One of the most rewarding aspects of building WealthLab over the years has been watching traders take classic market concepts and turn them into fully automated, testable strategies. Recently, a WealthLab user asked for help implementing a multi-scenario strategy based on Camarilla Levels and the market’s opening price. The request outlined three distinct setups, but in this first article, we will focus on just the first case: a long breakout entry when price opens between Camarilla R3 and R4.

This article shows, step-by-step, how I implemented this setup using Building Blocks in WealthLab 8, starting with proper symbol configuration, then building the exact entry and exit logic, and finally running the first backtest on intraday futures data.

The User’s Original Trading Concept (Long Setup Only)

The first portion of the user’s request was:

If price opens in between R3 and R4, buy entry at R4 (profit objective to be determined, stop placement at R3).

In other words:

• We evaluate the opening price of the regular trading session
• If the open is between Camarilla R3 and R4
• We place a buy stop at R4
• We use R3 as the protective stop
• A higher Camarilla level will serve as the profit objective (I decided on R5 since in the original request the exit was not yet defined)

This is a classic volatility breakout continuation setup, framed through the lens of Camarilla Levels.

Why I Created a New @ES Symbol in WealthLab

Before building the strategy itself, I needed to address an important data integrity issue.

When pulling continuous futures data for @ES (E-mini S&P 500) from the TradeStation data provider, the default market mapping was CME-EST. That default mapping included pre-market and post-market data, which distorted the true opening price of the regular session. Since this strategy explicitly depends on the session open, that data behavior was unacceptable.

So I created a new custom symbol in the WealthLab Markets & Symbols tool:

• Symbol: @ES
• Market: US Stocks (RTH session only)
• Point Value: $50
• Margin: $5,060
• Security Type: Future

By remapping @ES to the US Stocks market, I ensured:

• Clean regular session opens
• No overnight noise
• No extended-hours contamination
• Accurate Camarilla levels aligned with the true prior session

This step is critical any time a strategy depends on opening price logic.

Before proceeding further, I also ensured that Futures Mode was enabled (check box was checked) in WealthLab Preferences, Backtest page. This makes sure the backtest calculates the correct profit/loss of the futures contracts based on the point value/margin set up in Markets & Symbols.

Building Block Strategy Settings

• Instrument: @ES Continuous Contract (sourced from TradeStation, so we need to be sure TradeStation is enabled in the WealthLab Data Manager, Historical Providers tab. If you're using a different provider, adjust accordingly.)
• Frequency: 10-minute bars
• Data Range: 1 year
• Position Size: 100% of equity, Margin Factor 1.1
• Camarilla Levels Indicator: Newly added to WealthLab 8 (Build 144)
• PowerPack Extension: Enabled for session-aware indicators

Entry Logic Using Building Blocks

We now translate the trading rules into pure building-block logic.

Entry Order Type

I used the:

• Buy at Limit/Stop block
• Configured as a Buy Stop
• Set to 0% above Camarilla R4

This means the trade only triggers if price breaks upward through R4.

Entry Conditions

Three conditions must be satisfied before the buy-stop order is placed:

1. Market Opens Above R3

Using the Indicator Compare to Indicator Condition Block:

• NextSessionOpen (from the PowerPack Extension) > Camarilla R3

This confirms the open is not below the upper resistance zone. By using NextSessionOpen we are making the decision using the open price of the entry bar, not the open price of the signal bar as is typically done in WealthLab. For this reason, when trading this strategy live, we'll need to be vigilant and observe the open price and react accordingly. In a future installment I'll talk about ways to automate this in WealthLab.

2. Market Opens Below R4

Using the Indicator Compare to Indicator Condition Block:

• NextSessionOpen < Camarilla R4

Together, the first two rules mathematically enforce:

Opening price is strictly between R3 and R4

3. Only Signal on the First Bar of the Day

To prevent repeated signals throughout the session I used the Time of Day Condition Block from the Power Pack Extension.

• TimeOfDay = 16:00

Since @ES regular trading hours begin at 9:30 ET, this condition ensures the strategy only evaluates the setup on the very first intraday bar of the session.

This is an important nuance: without this time filter, the strategy could repeatedly trigger false breakouts later in the day.

Exit Logic

Two exits were used, both implemented using the Sell at Limit/Stop Building Block.

1. Profit Target

• Sell at Limit
• 0% above Camarilla R5

This captures a continuation move into the next volatility band above R4.

2. Protective Stop

• Sell at Stop
• 0% below Camarilla R3

This stop defines maximum adverse excursion if the breakout fails and price falls back into the prior range.

Complete Trading Logic Summary

Putting it all together, the logic for Part 1 is:

1. Evaluate only the first 10-minute bar of the session
2. Confirm NextSessionOpen is between R3 and R4
3. Place a buy stop at R4
4. If filled:
   • Profit Target → R5
   • Stop Loss → R3

This directly matches the user’s original specification for the long breakout scenario.

Initial Backtest on @ES

The strategy was tested on:

• 10-minute @ES data
• Sourced from TradeStation
• Using the newly mapped US Stocks market session

At this stage, the objective is not optimization—it is:

• Verifying clean signal behavior
• Confirming that entries only occur on va
• Ensuring stop and target behavior match expectations
• Validating that the Camarilla levels align properly with the session data

With the correct symbol mapping and session filtering in place, the trades now behave exactly as the theoretical rules intend.

What’s Coming in Part 2

In the next article, we will implement the reversion logic requested by the user:

• Shorts at R3 when price opens between R3 and S3
• Reversion longs at S3 following successful shorts
• Optimization of multiple profit targets (S1, S2, S3, R1, R2, R3)
• Unified multi-scenario Camarilla framework
• Full portfolio-level performance analysis

This will transform the current single-setup model into a complete Camarilla-driven trading system.