SWING BREAK - DAX reversal patterns trading strategy - Strategies

When the price breaks a resistance or a support level, there is a breakout.
But most of the time when the price meets a level of support or resistance it is rejected back. If not, it would not make sense to talk about supports and resistances.

This strategy searches for levels of support and resistance. The levels are dynamic in the sense that they are periodically updated every 2 hours.
We are looking for inversion patterns on these levels where, we hope, the price rebounds.
The patterns used here are the “pin bar” and the “engulfing”.

The “pin bar buy” is a green candle with a small body and a long lower sword.
The “pin bar sell” is a red candle with a small body and a long upper sword.
The “bullish engulfing” consists of 2 candles, the first red and the second green that totally incorporates the first one.
The “bearish engulfing” is composed of 2 candles, the first green and the second red that totally incorporates the first one.

(Note that the “engulfing” is a masked “pin bar” – example: an “engulfing” on timeframe at 1 min becomes a “pin bar” on timeframe at 2 min.).

Of course you can also use other inversion patterns, for example, morning stars, evening stars, hammers, doji, harami, narrow ranges, etc. At you find the best ones. Or, why not, an indicator of overbought and oversold (RSI, Stochastic, etc).

At the contrary, in the event that there was a “breakout”: that is if the price broke through the support or resistance, we buy or sell on a retracement in the direction of the trend.

The strategy is implemented with the possibility of increasing the number of contracts to buy / sell (see warnings in the code).
In addition, a daily monetary stoploss and a daily monetary profit target are set. If exceeded, no other operations are performed that day.
The orders are all “stop orders” and remain valid for the 3 bars after the entry signal has occurred.

The strategy has been tested on

Market: DAX – Timeframe 1 Min. – Capital € 10,000 – spread 1 point.

Many thanks to all those who want to test and / or implement what shared.

// Definizione dei parametri del codice
DEFPARAM  CumulateOrders = False
DEFPARAM PRELOADBARS = 2000
DEFPARAM FLATBEFORE = 090000
DEFPARAM FLATAFTER = 173000

// No new trade after 17.00
TimeToStop = time < 170000
// No Trade 1 may, 24, 25, 26, 30 e 31 december, saturday and sunday
GiornoTrading = NOT ((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31) OR OpenDayOfWeek = 6  OR OpenDayOfWeek = 0))

ONCE LOTTO = 1 // nr of contracts
ONCE NDBARLIMIT = 3 // nr of bars on which the buy stop or sell stop orders remains active
ONCE DS = 40*LOTTO*PointValue   // Daily Target Profit in €
ONCE N = -2    // Daily Stop Loss = N*DS in €


ATR = AverageTrueRange[5]
VATR = (ATR[0]-ATR[5])/ATR[5] // Variazione dell'ATR rispetto a 5 barre prima
S = ATR*5 // minimum stoploss
T = 1     // Target profit = S*T
// if volatility increase target profit increase
IF VATR > 0 THEN
 T = T + (T * VATR) // Target profit = S*T
ENDIF

// Definition of inversion patterns : engulfing and pin bar
BearishEng = close[1]>open[1] AND open[0]>=close[1] AND close[0]<open[1] AND close[0]<open[0] AND (close[0]-low[0])<(open[0]-close[0])
BullishEng = close[1]<open[1] AND open[0]<=close[1] AND close[0]>open[1] AND close[0]>open[0] AND (high[0]-close[0])<(close[0]-open[0])
PinSell    = close[0]<open[0] and (high[0]-open[0])>=2.5*(open[0]-close[0]) and (close[0]-low[0])<2*(open[0]-close[0])
PinBuy     = close[0]>open[0] and (open[0]-low[0])>=2.5*(close[0]-open[0]) and (high[0]-close[0])<2*(close[0]-open[0])
UP = BullishEng OR PinBuy
DW = BearishEng OR PinSell
HPAT = Highest[2](High) // HIGH of the pattern
LPAT = Lowest[2](Low)   // LOW  of the pattern


// At 9.00 at 11.00 at 13.00 at 15.00  it calculates Max and Min of n last bars
IF TIME = 090000 OR TIME = 110000 OR TIME = 130000 OR TIME = 150000 THEN
 H01H = Highest[60](High)
 H02H = Highest[660](High)
 H03H = Highest[1020](High)
 H04H = Highest[1500](High)
 L01H = Lowest [60](Low)
 L02H = Lowest [660](Low)
 L03H = Lowest [1020](Low)
 L04H = Lowest [1500](Low)
 HMAX = MAX(H01H, MAX(H02H, MAX(H03H, H04H))) // Max of max
 LMIN = MIN(L01H, MIN(L02H, MIN(L03H, L04H))) // Min of min
ENDIF

