Showing posts with label Opening Range Breakout. Show all posts
Showing posts with label Opening Range Breakout. Show all posts

Saturday, October 24, 2026

The 5-Minute Opening Range Breakout (ORB) Strategy | Carlo Zarattini et al.

A popular day-trading strategy is the n-minute Opening Range Breakout (ORB), with 5-, 15-, 30-, and 60-minute variants. It defines the Opening Range by the high and low of the first n-minutes, then enters a trade when price breaks above or below that range.
 
5-Minute ORB Long and Short Entry Levels.
 
Zarattini et al. identify the 5-minute ORB as the most profitable S&P 500 strategy, using the 9:30–9:35 a.m. ET Opening Range:
►Bearish Opening Bar: Go short if it closes below its open; hold even if price breaks above the Opening Range.
►Bullish Opening Bar: Go long if it closes above its open; hold even if price breaks below the Opening Range.
►Doji Bar: No trade if the close equals the open. 

Equity curves for S&P 500 buy-and-hold (red) versus long/short ORB trading using 5-, 15-, 30-, and 60-minute ranges. COMBO (black) is equally weighted across all four. Period: 2016–2023; initial capital: $25,000; commission: $0.0035 per share. 

S&P 500 buy-and-hold vs. long/short day trading the 5-, 15-, 30-, and 60-minute ORBs. COMBO is equally weighted across all four. Period: 2016–2023; initial capital: $25,000; commission: $0.0035 per share. 
►Entry: Buy-stop at a bullish bar's high; sell-stop at a bearish bar's low.
►Stop Loss and Exit: Stop at 10% of ATR from entry; otherwise, exit at 4:00 p.m. ET.
►Position Sizing: Risk approximately 1% of account equity per trade.
►Performance: Outperforms longer ORB time frames and buy-and-hold. 
 Reference:

 » My Day Trade Secret: HTTC — Hold To The Close.
 « 
[ Zarattini et al.’s 5-Minute ORB Strategy may perform even better when restricted to Toby Crabel
narrow-range days (NR7 and IDnr4) and/or refined with ICT Entry Models and Time Macros. ]

Wednesday, October 14, 2026

Trading Toby Crabel Patterns

Toby Crabel is a short-term futures trader and the author of Day Trading With Short Term Price Patterns and Opening Range Breakout (1990), a now out-of-print book that defined daily range patterns and the opening-range breakout strategy that made his approach influential among short-term traders. He later founded Crabel Capital Management, a systematic trading firm. 
 
The tighter the range, the better the breakout from it.
The table above shows the results of the Crabel Pattern Scanner for ES, NQ, YM, BTC, GC, and CL, run on Tuesday, October 13, at 5:30 p.m. and valid for the next New York trading session on Wednesday, October 14. The E-mini S&P 500 closed with an NR7 and 3BNR pattern, marking the narrowest range in 96 trading days. Of all the instruments displayed, it would have been the best choice for a breakout trade in the next session.
The Tighter the Range, the Better the Breakout From It
In his book, Crabel examined whether relationships among the open, high, low, and close could reveal repeatable, tradable patterns. He presented computer-tested answers to common short-term trading questions across five sections: opening-range breakouts; short-term price patterns; expansion and contraction patterns; combinations of price patterns with expansion and contraction; and openings and closings within different segments of a price bar.
► Contraction occurs when a range stops expanding: a narrow-range (NR) bar, an inside day (ID), or several consecutive bars of either type, with the tightest range at the end of the contraction. 
►
Expansion is the breakout from that range, entered at the next open. A wide spread (WS) reading indicates that the breakout has already carried price beyond the prior range.
»  Small Ranges Beget Large Ranges; Large Ranges Beget Small Ranges. «
S&P 500 E-mini Futures (daily bars): Narrow Range 4, 5, and 7 Days (NR4, NR5, NR7), Inside Days (ID).

These are the contraction and expansion patterns defined by Crabel: 

NR (Narrow Range): A price bar whose range is narrower than the previous bar. Its opposite is WS. Next to NR4, NR5, and NR7 it is technically NR2.

