiring a VWAP uptrend only
  
• minimum candle percentages
  

This mode is for analyzing history and seeing performance during these conditions. It is worth it to create a separate alert for strict mode so you are aware of these conditions during trading.

When no stop has been defined, exits will always happen on pivot crossunder confirmations. If a stop is defined (default config), the strategy exits a position when:

• the position is negative or no trail has been set
  
• at least 1 bar has past
  
• OR no stop has been defined (overrules previous)
  
• trail has not been activated
  

The second exit condition happens when the close is below first EMA(9 by default) and when:

• the position has been above first EMA
  
• the gap between close and last pivot isn't small
  
• the position is negative or no trail has been set
  
• OR no stop has been defined (overrules above)
  
• trail has not been activated
  

There are some more variations on this but the above are the most common. These exit conditions are a safety net because the strategy heavily relies on and favors stops. The settings allow changing stops, profit takers and trails. You can configure it to always sell without the conditions above.

The script will paint the pivot lines, trailing activation/stops, EMAs and entry/exits; with extra information in the data panel. For a complete view add VWAP and RSI to your chart, which are available from TradingView official indicator library. The strategy will not rely on those added indicators since VWAP and RSI are programmed in. You can add them to track the behavior of the signals based on these filters you have configured and have a complete view trading this strategy.

As mentioned earlier, the default settings are built for SPY 2m charts, with extended hours and real-time data. Open the strategy on this chart to study how all input parameters are used. If you don't have real-time data you need to adjust the minimum volume settings (set it to 0 at first).

The backtest

The default backtest configuration is set up to simulate SPY option trading.

• Start capital is set to 10,000 and we risk around 5% of that per trade (1 contract)
  
• Commission is set to 0.005%. The reason: at the time of this publication the SPY index price is approximately $580. Two ITM 0/1 DTE options contracts, each priced around $280, which is approximately $560. The typical commission for such a trade is around $3. To simulate this commission in the backtest on the SPY index itself, a commission of 0.005% per trade has been applied, approximating the options trading costs.
  
• Slippage of 3 is set reflecting liquid SPY
  
• The bar magnifier feature is turned on to have more realistic fills
  

Trading

In backtesting, setting commission and slippage to 0 on the SPY 2m chart shows many trades result around breaking even. Personally, I view them as an opportunity and safety net to help manage emotional decisions for exits. The signals are designed for short option scalps, allowing traders to take small profits and potentially re-enter during the strategy’s position window. It's advisable to take small potential profits, such as 4%, whenever the opportunity arises and consider re-entering if the setup still looks favorable, for example price still above ema9. Exiting a long position below ema9 is a common strategy for 2m scalping.

The average trade duration is approximately 6 minutes (3 bars). The choice between ITM (in-the-money), ATM (at-the-money), or OTM (out-of-the-money) options will depend on your trading style. Personally, I’ve seen better results with ITM options because they tend to move more in sync with the underlying index, thanks to their higher delta.

It’s important to note that the signals are designed to be a helper for manual trading rather than to automate a bot. Users are encouraged to take small profits and re-enter positions if favorable conditions persist. Be mindful that past performance does not guarantee future results.

For the default SPY setup the losses will mostly be 4-10% for ITM options. Be mindful of extreme volatile conditions where losses may reach 30% quickly, especially when trading ATM/OTM options.


The following settings can be changed:

8 pivot timeframes with left/right bars and days rendered

Here you can configure the timeframes for the pivots, which are crucial. The strategy wants that a crossover has happened recently (so it might enter after a crossunder if the crossover was recent) or the price is still above the crossed pivot.

When you decide to use a pivot timeframe higher than your chart, make sure it aligns the same starting point as the chart timeframe. As stated in the 43000478429 docs, there is a dependency between the resolution and the alignment of a starting point:

1–14 minutes — aligns to the beginning of a week
15–29 minutes — aligns to the beginning of a month
from 30 minutes and higher — aligns to the beginning of a year

This alignment also affects the setting of rendered days. I recommend a max value of 5 days for 1-14 minutes timeframes.

Also make sure a higher pivot timeframe can be divided by the lower. For instance I had repaint issues using 3m pivots on a 2m chart. But 4m pivots work fine.

Please look up docs 43000478429 to make sure this information is still up to date.

Pivot rounding

The pivot rounding option is used to add pivots based on a rounded price and limit the number of pivots. While this feature is disabled by default it can be useful with tweaking strategy variations, because many orders are placed at rounded levels and tend to act as strong price barriers.

There are multiple rounding methods: round, ceil/floor, roundn (decimal) and rounding to the minimal tick.

The next feature is a powerful extension called "Cooldown rounding":

Pivot cooldown rounding

This rounds new pivot levels for a cooldown period to keep the previous pivot line instead of adding a new line when they match the rounded value within the cooldown period. The existing line will be extended. This feature is useful because it makes sure the initial line is added to the exact high/low pivot level but any future lines within the rounding will just extend the existing line. This limits the number of pivots while still having precise levels (which normal rounding lacks) and allows more precise pivot trading.

