Ehlers' Sinewave Indicator

• 03/25/2020 at 6:04 PM #123303
  Bard

  Hi there, can anyone figure out how to get the Fractal indicator to take trades in a system?
  I tried writing it out manually (including adding the indicator in the system as I’m not sure if calling it is the fastest, cleanest way to use it?), but it only takes one trade. The first one.

  It’d be really interesting to backtest this with differnt types of stops (Kase Dev Stop, Kaufman, Trailing Stops etc) because the enrties already look like they’re way beyond 50% accurate on direction.

  Cheers for any help,

  Fractal Reversal Point System

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //Shouldersize = 3 //size of shoulders ShoulderSize = 5 r = ShoulderSize*2 once SwingH = 0 once SwingL = 0 once FractalD = 0 For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize] < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalD = -1 EndIf SwingH = 0 SwingL = 0 // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif If FractalL then Buy 10 Perpoint at Market Endif // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif If FractalH then Sellshort 10 Perpoint at Market Endif

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   //Shouldersize = 3 //size of shoulders   ShoulderSize = 5 r = ShoulderSize*2   once SwingH = 0 once SwingL = 0 once FractalD = 0   For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize]  < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next   If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf   If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalD = -1 EndIf   SwingH = 0 SwingL = 0   // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif   If FractalL then Buy 10 Perpoint at Market Endif   // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif   If FractalH then Sellshort 10 Perpoint at Market Endif

   

   

  

  Bard

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  03/26/2020 at 6:07 PM #123489
  Bard

  Spotted my mistake, the Fractal conditions weren’t complete. Here’s the correct Fractal System code:
  Fractal triangles in the screenshot are yellow and blue.

  3.8 spread. £/$ Daily. 01/11/17-29/01/19
  200% return, 40% Drawdown.

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //Shouldersize = 3 //size of shoulders ShoulderSize = 2 r = ShoulderSize*2 once SwingH = 0 once SwingL = 0 once FractalD = 0 For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize] < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalL = low[ShoulderSize] FractalD = -1 EndIf SwingH = 0 SwingL = 0 // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif If FractalD = -1 and FractalL then Buy 10 Perpoint at Market Endif // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif If FractalD = 1 and FractalH then Sellshort 10 Perpoint at Market Endif

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   //Shouldersize = 3 //size of shoulders   ShoulderSize = 2 r = ShoulderSize*2   once SwingH = 0 once SwingL = 0 once FractalD = 0   For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize] < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next   If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf   If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalL = low[ShoulderSize] FractalD = -1 EndIf   SwingH = 0 SwingL = 0   // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif   If FractalD = -1 and FractalL then Buy 10 Perpoint at Market Endif   // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif   If FractalD = 1 and FractalH then Sellshort 10 Perpoint at Market Endif

   

   

  

  Bard

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  03/26/2020 at 6:34 PM #123494
  Bard

  Fractal + Kase Dev Stop

  Fractal triangles in the screenshot are yellow and blue.

  3.8 spread. £/$ Daily. 01/11/17-29/01/19 (randomly chosen dates)
  200% return, 32% Drawdown.
  Shouldersize = 5 randomly chosen. Please adjust these and the Dev Stop for different markets.

  Kase Dev Stop code: https://www.prorealcode.com/prorealtime-indicators/kase-dev-stop-v3

  Fractal Reversal Point+DevStop

  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated //Shouldersize = 3 //size of shoulders ShoulderSize = 5 r = ShoulderSize*2 once SwingH = 0 once SwingL = 0 once FractalD = 0 For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize] < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalL = low[ShoulderSize] FractalD = -1 EndIf SwingH = 0 SwingL = 0 // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif If FractalD = -1 and FractalL then Buy 10 Perpoint at Market Endif // Conditions to exit long positions ignored, ignored, ignored, Dev,ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c1 = (close CROSSES UNDER Dev) IF c1 THEN SELL AT MARKET ENDIF //-------------------------// // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif If FractalD = 1 and FractalH then Sellshort 10 Perpoint at Market Endif // Conditions to exit short positions ignored, ignored, ignored, Dev, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c2 = (close CROSSES OVER Dev) IF c2 THEN EXITSHORT AT MARKET ENDIF