NR4 (Narrow Range 4): A price bar whose range is narrower than each of the previous three bars, marking the narrowest range in four bars. Its opposite is WS4. NR, NR5, and NR7 are also closely watched patterns.

NR5 (Narrow Range 5): A price bar whose range is narrower than each of the previous four bars, marking the narrowest range in five bars. Its opposite is WS5. NR, NR4, and NR7 are also closely watched patterns.

NR7 (Narrow Range 7): A price bar whose range is narrower than each of the previous six bars, marking the narrowest range in seven bars. Its opposite is WS7. NR, NR4, and NR5 are also closely watched patterns.

WS (Wide Spread): A price bar whose range is wider than the previous bar. Its opposite is NR. Next to WS4, WS5, and WS7 it is technically WS2.

WS4 (Wide Spread 4): A price bar whose range is wider than each of the previous three bars, marking the widest range in four bars. Its opposite is NR4. WS, WS5, and WS7 are also closely watched patterns.

WS5 (Wide Spread 5): A price bar whose range is wider than each of the previous four bars, marking the widest range in five bars. Its opposite is NR5. WS, WS4, and WS7 are also closely watched patterns.

WS7 (Wide Spread 7): A price bar whose range is wider than each of the previous six bars, marking the widest range in seven bars. Its opposite is NR7. WS, WS4, and WS5 are also closely watched patterns.

ID (Inside Day): A bar whose high is below the previous high and whose low is above the previous low, so the session sits inside the prior bar.

OD (Outside Day): A bar whose high is above the previous high and whose low is below the previous low, so the session takes out both sides of the prior bar.

IDnr4 (Inside Day Narrow Range 4): An inside day that is also an NR4. The bar sits inside the prior bar, and its range is narrower than each of the previous three bars.

2BNR (2 Bar Narrow Range): The two-bar range, higher high minus lower low, is the narrowest two-bar range of the last 20 sessions.

3BNR (3 Bar Narrow Range): The three-bar range, higher high minus lower low, is the narrowest three-bar range of the last 20 sessions.

4BNR (4 Bar Narrow Range): The four-bar range, higher high minus lower low, is the narrowest four-bar range of the last 30 sessions.

8BNR (8 Bar Narrow Range): The eight-bar range, higher high minus lower low, is the narrowest eight-bar range of the last 40 sessions.

Bear Hook: An NR with the open below the previous bar's low and the close above the previous bar's close.

Bull Hook: An NR with the open above the previous bar's high and the close below the previous bar's close.

Stretch: The 10-session average of the smaller open-to-extreme distance, open to high or open to low. It sets the distance for an ORB or ORBP entry and stop.

Wait for NR4, NR5, NR7, ID, IDnr4, and xBNR. At least one of them shows up on 42% of trading days.
The table above shows the Crabel Pattern Occurrence in the E-mini S&P 500, 2020 to Date (absolute count and percent of 1,756 sessions, January 2, 2020 through October 16, 2026): Each bar is that count, scaled to the largest. A longer NR, WS, or xBNR is not also counted as the shorter pattern it contains.
● The wide side, including 250 (14.2%) WS7 sessions, is an expansion that has already printed. Those days are stood aside.
● A day that is only narrower than yesterday (NR) is about half the sample, so that wait barely selects. The contractions worth taking are the deeper ones. 
● NR7 occurred 284 times (16.2%), one session in six, and that is the narrow day Crabel tested: a two-sided opening-range breakout at the next open. 
● An inside day (ID) occurred 201 times (11.4%). 
● IDnr4, an inside day that is also an NR4, occurred 120 times (6.8%), about eighteen a year, and that was the combination Crabel preferred. 
● Each of 2BNR through 8BNR landed on about 4 percent of sessions, 65 (3.7%) to 82 (4.7%) times. Those longer rests also take a two-sided breakout, and they can fall on the same day as an NR7 or an IDnr4, so the counts are not extra trades. 
● NR4, NR5, NR7, ID, IDnr4, and xBNR: At least one of them shows up on 42% of trading days.