This feature also helps ensure that the number of rendered lines will not exceed 500 too much, which is the render limit on TradingView.

You can set a maximum minutes for the cooldown. The default is 3 years which will enable the cooldown rounding permanently on the intraday (due to the max bar limit).

Pivot always added when new higher/lower pivot

When using cooldown rounding, one may find it useful to override this behavior when a new lower or higher pivot level has been reached. When enabled the new level will be added despite the fact that they may be rounded the same in the cooldown check. This is a good balance between limiting pivots but also allowing preciser trading.

VWAP bands multiplier

This is used to tweak the inner VWAP working for the upper and lower band. The default VWAP multiplier (0.9) is set based on backtesting since it performed better on historic data (the strategy does not trade below the lowerband). When you add the VWAP indicator from the TradingView library to the chart, make sure it uses the same multiplier setting as within this strategy so you have a correct view of the conditions the strategy acts on.

ATR EMA smoothing length

Used to tweak the ATR EMA smoothing. By default it is set up to 4 based on deep backtesting historic data.

EMA lengths

Changing the EMA length allows you to fine tune the EMA crossing behavior. By default the strategy is set up to EMA 9 and 20 which are considered commonly used values on the 2-minute chart.

Trading intraday time restrictions

For intraday charts you can configure when the strategy starts trading after market open and when it stops, including a hard sell. This makes sure there are no open positions left for the day during backtesting and can also aid in your trading style. For example some scalpers will not trade in the first two hours. Having no signals during this time can be beneficial. It is possible to configure these settings based on the number of bars or minutes.

Not trading on days the market closes earlier

By default the strategy does not trade on days the market closes earlier in the US. This makes sure there are no open positions left open during backtesting. Make sure to change it when using it on such a day. The days are: day before independence day, day after thanksgiving, Christmas eve and new years eve.

Not trading below VWAP lowerband

Backtesting has shown poor performance when trading below the VWAP lowerband but you are free to allow it to trade in such conditions. Past performance does not guarantee future results.

Minimum volume

A minimum volume can be set up. The current value is based on better deep backtest results for SPY using real-time data (48000). When you do not have a data plan for SPY, please set it to 0 and tweak based on backtests.

Minimum ATRP

The strategy has shown during my trading that it is sensitive to higher ATRP values and more volatile market conditions. There is more chance the index moves and we can profit from this during option scalping (if it moves in your favor). The default is based on SPY backtesting (0.04%), as a balance to have a lot of trades but also capture minimal movement.

RSI range

A RSI range can be set using a minimum and maximum value so we can limit trading during overbought/oversold conditions. Backtesting for SPY has shown the strategy performs better on historic data within a tighter range, so a default range has been set to 40-65.

Allow orders on every tick (no effect on stop/profit/trail)

This setting is used to allow orders on every tick. The strategy has been developed without trading on every tick but you can change this, for example when you have configured a setup different than the default configuration that you know works well with this. The default setup will not work well with it due to too many constant signals.

Stop percentage + ATRP threshold

One of the most important settings for managing the risk. I recommend setting a stop percentage first and later the ATRP threshold where the stop is calculated based on the current ATRP value. The calculated value will only be in effect when it is greater than the normal stop--the normal stop acts as baseline. The default stop is low (0.03). With a default ATRP threshold stop of 1.12, the calculated value overrules the normal stop when the value is greater. 0.03 acts as a minimum value but in reality the stop will most likely be higher on average for SPY with the default ATRP threshold.

For the default SPY setup the losses will be around 4-10% for ITM options. Be mindful of extreme volatile conditions where losses may reach 30% quickly, especially when trading ATM/OTM options.

Profit taker percentage + ATRP threshold

Same principles as the stop percentage above, but for profit taking. There is a very high ATRP threshold of 4 set by default. Backtests showed that trailing stops perform better on historic data.

Trailing stop

Used to set up a trailing stop. A useful feature to secure profit after a run-up, or get out with a small loss after initial activation. It is important to not use too tight values because they will give unrealistic backtest results and trigger too fast in real-time. Both the trail activation level and trail stop itself can be configured with a percentage value and ATRP value. I recommend setting up the ATRP last. By default the values are 0.05 for activation and 0.03 for the stop based on SPY real-time behavior.

Always sell on pivot crossunder confirmation

The strategy includes pivot crossunder confirmations as sell condition. By default it will not sell on every crossunder confirmation but checks for different conditions (explained in detail earlier in this description). You can change this behavior.

Always sell below first EMA when position has been above

The strategy sells below the first EMA when the position has been above it. By default it will not always sell but checks for different conditions (mentioned earlier in this description). You can change this behavior.

