Camarilla Pivots

Nick Stott's four-tier range-based level set. Anchored on the prior close rather than the typical price, with widths scaled by the constant 1.1 divided by {12, 6, 4, 2}. R3 / S3 are typically used as reversal levels; R4 / S4 as breakout levels — the four-tier structure makes Camarilla particularly suited to intraday mean-reversion vs breakout decisions.

Quick reference

Item	Value
Family	Pivots & S/R
Input type	Candle
Output type	CamarillaPivotsOutput { pp, r1..r4, s1..s4 }
Output range	unbounded (price-units)
Default parameters	none — Camarilla::new()
Warmup period	1
Interpretation	R3/S3 = reversal; R4/S4 = breakout

Formula

PP = (H + L + C) / 3        // informational; not used in R/S formulas
R  = H − L

R1 = C + R · 1.1 / 12       S1 = C − R · 1.1 / 12
R2 = C + R · 1.1 / 6        S2 = C − R · 1.1 / 6
R3 = C + R · 1.1 / 4        S3 = C − R · 1.1 / 4
R4 = C + R · 1.1 / 2        S4 = C − R · 1.1 / 2

All four tiers are anchored on the close, not the pivot — distinguishing Camarilla from Classic / Fibonacci variants. See crates/wickra-core/src/indicators/camarilla_pivots.rs.

Parameters

None — Camarilla::new() takes no arguments.

Inputs / Outputs

Indicator<Input = Candle, Output = CamarillaPivotsOutput> with nine fields (pp, r1..r4, s1..s4).

• Python. Camarilla().batch(high, low, close) returns an (n, 9) float64 array.
• Node. Flat number[] of length n * 9.

Warmup

warmup_period() == 1. First candle emits the first set.

Edge cases

• H == L. All R/S collapse to the close.
• Same session-aggregation caveat as other pivots.
• Reset. Stateless.

Examples

Rust

use wickra::{Camarilla, Candle, Indicator};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let prev = Candle::new(100.0, 110.0, 90.0, 105.0, 1.0, 0)?;
    let mut c = Camarilla::new();
    let l = c.update(prev).unwrap();
    // R = 20, C = 105
    // R3 = 105 + 20·1.1/4 = 110.5
    // R4 = 105 + 20·1.1/2 = 116.0
    println!("R3 = {:.3}  R4 = {:.3}", l.r3, l.r4);
    Ok(())
}

Python

import numpy as np
import wickra as ta

high  = np.array([110.0])
low   = np.array([ 90.0])
close = np.array([105.0])

c = ta.Camarilla()
out = c.batch(high, low, close)
# columns: pp, r1, r2, r3, r4, s1, s2, s3, s4
print(out[0])

Node

const wickra = require('wickra');
const c = new wickra.Camarilla();
console.log(c.batch([110], [90], [105]));

Streaming on session bars

use wickra::{Camarilla, Candle, Indicator};

let mut c = Camarilla::new();
let session_aggregator: Vec<wickra::Candle> = Vec::new(); // your stream of completed session bars
for bar in session_aggregator {
    let l = c.update(bar).unwrap();
    // Stott's standard rules:
    //   Long below S3 → target S2 / R3
    //   Short above R3 → target R2 / S3
    //   Breakout: long > R4, short < S4
}

Interpretation

The Camarilla canonical strategy (Stott):

• Open between S3 and R3. Treat the levels as a fade range — short on touches of R3 (target R2 / pivot), long on touches of S3 (target S2 / pivot).
• Open above R4 or below S4. Treat as a breakout — long above R4 (target high of range), short below S4.
• Open between R3 and R4 (rarely): expect either re-entry back below R3 or a continuation to R4. Wait for direction.

The asymmetric tier widths (/12, /6, /4, /2) cluster R1/R2 close together, making R3 a strong "boundary" zone rather than a single level.

Common pitfalls

• Forgetting the close-anchoring. Camarilla pivots come from the prior close, not the prior pivot. The pp field is included for charting but not used in any R/S formula.
• Trading R1/R2 as actionable. They're typically just intra-range noise zones — Stott's strategy uses R3/R4 only.
• Wrong session window. Same as all pivots — use RTH only for US equities unless your strategy explicitly accounts for extended hours.

References

• Nick Stott popularised Camarilla pivots in the late 1990s through his published S&P futures system. No formal academic reference — Camarilla circulated via trading forums and educational sites before being widely catalogued.

See also

• ClassicPivots — standard floor-trader variant.
• FibonacciPivots — Fib-ratio variant.
• WoodiePivots — close-weighted pivot.
• DemarkPivots — open-conditional variant.
• Indicators-Overview — full taxonomy.