Классические pivot points на NG NYMEX и BR
Проверена публикация · публикация 2026-06-29
Паспорт проверки и источников
9 test trades per headline candidate; insufficient independent evidence
Время изменения файла — не время последней рыночной котировки. Статус публикации не подтверждает работу бота; research, paper и live требуют отдельных результатов.
- gas_research/output/pivot_points_strategy.json — 2026-06-29T16:35:47+00:00
- gas_research/output/nymex_pivot_moex_bridge_state.json — 2026-07-02T06:15:08+00:00
- gas_research/output/br_pivot_paper_state.json — 2026-07-20T04:09:57+00:00
- gas_research/output/research_charts.json — 2026-07-20T04:09:59+00:00
Classic previous-day and previous-week pivot levels were scanned on NG, BR and RI. The strongest candidates are on NG NYMEX continuous bars and BRQ6 MOEX bars; RI did not pass the current filter.
- Scan1509 variants, 70 passed the basic candidate filter
- Best NGNYMEX NG 15m weekly failed-breakout around P: test PF 7.30, 9 trades, +2205 RUB, max DD -225 RUB
- Best BRBRQ6 15m weekly failed-breakout around R1/S1: test PF 6.41, 9 trades, +4678 RUB, max DD -603 RUB
- RI0 promoted variants
- Paper bridgeNYMEX NGQ26 signal -> MOEX NGN6 virtual execution: 4 closed trades, PF 2.58, +640 RUB, max DD -405 RUB; 1 open LONG marked -25 RUB
- FreshnessNYMEX last 2026-06-30 06:30 UTC, MOEX last 2026-06-30 06:15 UTC
- BR paperBRQ6 weekly R1/S1 failed-breakout paper monitor: 32 historical trades, PF 1.50, +5742.72 RUB, no open trade
The scanner builds P, R1, S1, R2 and S2 from the previous day or previous week, then tests breakout, rejection and failed-breakout entries with fixed bar holds after costs.
The best gas result is not a direct MOEX live execution result yet: it comes from NYMEX NG continuous bars. It is useful as a signal layer for gas, but needs a paper monitor and mapping to the tradable NG contract before live use.
A paper bridge is now running: it takes the freshest NYMEX NG M5 history, currently gas_research/data/finam_history_all/ngq26_xnym_m5.csv, builds the weekly pivot signal on 15m bars, and virtually executes it on MOEX NGN6. Current bridge result is 4 closed trades, PF 2.58, +640 RUB, max DD -405 RUB, plus 1 open virtual LONG marked -25 RUB.
The BR result is now tracked by a read-only paper state that combines old MOEX history with fresh Finam BRQ6 M5 bars. Current BR paper result: 32 historical trades, PF 1.50, +5742.72 RUB, max DD -4027.45 RUB, no open virtual trade.
Output files: gas_research/output/pivot_points_strategy.json and gas_research/output/nymex_pivot_moex_bridge_state.json. Current status: paper bridge / research-only.
Charts
Файлы и источники в проекте
gas_research/pivot_points_strategy.pygas_research/nymex_pivot_moex_bridge_paper.pygas_research/br_pivot_paper_state.pygas_research/output/pivot_points_strategy.jsongas_research/output/nymex_pivot_moex_bridge_state.jsongas_research/output/br_pivot_paper_state.jsongas_research/output/research_charts.json