Pivot levels: what they are, and how to test them
The daily pivot is the average of the prior session's high, low and close. Together with those three prices, it gives four levels many traders mark before the open. QuantLogic counts every bar that reaches one of them. Here is the exact rule.
What it is
The pivot comes from yesterday's regular session only, so it is the same for everyone and fixed before the open.
A touch means the bar's range reaches the level, give or take a small tolerance.
The exact rule QuantLogic uses
Touched a pivot level, on one-minute bars.
- The levels are yesterday's high, low and close, and the pivot: (high + low + close) / 3, using the prior session's settlement for the close.
- This bar's range comes within a small tolerance of one of them: 10 points on NQ, 2.5 on ES, 1.5 on Gold, 0.03 on Crude.
When is it known? The levels are fixed before the open, so a touch is known when the bar closes.
Versions you can build
- Touched a pivot level. The bar's range reaches the pivot or yesterday's high, low or close.
What to look at around it
In QuantLogic, every time the idea happened is laid out with the data points around it, so you can see where it held and where it didn't:
Traps when you test it
- Expecting a bounce. A touch says price reached the level, not what it did next.
- Testing one side only. A touch from above and from below can behave differently.
- Drawing extra levels. R1, S1 and beyond are data points for filters, not part of this rule.
Build it and test it yourself
Open Touched a pivot level in Build with QuantLogic. See every time it happened on NQ, ES, Gold or Crude since September 2025, check the long and the short side, add your own filters and run the luck test.
Nothing is proven until it holds live. We give no trading signals and no advice, we never hold your money or your accounts, and we never trade for you.
Questions
- Which pivot formula does QuantLogic use?
- The classic one: (high + low + close) / 3 of the prior regular session.
- Are R1 and S1 included?
- Not in this rule. Where price sits on the pivot ladder (R1, S1 and so on) is a data point you can filter any idea with.
Related setups
Setup library
Liquidity sweeps, break of structure, VWAP, the opening range and more, drawn and explained with the exact rule.
Yesterday's high and low
At, through or back from the prior session's high, low and close.
Round numbers
A close through a round level: every 100 points on NQ, 25 on ES, 10 on Gold, 0.50 on Crude.
Volume profile: POC and value area
Crossing yesterday's busiest price, its value area, or today's busiest price so far.
VWAP
Price crossing the session's volume-weighted average price, or touching it.
Educational content, not investment advice. Futures trading involves substantial risk of loss. See the risk disclosure.