// at 8.59 a.m.  it calculates the entity of StrategyProfit
IF TIME = 085900 THEN
 LASTPROFIT = STRATEGYPROFIT
ENDIF
// If not onmarket it calculates daily profit or loss
IF NOT ONMARKET THEN
 DELTAPROFIT = STRATEGYPROFIT-LASTPROFIT

 // DEFINITION of SIZE of the POSITION to open
 // NOTE that to double the position is profitable only if the strategy has a percentage of trades in gain greater than or equal to 50%
 // for this to happen, the ratio (T) between stoploss and take profit must not be too high
 IF POSITIONPERF(1)>= 0 THEN
  SIZE = 1*LOTTO
 ENDIF
 IF POSITIONPERF(2) >= 0 AND POSITIONPERF(1) < 0 THEN
  SIZE = 2*LOTTO
 ENDIF
 IF POSITIONPERF(2) < 0 AND POSITIONPERF(1) < 0 THEN
  SIZE = 4*LOTTO
 ENDIF

ENDIF

// Condizioni per entrare long
C0 = AverageTrueRange[1500](Close) > 3 and CLOSE > ExponentialAverage[21](Close) // minimun of volatility and direction
C1 = (UP and LPAT <= L01H and HPAT > L01H) // price is rejected by the support
C2 = (UP and LPAT <= L02H and HPAT > L02H) // price is rejected by the support
C3 = (UP and LPAT <= L03H and HPAT > L03H) // price is rejected by the support
C4 = (UP and LPAT <= L04H and HPAT > L04H) // price is rejected by the support
C5 = (UP and LPAT > HMAX) // the price broke the resistance we buy on the pull back

IF C0 and (C1 OR C2 OR C3 OR C4 OR C5) THEN
 OPENBUY = high[0]+1*Pointsize // price of entry
 MYINDEX = Barindex
ENDIF
IF Barindex>=MYINDEX+NDBARLIMIT THEN // after NDBARLIMIT bars the order buy stop is deleted
 OPENBUY = 0
ENDIF
 // Respect all the conditions to open order, We open it only if daily profit or daily stoploss have not already been exceeded
IF OPENBUY > 0 AND NOT ONMARKET AND DELTAPROFIT<DS AND DELTAPROFIT>DS*N AND TimeToStop AND GiornoTrading THEN
  BUY SIZE CONTRACTS AT OPENBUY STOP
  // si fissano stoploss e targetprofit
  SL = (high[0]-low[0])/Pointsize+1
  IF SL < S THEN
   SL = S
  ENDIF

  IF SL > 60 THEN
   SL = 60
  ENDIF

  TP = SL*T
  IF TP > S*3 THEN
  TP = S*3
 ENDIF

 SET STOP pLOSS SL
 SET TARGET pPROFIT TP
ENDIF

// Condizioni per entrare short
C0 = AverageTrueRange[1500](Close) > 3 and CLOSE < ExponentialAverage[21](Close) // minimun of volatility and direction
C21 = (DW and HPAT >= H01H and LPAT < H01H) // price is rejected by the resistance
C22 = (DW and HPAT >= H02H and LPAT < H02H) // price is rejected by the resistance
C23 = (DW and HPAT >= H03H and LPAT < H03H) // price is rejected by the resistance
C24 = (DW and HPAT >= H04H and LPAT < H04H) // price is rejected by the resistance
C25 = (DW and HPAT < LMIN) // the price broke the support we sell on the pull back

IF C0 and (C21 OR C22 OR C23 OR C24 OR C25) THEN
 OPENSELL = low[0]-1*Pointsize
 MYINDEX = Barindex
ENDIF
IF Barindex>=MYINDEX+NDBARLIMIT THEN
 OPENSELL = 0
ENDIF
// Respect all the conditions to open order, We open it only if daily profit or daily stoploss have not already been exceeded
IF OPENSELL > 0 AND NOT ONMARKET AND DELTAPROFIT<DS AND DELTAPROFIT>DS*N AND TimeToStop AND GiornoTrading THEN
 SELLSHORT SIZE CONTRACTS AT OPENSELL STOP
 // si fissano stoploss e targetprofit
 SL = (high[0]-low[0])/Pointsize+1
 IF SL < S THEN
  SL = S
 ENDIF

