Support and Resistance Strategy

2 thg 12, 2020

Support and resistance Strategy (FX and Crypto)
Description: This strategy uses “support” S and “resistance” R levels, which can be computed
using the “pivot point” (a.k.a. the “center”) C as follows:

C = (PH + PL + PC) / 3
R = 2 × C - PL
S = 2 × C - PH

Here PH, PL and PC are the previous day’s high, low and closing prices.
One way to define a trading signal is as follows (as above, P is the current price):

Signal:
Establish long position if P > C
Liquidate long position if P ≥ R
Establish short position if P < C
Liquidate short position if P ≤ S

Other definitions of the pivot point (e.g., using the current trading day’s open price) and
higher/lower support/resistance levels exist.

Style tags: Trend Following, Trend Analysis
Asset class: Equities, Futures, ETFs, Currencies and Commodities
Dataset: FX Minutes/Hours/Days