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  // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   //Shouldersize = 3 //size of shoulders   ShoulderSize = 5 r = ShoulderSize*2   once SwingH = 0 once SwingL = 0 once FractalD = 0   For i = 0 to r Do If high[ShoulderSize] > high[i] or i = ShoulderSize Then SwingH = SwingH + 1 EndIf If low[ShoulderSize]  < low[i] or i = ShoulderSize Then SwingL = SwingL + 1 EndIf Next   If SwingH = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalH = high[ShoulderSize] FractalD = 1 EndIf   If SwingL = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalL = low[ShoulderSize] FractalD = -1 EndIf   SwingH = 0 SwingL = 0   // Conditions to enter long positions If SwingL = (r+1) and (FractalD = 0 or FractalD = -1) Then FractalL = low[ShoulderSize] Endif   If FractalD = -1 and FractalL then Buy 10 Perpoint at Market Endif   // Conditions to exit long positions ignored, ignored, ignored, Dev,ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c1 = (close CROSSES UNDER Dev)   IF c1 THEN SELL AT MARKET ENDIF   //-------------------------//   // Conditions to enter short positions If SwingH = (r+1) and (FractalD = 0 or FractalD = 1) Then FractalH = high[ShoulderSize] Endif   If FractalD = 1 and FractalH then Sellshort 10 Perpoint at Market Endif   // Conditions to exit short positions ignored, ignored, ignored, Dev, ignored, ignored = CALL "Kase Dev Stop Lisse+SAR+4.5/6" c2 = (close CROSSES OVER Dev)   IF c2 THEN EXITSHORT AT MARKET ENDIF

  Kase Dev Stop with SAR

  //Voici le code en version SAR : plus WITH DEV STOP 4.5 + 6.0 //Settings n=30 p1=1.0 p2=2.2 p3=3.6 p4=4.5 p5=6.0 difference=0 Hg=highest[2](high) Lw=lowest[2](low) DTR=max(max(Hg-Lw,abs(Hg-close[2])),abs(Lw-close[2])) aDTR=average[n](DTR) for i=0 to n-1 do difference=difference+square(DTR[i]-aDTR) next difference=difference/n sdev=sqrt(difference) dev0=close-aDTR dev1=close-aDTR-p1*sdev dev2=close-aDTR-p2*sdev dev3=close-aDTR-p3*sdev dev4=close-aDTR-p4*sdev dev5=close-aDTR-p5*sdev if dev0<dev0[1] and close>dev5[1] then dev0=dev0[1] endif if dev1<dev1[1] and close>dev5[1] then dev1=dev1[1] endif if dev2<dev2[1] and close>dev5[1] then dev2=dev2[1] endif if dev3<dev3[1] and close>dev5[1] then dev3=dev3[1] endif if dev4<dev4[1] and close>dev5[1] then dev4=dev4[1] endif if dev5<dev5[1] and close>dev5[1] then dev5=dev5[1] endif dev6=close+aDTR dev7=close+aDTR+p1*sdev dev8=close+aDTR+p2*sdev dev9=close+aDTR+p3*sdev dev10=close+aDTR+p4*sdev dev11=close+aDTR+p5*sdev if dev6>dev6[1] and close<dev11[1] then dev6=dev6[1] endif if dev7>dev7[1] and close<dev11[1] then dev7=dev7[1] endif if dev8>dev8[1] and close<dev11[1] then dev8=dev8[1] endif if dev9>dev9[1] and close<dev11[1] then dev9=dev9[1] endif if dev10>dev10[1] and close<dev11[1] then dev10=dev10[1] endif if dev11>dev11[1] and close<dev11[1] then dev11=dev11[1] endif if close>dev11[1] then flag=-1 else if close<dev5[1] then flag=1 endif endif if flag=-1 then ind0=dev0 ind1=dev1 ind2=dev2 ind3=dev3 ind4=dev4 ind5=dev5 //k=1 Blue r=0 g=191 b=255 else ind0=dev6 ind1=dev7 ind2=dev8 ind3=dev9 ind4=dev10 ind5=dev11 //k=-1 Orange r=255 g=128 b=0 endif //ORIG return ind0 COLOURED BY k,ind1 coloured by k,ind2 coloured by k,ind3 coloured by k// //ORANGE AND LIGHT BLUE return ind0 coloured(r,g,b) style(dottedline,2) as "Warning Line", ind1 coloured(r,g,b) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(r,g,b) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(r,g,b) style(line,2) as "Dev Stop 3.6", ind4 coloured(r,g,b) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(r,g,b) style(line,2) as "Dev Stop 6.0"