 IF SL > 60 THEN
  SL = 60
 ENDIF

 TP = SL*T
 IF TP > S*3 THEN
   TP = S*3
 ENDIF


 SET STOP pLOSS SL
 SET TARGET pPROFIT TP
ENDIF

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// Definizione dei parametri del codice

DEFPARAM CumulateOrders = False

DEFPARAM PRELOADBARS = 2000

DEFPARAM FLATBEFORE = 090000

DEFPARAM FLATAFTER = 173000

// No new trade after 17.00

TimeToStop = time < 170000

// No Trade 1 may, 24, 25, 26, 30 e 31 december, saturday and sunday

GiornoTrading = NOT ((Month = 5 AND Day = 1) OR (Month = 12 AND (Day = 24 OR Day = 25 OR Day = 26 OR Day = 30 OR Day = 31) OR OpenDayOfWeek = 6 OR OpenDayOfWeek = 0))

ONCE LOTTO = 1 // nr of contracts

ONCE NDBARLIMIT = 3 // nr of bars on which the buy stop or sell stop orders remains active

ONCE DS = 40*LOTTO*PointValue // Daily Target Profit in €

ONCE N = -2 // Daily Stop Loss = N*DS in €

ATR = AverageTrueRange[5]

VATR = (ATR[0]-ATR[5])/ATR[5] // Variazione dell'ATR rispetto a 5 barre prima

S = ATR*5 // minimum stoploss

T = 1 // Target profit = S*T

// if volatility increase target profit increase

IF VATR > 0 THEN

T = T + (T * VATR) // Target profit = S*T

ENDIF

// Definition of inversion patterns : engulfing and pin bar

BearishEng = close[1]>open[1] AND open[0]>=close[1] AND close[0]<open[1] AND close[0]<open[0] AND (close[0]-low[0])<(open[0]-close[0])

BullishEng = close[1]<open[1] AND open[0]<=close[1] AND close[0]>open[1] AND close[0]>open[0] AND (high[0]-close[0])<(close[0]-open[0])

PinSell = close[0]<open[0] and (high[0]-open[0])>=2.5*(open[0]-close[0]) and (close[0]-low[0])<2*(open[0]-close[0])

PinBuy = close[0]>open[0] and (open[0]-low[0])>=2.5*(close[0]-open[0]) and (high[0]-close[0])<2*(close[0]-open[0])

UP = BullishEng OR PinBuy

DW = BearishEng OR PinSell

HPAT = Highest[2](High) // HIGH of the pattern

LPAT = Lowest[2](Low) // LOW of the pattern

// At 9.00 at 11.00 at 13.00 at 15.00 it calculates Max and Min of n last bars

IF TIME = 090000 OR TIME = 110000 OR TIME = 130000 OR TIME = 150000 THEN

H01H = Highest[60](High)

H02H = Highest[660](High)

H03H = Highest[1020](High)

H04H = Highest[1500](High)

L01H = Lowest [60](Low)

L02H = Lowest [660](Low)

L03H = Lowest [1020](Low)

L04H = Lowest [1500](Low)

HMAX = MAX(H01H, MAX(H02H, MAX(H03H, H04H))) // Max of max

LMIN = MIN(L01H, MIN(L02H, MIN(L03H, L04H))) // Min of min

ENDIF

// at 8.59 a.m. it calculates the entity of StrategyProfit

IF TIME = 085900 THEN

LASTPROFIT = STRATEGYPROFIT

ENDIF

// If not onmarket it calculates daily profit or loss

IF NOT ONMARKET THEN

DELTAPROFIT = STRATEGYPROFIT-LASTPROFIT

// DEFINITION of SIZE of the POSITION to open

// NOTE that to double the position is profitable only if the strategy has a percentage of trades in gain greater than or equal to 50%

// for this to happen, the ratio (T) between stoploss and take profit must not be too high

IF POSITIONPERF(1)>= 0 THEN

SIZE = 1*LOTTO

ENDIF

IF POSITIONPERF(2) >= 0 AND POSITIONPERF(1) < 0 THEN

SIZE = 2*LOTTO

ENDIF

IF POSITIONPERF(2) < 0 AND POSITIONPERF(1) < 0 THEN

SIZE = 4*LOTTO

ENDIF

// Condizioni per entrare long

C0 = AverageTrueRange[1500](Close) > 3 and CLOSE > ExponentialAverage[21](Close) // minimun of volatility and direction