 Crabel Pattern Occurrence Stats for ES, NQ, YM, BTC, GC, CL, and NG, 2020 to date. 

 Crabel Pattern Occurrence Stats for FX Majors, 2020 to date.

► The pattern forms yesterday; the trade is taken in the next session. 

ORB (Opening Range Breakout): A trade at a preset distance (Stretch) off the opening range. The first side to trade is the position.

ORBP (Opening Range Breakout Preference): The same trade, taken in one chosen direction only.

Stretch is the entry distance, not a setup. The opening range is the first 30 seconds (In the glossary of Crabel's 1990 book, the Opening Range is the first thirty seconds of trade each day. The buy and sell stops sit one Stretch beyond that high and that low. The first hour is a different measure. Crabel calls that the Pioneer Range, and for stock indexes it runs from the open to 1:30. That is not the range the ORB stops are measured from.) A buy stop goes one Stretch above that high and a sell stop one Stretch below that low. On an ORB the first stop filled is the trade and the other stop is the protective stop. On an ORBP only the preferred side is working; if price trades Stretch the other way first, cancel, and place the protective stop only after the fill. Later tests in the book often used a fixed distance off the open and flattened on that day's close so every test shared one number. The operating rule is Stretch off the opening range.

NR, NR4, NR5, and NR7 do not pick a side. Take a two-sided ORB the next day. NR7 is the case he tested bar by bar: entry off the open, out on the close, and those trades beat an ORB taken on any day. ID is the same two-sided ORB, unless the market is already running, in which case drop the against-trend stop and take ORBP with the run. IDnr4 is the preferred case. It beat ID alone, NR4 alone, and an ORB on any day, and it is best when it ends a run of closes already pointing one way. 2BNR, 3BNR, 4BNR, and 8BNR are the same idea over a longer rest. Crabel defines all four. The longer the congestion, the more it is a springboard. He did not publish the same tick tests for these as for NR4 and NR7.

Hooks pick the side, so use ORBP. After a Bear Hook, sell only. Do not buy it. The exception is a gap up that holds through mid-session. After a Bull Hook, prefer the buy, and treat it as the weaker of the two. It is better if the next open is below the hook close; once that close is traded, upside continuation is the expectation. A fast move against the bias means stand aside.

WS, WS4, WS5, and WS7 are the expansion the contraction was waiting for, not a fresh setup. WS7 is momentum. An OD is the same class: both sides of the prior bar were already taken out. A True in those rows means the breakout day already happened.

► There is no fixed price target. The tested edge is the close of the entry day. A two- or three-day hold is allowed only if that session is already substantially profitable. 

► The ideal fill is in the first ten minutes, with the open as one extreme of that thrust. A large move in the first fifteen minutes is an Early Entry, and continuation is the normal case. 

► Move the stop to flat within an hour; on the S&P he used five to ten minutes. If price does not leave the entry, the trade is suspect. Scale out with more than one contract and trail the rest. 

► A fill late in the day is the worst entry; cut the size as the session ages, or skip it. If you miss the break, one or two entries on a 3/8 to 1/2 retracement of the range already made are allowed, with the stop beyond the 5/8 level. A third retracement is not. 

► Whichever side of Stretch trades first is the bias for the next two or three hours, even with no position. Do not fade that first move unless it is against the intermediate trend and the pattern agrees with the trend. 

 
Crabel Pattern Scanner results for October 14, 5:30 p.m. ET: Crude Oil closed with an NR7 pattern, marking the narrowest range in 32 trading days. Of all the instruments displayed, it would have been the best choice for a breakout trade in the next session.
Trading the Opening Range Breakout: Strictly Following Crabel (1990)
The Opening Range Breakout is a day trade taken the session after a contraction. Yesterday's bar serves as the setup. For example, the October 14, 2026, end-of-day Crude Oil daily bar exhibited an NR7 pattern, with the narrowest range in 32 trading days, as shown in the Crabel Pattern Scanner table above. The trade is entered at the next session’s open on October 15 at 9:00 a.m. ET. The system is the order. The strategy is which days to use it, and how to manage it once it is on.
 
