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Calculate Camarilla Pivot Points (H3/H4 & L3/L4) Intraday Levels in Python
Compute intraday Camarilla Pivot support and resistance levels (H1–H4 and L1–L4) in Python Pandas for mean-reversion inside H3/L3 and breakouts beyond H4/L4.
#pandas#numpy
Problem Statement
Option buyers and intraday scalpers use Camarilla H3/L3 for range reversals and H4/L4 for momentum breakouts. This vectorized script calculates all 8 levels from the prior session's range.
Formula / Core Logic
Range = High - Low
H4 = Close + Range * (1.1 / 2), H3 = Close + Range * (1.1 / 4)
L3 = Close - Range * (1.1 / 4), L4 = Close - Range * (1.1 / 2)
Installation
pip install pandas numpy
camarilla-pivot-points-intraday-reversal-breakout-python.py
import pandas as pd
def calculate_camarilla_pivots(df):
df = df.copy()
r = (df['High'].shift(1) - df['Low'].shift(1))
c = df['Close'].shift(1)
df['Cam_H4'] = (c + r * (1.1 / 2.0)).round(2)
df['Cam_H3'] = (c + r * (1.1 / 4.0)).round(2)
df['Cam_L3'] = (c - r * (1.1 / 4.0)).round(2)
df['Cam_L4'] = (c - r * (1.1 / 2.0)).round(2)
return df
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Q: How do traders combine H3/L3 and H4/L4?
Fade (mean-revert) touches of H3 and L3 when market breadth is flat, and trade directional breakouts when a 5-min candle closes above H4 or below L4.