C1 = (UP and LPAT <= L01H and HPAT > L01H) // price is rejected by the support

C2 = (UP and LPAT <= L02H and HPAT > L02H) // price is rejected by the support

C3 = (UP and LPAT <= L03H and HPAT > L03H) // price is rejected by the support

C4 = (UP and LPAT <= L04H and HPAT > L04H) // price is rejected by the support

C5 = (UP and LPAT > HMAX) // the price broke the resistance we buy on the pull back

IF C0 and (C1 OR C2 OR C3 OR C4 OR C5) THEN

OPENBUY = high[0]+1*Pointsize // price of entry

MYINDEX = Barindex

ENDIF

IF Barindex>=MYINDEX+NDBARLIMIT THEN // after NDBARLIMIT bars the order buy stop is deleted

OPENBUY = 0

ENDIF

// Respect all the conditions to open order, We open it only if daily profit or daily stoploss have not already been exceeded

IF OPENBUY > 0 AND NOT ONMARKET AND DELTAPROFIT<DS AND DELTAPROFIT>DS*N AND TimeToStop AND GiornoTrading THEN

BUY SIZE CONTRACTS AT OPENBUY STOP

// si fissano stoploss e targetprofit

SL = (high[0]-low[0])/Pointsize+1

IF SL < S THEN

SL = S

ENDIF

IF SL > 60 THEN

SL = 60

ENDIF

TP = SL*T

IF TP > S*3 THEN

TP = S*3

ENDIF

SET STOP pLOSS SL

SET TARGET pPROFIT TP

ENDIF

// Condizioni per entrare short

C0 = AverageTrueRange[1500](Close) > 3 and CLOSE < ExponentialAverage[21](Close) // minimun of volatility and direction

C21 = (DW and HPAT >= H01H and LPAT < H01H) // price is rejected by the resistance

C22 = (DW and HPAT >= H02H and LPAT < H02H) // price is rejected by the resistance

C23 = (DW and HPAT >= H03H and LPAT < H03H) // price is rejected by the resistance

C24 = (DW and HPAT >= H04H and LPAT < H04H) // price is rejected by the resistance

C25 = (DW and HPAT < LMIN) // the price broke the support we sell on the pull back

IF C0 and (C21 OR C22 OR C23 OR C24 OR C25) THEN

OPENSELL = low[0]-1*Pointsize

MYINDEX = Barindex

ENDIF

IF Barindex>=MYINDEX+NDBARLIMIT THEN

OPENSELL = 0

ENDIF

// Respect all the conditions to open order, We open it only if daily profit or daily stoploss have not already been exceeded

IF OPENSELL > 0 AND NOT ONMARKET AND DELTAPROFIT<DS AND DELTAPROFIT>DS*N AND TimeToStop AND GiornoTrading THEN

SELLSHORT SIZE CONTRACTS AT OPENSELL STOP

// si fissano stoploss e targetprofit

SL = (high[0]-low[0])/Pointsize+1

IF SL < S THEN

SL = S

ENDIF

IF SL > 60 THEN

SL = 60

ENDIF

TP = SL*T

IF TP > S*3 THEN

TP = S*3

ENDIF

SET STOP pLOSS SL

SET TARGET pPROFIT TP

ENDIF

candlestick pattern DAX resistance reversal support support and resistance

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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vlongobardo67 • 03/15/2018 #
Ciao Fulvio,

ho scaricato ed importato il file.
m,a se lo faccio girare sul miniDax non apre nessun ordine !
cosa sto sbagliando ?

FULVIO09 • 03/15/2018 #
Attualmente non c’è sufficiente volatilità : la condizione “C0 = AverageTrueRange[1500](Close) > 3” non è verificata.

vlongobardo67 • 03/15/2018 #
Ma io intendevo in backtest !
Scusa non l’ho menzionato.

ciniselloftse • 03/15/2018 #
salve fulvio .il trading sistem e sempre profittevole?

bjoern With the same parameters? For me the results are negative

bjoern Oh ok, with the initial posted parameters it is positive

victormork yes! It's not like you want to put it on live but when I for example take the version I have...

wtangsiri Bonjour J'ai importé le fichier ITF en question, mais cela me donne, en bas de l'écran, un...

Nicolas Il faut ajouter l'indicateur sur le graphique du prix.

skuggan89 This is a great indicator, works very well!! Is there any algo based on this indicator that ...