 
► The Day Before: An ORB after a narrow day beat an ORB taken on any day. The session before should be a contraction: NR, NR4, NR5, NR7, an inside day, or a longer rest such as 2BNR through 8BNR. Those do not pick a side, so the next session is a two-sided ORB.

IDnr4 is the case Crabel liked best. It beat an inside day alone, an NR4 alone, and an ORB on any day. An inside day in a market that is already running is not two-sided. Drop the stop against the run and take ORBP with it. A gap in the direction of that run is continuation. If the break fires the other way, do not take it.

Hooks pick the side. After a Bear Hook, sell only. The exception is a gap up that holds through mid-session. A Bull Hook prefers the buy and is the weaker of the two. It is better if the next open is below the hook close. A fast move against the hook means stand aside.

A wide day is not a new setup. WS and an outside day mean the expansion already happened. An upthrust, a spring, or a sharp reversal is followed with ORBP in the direction of the reversal for at least two days, if that direction agrees with the intermediate trend.

► Before the Open: Stretch is fixed before the open. For each of the last ten sessions, take the smaller distance from that day’s open to its high or to its low. The average of those ten numbers is Stretch.

Choose the order from the pattern. ORB is two-sided. ORBP (Opening Range Breakout Preference) is one side only, used when the pattern or a running market has already named the direction.

► The Open: The opening range is the first thirty seconds. A buy stop goes one Stretch above that high. A sell stop goes one Stretch below that low.

On an ORB both stops are working. The first one filled is the position. The other becomes the protective stop. 

On an ORBP only the preferred side is working. The protective stop is placed after the fill. If price trades one Stretch the other way first, cancel. The preference is gone.

October 16, 2026 morning's ES session, the day after an NR, and the order of the trade. The shaded column is the 9:30 minute, standing in for the first 30 seconds. Stretch was 11.93. The sell stop at 7,783.25 filled at 9:40. The buy stop at 7,815.25 was never traded, so it is the protective stop.

October 15, 2026 daily Gold bar was an NR, so the morning of October 16, 2026 was a two-sided opening-range breakout. The day session opens at 8:20 a.m. ET. Stretch was 19.01. The 8:20 minute ran 4,196.1 to 4,198.6. One Stretch beyond that is a sell stop at 4,177.1 and a buy stop at 4,217.6. The sell filled at 9:21, so the buy became the protective stop. That stop was traded at 10:23. Unlike the ES short, this one was stopped out.

Note: The ES and Gold charts above are illustrative examples demonstrating the principles of the Opening Range and the Stretch. NR days are the weakest among narrow-range days, so prioritize NR4, NR5, NR7, ID, IDnr4, xBNR, or any combination of these higher-grade setups when trading Opening Range Breakouts.

Wednesday, October 14, was NR7 on the CL future, the narrowest range in 32 sessions. Thursday, October 15, was a two-sided breakout off the 9:00 a.m. open. Stretch was 0.92. The 9:00 minute ran 93.91–94.04. The buy at 94.96 filled at 10:08. The sell at 92.99 was not traded. The 2:30 close was 96.44, a profit of $1,480 on one CL contract (risk/reward 0.75 to 1). Candles are five minutes. The range lines are that one 9:00 minute.

► After the Fill: The best fill is in the first ten minutes, with the open as one extreme of that thrust. On the S&P he expected the getaway in five to ten minutes. Move the stop to flat within an hour, sooner in a market that trends easily. If price does not leave the entry, the trade is suspect. Cut the size as the session ages. A fill near the close is the worst entry.

There is no fixed price target. The tested exit is the close of the entry day. A two- or three-day hold is allowed only if that session is already substantially profitable. Otherwise it is a day trade. With more than one contract, take some off and trail the rest.