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  //Voici le code en version SAR : plus WITH DEV STOP 4.5 + 6.0   //Settings n=30   p1=1.0 p2=2.2 p3=3.6 p4=4.5 p5=6.0   difference=0 Hg=highest[2](high) Lw=lowest[2](low) DTR=max(max(Hg-Lw,abs(Hg-close[2])),abs(Lw-close[2])) aDTR=average[n](DTR) for i=0 to n-1 do difference=difference+square(DTR[i]-aDTR) next difference=difference/n sdev=sqrt(difference)   dev0=close-aDTR dev1=close-aDTR-p1*sdev dev2=close-aDTR-p2*sdev dev3=close-aDTR-p3*sdev dev4=close-aDTR-p4*sdev dev5=close-aDTR-p5*sdev   if dev0<dev0[1] and close>dev5[1] then dev0=dev0[1] endif if dev1<dev1[1] and close>dev5[1] then dev1=dev1[1] endif if dev2<dev2[1] and close>dev5[1] then dev2=dev2[1] endif if dev3<dev3[1] and close>dev5[1] then dev3=dev3[1] endif if dev4<dev4[1] and close>dev5[1] then dev4=dev4[1] endif if dev5<dev5[1] and close>dev5[1] then dev5=dev5[1] endif   dev6=close+aDTR dev7=close+aDTR+p1*sdev dev8=close+aDTR+p2*sdev dev9=close+aDTR+p3*sdev dev10=close+aDTR+p4*sdev dev11=close+aDTR+p5*sdev   if dev6>dev6[1] and close<dev11[1] then dev6=dev6[1] endif if dev7>dev7[1] and close<dev11[1] then dev7=dev7[1] endif if dev8>dev8[1] and close<dev11[1] then dev8=dev8[1] endif if dev9>dev9[1] and close<dev11[1] then dev9=dev9[1] endif if dev10>dev10[1] and close<dev11[1] then dev10=dev10[1] endif if dev11>dev11[1] and close<dev11[1] then dev11=dev11[1] endif   if close>dev11[1] then flag=-1 else if close<dev5[1] then flag=1 endif endif   if flag=-1 then ind0=dev0 ind1=dev1 ind2=dev2 ind3=dev3 ind4=dev4 ind5=dev5 //k=1 Blue r=0 g=191 b=255 else ind0=dev6 ind1=dev7 ind2=dev8 ind3=dev9 ind4=dev10 ind5=dev11 //k=-1 Orange r=255 g=128 b=0 endif   //ORIG return ind0 COLOURED BY k,ind1 coloured by k,ind2 coloured by k,ind3 coloured by k//   //ORANGE AND LIGHT BLUE return ind0 coloured(r,g,b) style(dottedline,2) as "Warning Line", ind1 coloured(r,g,b) style(dottedline,2) as "Dev Stop 1.0", ind2 coloured(r,g,b) style(dottedline,2) as "Dev Stop 2.2", ind3 coloured(r,g,b) style(line,2) as "Dev Stop 3.6", ind4 coloured(r,g,b) style(dottedline,2) as "Dev Stop 4.5", ind5 coloured(r,g,b) style(line,2) as "Dev Stop 6.0"

   

  

  Bard

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  03/26/2020 at 7:49 PM #123517
  Bard

  Hi @Nicolas, I was wondering could you please figure out why the buy signal occurred when it did and also why the sell signal is late? This applies to all the trades. Pls see my screenshot.

  The Trading System code is actually directly above this comment. I was trying to get this Fractal System to trade on the next bar after those yellow and blue fractal triangle signals appeared. Any ideas? This is a great indicator that Juanj has coded!

  Cheers and Stay safe,
  Bard

  

  Bard

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  03/27/2020 at 9:47 AM #123555
  Nicolas

  Usual debugging routine:

  1. verify that you are using the same exact settings in both the strategy and the indicator applied on the chart
  2. GRAPH / GRAPHONEPRICE the variables (lines of your indicator) to verify they are the same as the one used on the price chart

   

  

  Nicolas

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  03/27/2020 at 5:17 PM #123628
  Bard

  Thanks @Nicolas, I double checked indicator and system code, they’re both working off a shouldersize =5 variable. I have included the graphing function in the code using: https://www.prorealcode.com/blog/debugging-probuilder-graph-instruction/

  So I’ve tried many different attempts using different parts of the code like “FractalH” or “FractalD = -1 and FractalL ” in the graphing code (and my buy/sell code) — pls see code below — but I can never get the graph to line up with the blue and yellow triangles (or more importantly get the system to actually take trades AT those triangles! This is because I don’t understand the code well enough to be able to program it to take those trades and graph it at those exact blue and yellow triangle signals.