Regan2020 Hi, has anybody update the above code to enable on a 15m or 5m TF?

gigi64 ik heb de code op mijn pro realtime gezet , en bij indicator staat hij erbij maar komt niet ...

gigi64 I have put the code on my pro realtime, and it is on the indicator, but it does not appear o...

otty82 all right. thanks

mmichael Hello, I noticed that the indicator shows the initial balance of today but also for all the ...

leyoy Bonjour, comment l'adapter sur 15 minutes au lieu de 1 heures ... j'ai changé 090000 par 081...

Derek Nice strategy. Have you tried adding a stop loss since there are a few sharp drawdowns? I ...

Piston_Broke Non so .... da qui la mia domanda iniziale :-)

Piston_Broke Hi Derek. I have tried many different ways to apply SL's to this and similar versions of th...

Nicolas Indeed, if you are not willing to loose, you will always win. Averaging down losers can carr...

David You're always safer going Long especially with averaging down on an index as the probability...

Oskar Bergvall I noted Davids and Nicolas remarks. Could it be possible to make an indicator for contraria...

Nicolas You can send it to contact@prorealcode.com and I'll attach it here. Thanks for your sharing!

Francesco78 Hi Lotar, which variables would you choose to recalibrate it to the present market condition...

Degardin Arnaud unfortunatly in today's market it's not working at all...

Nicolas it is based on seasonality of DAX.

Luciano Santiago Juárez Hello I am new here I am trying to understand this code IF monthlyMultiplierLong > 0 ...

Luciano Santiago Juárez Sorry the code copied bad the line I dont understand is: ELSIF monthlyMultiplierLong 0 THEN

Wing Yes, investigate as much as you want. For more insight, you can view the linet1, linet2 etc....

CKW Hi Wing, Thanks for your sharing. I am still trying to breakdown & understand your code...

Wing Hello CKW. No, the parameter, 7 in this case, is used when calling the RSI indicator to ide...

Nacho Buenos días Raul, tengo puesto este sistema desde hace unos días en una cuenta demo en la ve...

Dominik Hola Raul ... it looks wonderful :-) Why does it not work if I use less than 100,000 € capi...

Bobbi Hola y gracias por compartir! Descubrí que en 5 minutos teníamos algo muy bueno! Pero no ...

danhei Hi I am tryong to figure out how trist strategy works. I am new to pro real time. Can some...

Plop61 Hello,Thank you for sharing this beautiful strategy.Is it possible to indicate the code for ...

NoName Thank you very much for this fascinating trading system. It is still proving to be extremely...

pollon Ciao Ale, anche a me da questo errore "QQE_QUDAX1HBUY" "QQE_QUDAX1HSELL" "UNIV_QUDAX...

reb Hi Ale do you trade these QU strategies? Are the results same as backtests Thnaks in adv...

crazytrader Hi anyone that has run this lately?

larouedegann best with this hour IF TIME =081000 THEN plushaut=highest[2](high) plusbas = lowest[2](lo...

CanAny1Trade Hi! I'm trying to put together a similar indicator but struggling. I want to mark the NY Pit...

ALE Hi Pat This code was nothing more than an experiment

pat95162 Hi Ale Do you have same results as me ? The strategy works very well in 2017 and now in 2-...

Nicolas Built on the history means that it suits the history. Always develop ideas in In-Sample peri...

Elsborgtrading No that is wrong :) 1st runs always- then only run 2nd if 1st is on market with positions(ar...

Elsborgtrading It can only be fully automated if IG change minimum SLto 7 at night on DAX multi timefra...

Elsborgtrading A small example. the strategy would have opened 3 position on Dec 4th 2016 and keept it for ...

Cosmic1 @JadeDB What times are you putting in?

sincitytrader I tried this one out recently, and wasn't profitable for me.

Cosmic1 Yes, not great lately. I stopped this live at the end of last year. Will wait to see when th...

Philip Raphael Hey! Thank so much for sharing this wonderful indicator! I have always tried to code a simil...

CKW Hi Philip, What do you mean "Years" are not defined ? candle? If to code yearly candle size...

dakaodo Years not defined was probably b/c Phillip copied and pasted the code into PRT instead of im...

Nicolas Thank you for contribution. Please consider that advertising is tolerate as long as you cont...

triss1965@gmail.com Hi, I cant make it work. And if you doing so much money. Why do you have to sell it? It don...

T-rader Eva... He dosen´t sell anything. He is just a nice guy that want to share on of his strategy...

SWING BREAK – DAX reversal patterns trading strategy

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