Four swing-entry rules that share a timed exit

A switchable shell around four swing detectors

A price swing is a sizable price change over a short interval, treated as the event a detector must mark. Four alternative swing-detection procedures are specified: a pivot high/low rule, a Bollinger band cross rule, a relative strength index cross rule, and a relative strength index rule filtered by a higher low or lower high.

The four detectors are packaged as one switchable system. A strategy selector, an integer input, swaps one of the four detectors into the same entry-exit shell. That shell is a rule-based entry: a boolean procedure that maps market state to long, short, or no action. The system may open a position only when the book is already flat.

How each detector marks a turning point

A pivot-low signal is coded as the prior low standing below both the low two bars back and the current low. A pivot-high signal is the symmetric three-bar condition on highs. In this construction a pivot high/low is a three-bar local extreme in which the middle bar's high or low stands beyond both neighboring bars.

The Bollinger bands construction goes long when close crosses the lower envelope and short when close crosses the upper envelope. The envelope uses a two-deviation width, while independent ports set the lookback to 12, 15, or 20. Bollinger bands here are a moving-average envelope scaled by a stated number of standard deviations.

The relative strength index is a bounded oscillator of recent closes used here as a short-lookback cross or as a threshold filter. The cross construction uses a 5-period relative strength index, going long on a cross of 40 and short on a cross of 60.

The filtered construction requires a 5-period relative strength index below 40 plus a higher-low filter for a long, or a reading above 60 plus a lower-high filter for a short. The higher-low filter is a confirmation that the current low is above the prior low, paired with an oversold oscillator reading. The lower-high filter is a confirmation that the current high is below the prior high, paired with an overbought oscillator reading.

A timed exit and next-bar fills

The shared exit is a timed exit, a close triggered after a fixed number of bars rather than by an opposing detector. Weekly ports commonly use four bars, while other ports use five or twenty.

Entries and timed exits are specified to fill by next-bar execution, typically at market or on the open. Next-bar execution means filling a signal on the following bar at market or on the open.

The pivot that must be tested

A prose pivot definition can differ from both a conventional one-to-two-bar pivot and the accompanying figure. The coded three-bar comparison is the rule that must be tested.

Fixed oscillator bands in a trend

Fixed relative strength index thresholds can keep firing in one direction during a persistent trend. Construction variants include ignoring successive same-direction swings or replacing the fixed bands with adaptive thresholds.