  I guess to a coder/programmer it is probably obvious. I get the basic premise that the code is searching for 5 day highs and lows dependent upon that “shouldersize = 5” variable, but don’t understand the line:
  SwingH = (r+1  (i.e. 11) ) and (FractalD = 0 or FractalD = -1) particularly the FractalD part?

  Graph

  If FractalH (I also tried FractalH = high[ShoulderSize]) then signals = 1 ELSE signals = -1 ENDIF GRAPH signals AS "Fractal Signals"

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  If FractalH (I also tried FractalH = high[ShoulderSize]) then signals = 1 ELSE signals = -1 ENDIF GRAPH signals AS "Fractal Signals"

  What code needs to be placed before that “buy 10 at market”  command to get it to enter the next bar after a blue or yellow triangle signal?

  Thanks again,

   

  

  Bard

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  03/28/2020 at 5:14 PM #123736
  Florian

  @Barde,

  Sorry  it’s impossible to add the KASE indicator in PRT for the test. Have YOU ITF ?

  Thank You

  Florian

   

  

  Florian

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  03/28/2020 at 10:17 PM #123763
  Bard

  No worries, here you go @Florian: https://www.prorealcode.com/prorealtime-indicators/kase-dev-stop-v3/|

  It doesn’t matter if you add and use the non SAR version to the code because the issue I have isn’t the Exit it’s the Entry. Btw, what happens when you copy the SAR version I posted above?

  

  Bard

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  03/30/2020 at 9:35 AM #123888
  Nicolas

  The fractals are marking tops and bottoms in the past. These points are obviously detected afterwards, that’s why your entries are “late”, they just open at the exact moment of when the fractals points are confirmed (later after the top or the bottom). I suggest you read about how the fractal are formed 😉

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  Bard

  

  Nicolas

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  03/30/2020 at 12:00 PM #123937
  Bard

  “In order for a fractal to form, there should be a series of 5 consecutive bars where the middle bar will be the highest preceded and followed by two lower neighbouring bars on each side.” https://www.prorealcode.com/prorealtime-indicators/bill-williams-fractals/

  Right, got it! Thanks @Nicolas, I clearly need to take my Government prescribed daily dose of fresh air and exercise! 🤪
  The shouldersize might be = 5, but “r” = shouldersize *2, so there is a 10 + 1 day formation with the highest or lowest candle in the middle of that pattern and not confirmed until the end of the last bar. I guess the only “solution” might be to go from the daily time frame and look at a 4 hour or 2 hour time frame to see if there is any “advance warning” of a top or bottom being formed but that’s not exactly going to always spot a daily formation.

  I still don’t understand the line:
  SwingH = (r+1) and (FractalD = 0 or FractalD = -1) particularly the FractalD part?

  That’s from Line 22 in this post: https://www.prorealcode.com/topic/ehlers-sinewave-indicator/page/2/#post-123494
  How does the Fractal code know what FractalD = -1 is yet? It’s not been defined in the lines of code before line 22? Obviously it’s a conditionality (-1 or 1), so if, in Line 22, the Fractal identity is either 0 or -1 then a new high can be classified as FractalD = 1 but could you please explain this FractalD = -1 despite — not being defined yet — in layman’s terms though?
  Cheers,

  

  Bard

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  03/30/2020 at 12:46 PM #123945
  Nicolas

  In this code, the FractalD  variable is the “direction” of the fractal, aka a top or a bottom. The code keep in memory the last formed fractal. In the first run the FractalD is not yet known, that’s why it also test if it is equal to 0 or 1/-1.

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  Nicolas

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  09/26/2021 at 6:41 PM #178483
  Suzu Yuk

  The link is no longer working….

  https://www.pro-indicators.com/pro-indicators—sinewave—momentum-on-tradingview-en.html

  

  Suzu Yuk

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