In the book's tests Crabel often dropped Stretch and used one fixed distance off the open, then flattened on the close, so every pattern could be compared with the same number. The rule for trading it is still Stretch off the opening range.

► If the Break is Missed: If the early break is missed, one or two entries are allowed on a retracement of three-eighths to one-half of the range already made, with the stop beyond the five-eighths level. A third retracement is not.
 
► If no Trade is Taken: The first side of Stretch to trade is the bias for the next two or three hours, even with no position. Do not fade that first move unless it is against the intermediate trend and the pattern agrees with the trend.
 
Lesson Learned 
Small Ranges Beget Large Ranges; Large Ranges Beget Small Ranges is the axiom of market behavior—the eternal rhythm of contraction and expansion. Crabel's original Stretch is simply too tight for today's more volatile intraday markets, leading to premature entries, stop-outs, and unacceptable risk-reward ratios. 

In near-24-hour, algorithm-driven globalized markets, when exactly is the Open, and when to enter a trade—in the Asian, London, or New York session? Crabel himself, Michael Huddleston, Carlo Zarattini et al., and others, have addressed this issue, developing profitable strategies to determine why, when, and where to enter and exit a position. 

» After more than 50 years of trading, one thing is clear: all ideas are subject to revision. Flexibility is required. I do not discard the original intellectual structures when changes are necessary. Instead, the framework evolves and, ideally, strengthens as markets change.

In my 1989 book, the entry logic for moves off the open was more complicated than necessary. A simpler approach is to use a percentage of an n-day average range. The exact percentage and lookback period will vary by market and should be explored. Different markets require different thresholds. There are now many valid reference points beyond the open. In some cases, they may be more relevant. Regional closes, or moves of a certain magnitude from any price level, can serve as useful anchors. Observation should guide testing. «

Crabel (1989/90) vs. Concretum (2026): Thirty seconds needs Stretch beyond it. Five minutes already
contains that noise. Either way, a break of the open taken every day does not pay for itself. 
 
what's stopped working, and what the data says now.

See also:
 

Friday, September 25, 2026

George Cole and the Discovery of Pivot Points for Day Trading | Toby Crabel

The daily support and resistance lattice that most day traders treat as folk knowledge was first set down in 1936 by George William Cole (1870–1937), though he rarely gets credit for it. Cole was the first author to publish the formula now called Classic or Floor Pivots. Toby Crabel himself uses these pivot levels—not as a standalone system, but as one layer in a larger map of reference points.

"Before the many books and derivations of pit trader's numbers, there was George Cole in 1936. He was the first author to write about the formula so many day traders use now, most of whom have no idea where it originated. I haven't seen any contemporary authors credit Cole for it. Fair enough, the method works well, and the numbers are good reference points for structure in the market. It’s worth knowing where they sit each day in whatever you're trading."

 Cole self-published Graphs and Their Application to Speculation (a sequel to his 1928
book Successful Speculation: A Business) the year before he died, and Donald Mack
reprinted it
in 1998
in the Financial Times / Pitman Traders' Masterclass series.

Cole was not creating a simple day-trading cheat sheet. He wanted speculation to operate like a profession: charts as a visual map of mass psychology, a "law of occurrence or recurrence" in commodity prices, and human judgment required to pull the facts together. That is 1930s technical analysis in the Wyckoff family—slow, pictorial, and commodity-first. On subsequent literature, Crabel is blunt, and he names names:

"Almost all short-term traders have explored these numbers. Larry Williams called them his own. John Hill, Fisher, and Ochoa each added something to them. Carter and Person use them too. I saw traders on the floor in the '80s carrying their "Green Sheets" into the pit, and these numbers were the dominant feature on them. It’s safe to say most traders know about them and have built systems around them, so it pays to know where they sit if you want a read on the market’s mind throughout the day."⁠

These details matter. By the 1980s, the formula was no longer just a book idea; it had become pit infrastructure.

