Livermore Pivotal Points
NO EDGEWait for the pivotal point - the price where the line of least resistance breaks - and pyramid only into profit.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 1.2% | 9.0% |
| Return per unit of risk (Sharpe) | 0.18 | 0.66 |
| Worst fall (max drawdown) | -40.3% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 6.4% a year against 12.4% for the benchmark; Sharpe -0.14 in the training years, 0.57 after.
After 25 bps of trading costs: -1.7% a year. EDGE OVER RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 0.0% | 15.5% |
| 2000s | -3.8% | -2.6% |
| 2010s | 2.1% | 11.6% |
| 2020s | 9.7% | 14.1% |
// THE IDEA, AS PUBLISHED
Jesse Livermore, 'How to Trade in Stocks' (1940); see Edwin Lefevre, 'Reminiscences of a Stock Operator' (1923), a fictionalized account · 1940
- Act only when price breaks through a pivotal point, never in anticipation
- Confirm with a second stock in the same group
- Add only to profitable positions; never average losers
- Exit fast when a trade does not act right; long or short
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:42 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.