Buy modes pivot

By default the strategy buys between pivots as long as there has been a pivot crossover and EMAs crossover recently or price is still above it. You can change the behavior so it only buys on pivot crossovers or pivot crossover confirmations. Backtesting on the default setup shows decreased performance but for other strategy variations and pivot setups this feature can be useful since many scalpers do not buy between pivots.

Strict mode

There is a strict mode that adds extra checks such as not trading when there is no next low or high pivot, requiring a VWAP uptrend only and minimum candle percentages. This mode is for analyzing history and seeing performance during these conditions. It is worth it to create a separate alert for strict mode so you are aware of these conditions during trading. The deep backtests improved with these setting but past performance does not guarantee future results.

In the strict mode section you can override the stop, minimum ATRP, set up a minimum percentage, only trade VWAP uptrends and to not trade candles without a wick.


A summary and some extra detail

• At the time of release only long trades are supported
  
• The strategy is meant for quick scalping but one might find other uses for it
  
• Enable extended hours on intraday charts so it captures more pivots
  
• It does not trade extended hours (pre and post market) since options do not trade during those times
  
• real-time data is recommended and required if a symbol has delayed data by default
  
• You can configure that it trades minutes after market open and hard sells minutes after market open
  
• The entries have a specific label text, example: "833 LE1 / 569.71 / P:569.8". This means: [TRADE-NUMBER] [ENTRY-TYPE][CONDITION-NUMBER] / [LAST-CLOSE] / [LAST-PIVOT-CROSS]. The condition number is only for development/debug purposes for me when you have an issue.
  
• The strategy cannot be tweaked to work on multiple symbols and timeframes with a single config. So you will have to make a config for every timeframe and symbol. I recommend using the Indicator Templates feature of TradingView. This way you can save the settings per timeframe and symbol
  
• The strategy is per default config very dependent on (trailing) stops because it trades between pivots too. It wants that a pivot and EMA crossover has happened more recently than a crossunder. But you can change this behavior to always force crossover buys and crossunder sells.
  
• It’s recommended to set up alerts to notify you of entry and exit signals. Watching the chart alone might cause you to miss trades, especially in fast-moving markets.
  
• Only a max of 500 lines can be rendered on the chart, but the strategy will function with more under the hood. When you exceed 500 you will notice the beginning of the chart has no pivots, but beneath everything functions for backtesting.
  

Changing settings

Changing the settings for a different symbol and/or timeframe can be a challenging task. Here's a how-to you could use the first time to help you get going:

• Set commission and slippage to 0. I prefer to do this so it is more clear whether you are balancing on break-even trades
  
• Enable the pivot timeframe equal or above your chart timeframe. Avoid repainting as discussed earlier by choosing timeframes that align with the same timeframe
  
• Set all volume, ATR, stop, profit takers and trail values to 0
  
• Make sure strict mode is disabled at the bottom of the settings
  
• You now have a clean state and you should see the backtest results purely based on pivot and EMA conditions
  
• Tweak the stop and profit taker, beginning with the simple values and then ATRP threshold
  
• At the last moment tweak the trailing stops. Tight trailing stops create an unrealistic backtest so you will need to tweak them based on real-time behavior of the symbol you're using which you will have to monitor during signals while the market is open. The default values are low (2m intraday SPY). Only with the bar magnifier feature it is somewhat possible to tweak realistic with history data. The tighter they are, the more unrealistic your backtest results. As a starting point, set the trailing stop low and find the highest activation level that doesn't change the results drastically, then increase the stop to the value you think reflects real-time behavior.
  
• Keep refining by testing it during real-time behavior. Does it exit too early according to your own judgment? You need to increase the stop and maybe the activation level.
  

I hope you will find this useful!



DISCLAIMER

Trading is risky & most day traders lose money. This indicator is purely for informational & educational purposes only. Past performance does not guarantee future results.

18 Okt

Catatan Rilis

• Improved tooltips
  
• Added stop plot
  

27 Okt

Catatan Rilis

• Improved every tick stop plotting. When having a position, the lines stay consistent with the position. When no position, the realtime bar will have the lines based on previous candle. This puts some rest into the realtime chart. You can force update every tick when wished.
  
• It calculates on every tick by default now, useful for the stop plots
  
• Trading day detection improved for crypto (24/7)
  
• Minimum volume can now be a decimal number
  
• Added a debug option where every realtime bar generates an alert. Useful for testing alert messages.
  
• Added the ability to set custom alert messages for entry and exit when using the placeholder: {{strategy.order.alert_message}}
  

6 hari yang lalu

Catatan Rilis

• Performance improvement checking for pivot crosses
  
• Option to put stop on next lower pivot. Applied when this stop is smaller than the other settings.
  
• Show a background color for bullish/bearish sentiment based on the EMA, pivot cross and RSI conditions