»
 Huh! that fellow is a 'chart trader.'
« 
 
Two Different "Pivots," Often Smashed Together
► Structural and Swing Pivots: A high with lower highs on both sides; a low with higher lows on both sides. Livermore called turning points "pivotal points" and split them into reversal versus continuation. Larry Williams later said he first called those short-term turns "ringed" highs and lows "in deference to the work done in the 1930s by Henry Wheeler Chase." That is swing structure, not a closed-form projection.
► Calculated Floor Levels: Yesterday's high, low, and close, printed into today's map before the open.
 

This is what Crabel means by Cole numbers (15-minute E-mini NASDAQ-100 of January 29, 2024): "R4 to S4 including the pivot (p), are all Cole numbers. I-1 hi and I-1 lo are yesterday's high and low. The two-day high (2 day hi), the all-time high (ath), and swing low (1 day sw lo) are also an important part of market structure."⁠ 

John Person's lineage credits Chase with the formula and Williams with its 1979 revival. The honest history involves two 1930s names, an unread reprint, a popularizer, and a floor practice that was already regarded as "secret numbers" when Person walked onto the CBOT. Crabel is likely right that Cole printed the arithmetic first. Person is likely right that the pits treated it as inherited craft. Neither invented the market’s habit of defending yesterday’s range.

The Formula Without Mysticism 
   Let H, L, C be the prior session's high, low, and close.
 
R4 and S4 are further range multiples, which Crabel plots. PP is the typical price (High + Low + Close / 3). R1 and S1 reflect the opposite extreme through that typical price, while R2 and S2 add or subtract the full prior range. Variants exist simply because people keep reweighting those same three numbers: Woodie doubles the close; Fibonacci stacks 0.382/0.618/1.00 of the range off the Pivot Point; Camarilla builds tight fade and breakout rails off the close; DeMark flips the calculation depending on whether the prior bar closed above or below its open. None of this is new physics. It is a daily map printed from a finished bar. 
 
How Crabel Uses the Numbers
He does not treat Cole levels as a system in themselves. He views them as a "predetermined" framework that sits next to a "dynamic" one:

"These are all predetermined price levels. Once the market opens, there are dynamic reference points to factor in too, and I cover those elsewhere. [...] Price will often poke through a high or low before resuming trend, so the action around the previous day's high and low matters."⁠

That last sentence is the core operational rule. The Cole grid provides the scaffolding; the prior high and low are the live walls. A poke-and-fail through yesterday's extreme, in Crabel's framing, tells you far more than a simple tap of R2.

The dynamic half of the map is the work Crabel is known for. In the 1988 Stocks & Commodities series that became his 1990 book, he defined the open itself as the other reference point of the day:

"Opening range breakout is one of the most important indicators of daily market direction that a trader can utilize. An opening range breakout (ORB) is a trade taken at a predetermined amount above or below the opening range. When the predetermined amount (the "stretch") is computed, a buy stop is placed that amount above the high of the opening range and a sell stop is placed the same amount below the low of the opening range. The first stop that is traded is the position and the other stop is a protective stop."⁠

He was already distinguishing rare trend days from ordinary rotation:

"Early entry is defined as a large price movement in one direction within the first five minutes after the open of the daily session. A study of early entry is essentially a study of price action, and the type of price action that takes place on early entry shows that participants are urgent about entering the market. It is a distinct recognition of either a profitable or dangerous situation. [...] It should be noted that directional moves of this nature are relatively rare and may occur only 10% of the time. Most days (70% to 80%), prices exhibit rotation or choppy action and the first five to 10 minutes of trading are sluggish and directionless without a clear movement away from the opening range.⁠"

The hinge between those two day-types is the principle that still sits under NR4, NR7, inside days, and two-bar and three-bar narrow range:

"The market having a specific nature is constantly changing from a period of movement to a period of rest and back to a period of movement."

