Trading System TS01-02

Grade: Experimental
Update: Added logic for dealing with S3/R3 points

I've been fiddling around with pivot points lately. These are price points where the price is likely to consolidate and form stronger resistance and support levels. I decided to try designing a very simple system to illustrate for myself how pivot points perform. This system uses a "five-point pivot" each day to enter positions.

Rules

1. Enter a short position when the price drops 15 pips below a support line; place the stop-loss 15 pips above the support line and a trailing stop 20 pips behind the price. Take-profit is optional at 30 pips before next support price (or at S3 - (abs(S2) - abs(S1)) for S3 entries).
   
2. Enter a long position when the price climbs 15 pips above a resistance line; place the stop-loss 15 pips below the resistance line and a trailing stop 20 pips behind the price. Take-profit is optional at 30 pips before next resistance price (or at R3 + (R2 - R1) for R3 entries).
   

Goal

The goal of this system is for me to design, backtest and try out a simple pivot system.

Implementation

I have implemented this system in Python and have started running it early this morning. It is generating trade signals into a file that I will post once a day and include some analysis of the results. My implementation only lists the signals so I will calculate the performance of the system based on the assumption that all signals were followed. For now, I have posted the code to a private pastebin for the morbidly curious.