 
That is the Principle of Contraction/Expansion. Cole numbers do not tell you which regime you are in; compression plus a move off the open does. Crabel reduced that entire visual tradition to two forces:

"My observations of markets through visual displays of data have led me to a simple conclusion: there are two primary forces at work. One is momentum, which includes the opening range breakout (ORB). The other is mean reversion, which at times can even involve trading in the opposite direction of the ORB. This has always been a useful way to think about markets. But over time, I have come to appreciate that there are many nuances and additional conceptual frameworks that continue to refine this view."⁠

Cole's grid is useful in both regimes. On a rotation day, it marks the likely fade rails. On a momentum day, it marks where the move should pause or accelerate. It does not choose the regime for you.

 
What Changed: The Open Stopped Being the Open
The Cole numbers survived the death of the pit because they do not depend on a clean open. ORB did. Crabel has been explicit about that at length, and the long version is the right one:

"⁠Where's the open? For God's sake. I mean there's so much volume in the 24-hour sessions it's impossible to determine what the open is. So the wonderful thing about open range breakout—back in the day when there were just primary session, domestic session trading—was it was the most vital piece of information, the reference point that you could have. [...] The real problem is where is the reference point? Where the open was a great reference point, but now what other reference points are there in the markets? One is the close of the previous day and the movement off of that."⁠⁠

He has also been careful not to claim invention of the open as a tool—"I didn't invent it"—and to note that Larry Williams was already working the same ground, and was not pleased to see it in print.
 
S&P 500 vs. Daily, Weekly, Monthly, and Quarterly Pivot Levels.
 
What Crabel does claim is the research program: find where order flow concentrates, then trade the imbalance. In the early 1990s, that meant two markers. Now it means a crowd of them:

"⁠In the early nineties I used ORB as a primary, or previous day’s high or low, as a reference point for marking and entering trades. Now we probably have 10 or 15 or maybe even 20 different reference points that exist in any market and different ways of navigating that. [...] The closing of the previous day tends to be much more important now than it ever was.⁠"⁠

Reading the Cole essay against that interview and the layout of Crabel's January 29, 2024 chart, the takeaway becomes obvious. R4 and S4 are the old predetermined lattice. The prior high and low, two-day high, all-time high, and swing low are the reference points that still carry energy now that the open is no longer a single moment.

 
What is Solid, What is Soft
► Solid: The levels are objective and available before the session begins. They establish a sensible bias rule: lean long above PP, lean short below PP, and treat R1 and S1 as the first places the auction should hesitate. Prior-day highs and lows are usually respected more than outer projections because they are actual traded extremes rather than mathematical reflections. Crabel's poke-through-and-fail observation around those extremes remains one of the cleanest intraday tells in trading literature. The green sheets existed because the numbers were shared—and shared levels become structural market points even after their original rationale is forgotten.
►
Soft: The formula does not account for overnight gaps or a Sunday FX open. "Yesterday" is no longer a clean object in 24-hour markets. Outer levels are often wallpaper. Buying S1 and selling R1 as a standalone system is how the method earns its bad name. The edge, when there is one, is confluence: a Cole level + prior high and low + opening range or prior close + the actual swing right in front of you.

That is also why Crabel's credit-where-due note is more than antiquarianism. Cole printed a portable map. The pits made it a common language. Williams, Hill, Fisher, Ochoa, Carter, and Person turned it into product. Camarilla, Woodie, Fibonacci, and DeMark are variants. Crabel's own contribution is the frame around the map: predetermined levels first, then the day’s dynamic reference points, then a decision about whether the session is momentum or mean reversion.

Ochoa's CPR, Cole's Floor/Classic or Traditional, Woodie, DeMark, Fibonacci, Scott's Camarilla.

However, do not give the pivots' arithmetic more metaphysics than it earns. It is a prior-day typical price and a set of reflections. It works when the market is still negotiating yesterday's range. It is noise when the market has already decided today is a different day. The skill is telling those two conditions apart—and that skill, as Toby Crabel keeps repeating, is not in the formula. It is in the structure you put around it.

Reference:
 
Why pivot points work?
Self-fulfilling prophecy.
 Aha!
 
See also: