Fractal breakout intraday Strategy EUR/USD 1H –

• 04/16/2017 at 9:44 AM #32137
  ALE

  Hello guys We can discuss about the strategy here, we can help together to develop the strategy . This is the strategy posted in the Library there : https://www.prorealcode.com/prorealtime-trading-strategies/fractal-breakout-intraday-strategy-eurusd-1h/ Below you can find 3 screenshot with explanation of the stop, and levels used in this strategy.

  // EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE DEFPARAM CumulateOrders = false ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD CP=113 if close[cp] >= highest[2*cp+1](close) then LH = 1 else LH=0 endif if close[cp] <= lowest[2*cp+1](close) then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp] endif if LL = -1 then LOL=close[cp] endif //LONG and SHORT CONDITIONS Positionsize=1 if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and not shortonmarket THEN BUY positionsize CONTRACT AT MARKET ENDIF IF D1 and not longonmarket THEN SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF //TRAILING STOP TGL =5 TGS=5 if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PREZZOUSCITA = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PREZZOUSCITA = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF // DONCHIAN STOP DC=20 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket then laststop = f[1] endif if shortonmarket then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif set target pprofit 30

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  // EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE   DEFPARAM CumulateOrders = false ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD CP=113 if close[cp] >= highest[2*cp+1](close) then LH = 1 else LH=0 endif if close[cp] <= lowest[2*cp+1](close)  then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp] endif if LL  = -1 then LOL=close[cp] endif   //LONG and SHORT CONDITIONS Positionsize=1 if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and not shortonmarket THEN   BUY positionsize CONTRACT AT MARKET ENDIF   IF D1 and not longonmarket THEN   SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF   //TRAILING STOP TGL =5 TGS=5 if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then   PREZZOUSCITA = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then   PREZZOUSCITA = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF   // DONCHIAN STOP DC=20 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket  then laststop = f[1] endif if shortonmarket  then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif   set target pprofit 30

  This trading sistem can be used with other currency pairs. To find the values ​​of variables suitable for other currency pairs, you must  use WF, to avoid  an overfitted values: if the WF will be done on bars 200,000 may be divided into two halves, the first test will be carried out with a large range value starting with the value in the attached picture below, the second test will have a range around the variables choices during the first test. IN THE LAST YEAR THE OPTIMIZATION OF TRAILING STOP SUGGEST THIS VALUE: TGL=9 TGS=10 … THIS MEAN ABOUT 10 PIP FOR BOTH

  Total of 19 users thanked author for this post. Here are last 10 listed.

  ironshirow, Real Pro, luno1, Ste, Gianluca, manel, TheAccountant, GraHal, Francesco78, Cycling Trader

  

  ALE

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  04/16/2017 at 10:16 AM #32141
  ALE

  This the reinvestment version of Kasper, in his example him stressed the strategy with 5000 lots:

  //EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE - KASPER DEFPARAM CumulateOrders = false //KASPER CODE OF REINVESTMENT Reinvest=1 if reinvest then Capital = 10000 Risk = 1//0.1//in % pr position StopLoss = 48 REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) MAXpositionsize=5000 MINpositionsize=1 Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize)))) else Positionsize=1 StopLoss = 48 Endif ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD CP=113 if close[cp] >= highest[2*cp+1](close) then LH = 1 else LH=0 endif if close[cp] <= lowest[2*cp+1](close) then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp] endif if LL = -1 then LOL=close[cp] endif // RETURN, HIL COLOURED(0,200,0) AS "BREAKOUT LEVEL LONG",HIL COLOURED(200,0,0) AS "BREAKOUT LEVEL SHORT" //LONG and SHORT CONDITIONS //Positionsize=1 if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and not shortonmarket THEN BUY positionsize CONTRACT AT MARKET ENDIF IF D1 and not longonmarket THEN SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF //TRAILING STOP TGL =5 TGS=5 if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PREZZOUSCITA = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PREZZOUSCITA = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF // DONCHIAN STOP DC=20 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket then laststop = f[1] endif if shortonmarket then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif set target pprofit 30 set stop loss stoploss*pointsize

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  //EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE - KASPER   DEFPARAM CumulateOrders = false //KASPER CODE OF REINVESTMENT Reinvest=1 if reinvest then Capital = 10000 Risk = 1//0.1//in % pr position StopLoss = 48 REM Calculate contracts equity = Capital + StrategyProfit maxrisk = round(equity*(Risk/100)) MAXpositionsize=5000 MINpositionsize=1 Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize)))) else Positionsize=1 StopLoss = 48 Endif   ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD CP=113 if close[cp] >= highest[2*cp+1](close) then LH = 1 else LH=0 endif if close[cp] <= lowest[2*cp+1](close)  then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp] endif if LL  = -1 then LOL=close[cp] endif // RETURN, HIL COLOURED(0,200,0) AS "BREAKOUT LEVEL LONG",HIL COLOURED(200,0,0) AS "BREAKOUT LEVEL SHORT"     //LONG and SHORT CONDITIONS //Positionsize=1 if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and not shortonmarket THEN BUY positionsize CONTRACT AT MARKET ENDIF   IF D1 and not longonmarket THEN SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF   //TRAILING STOP TGL =5 TGS=5 if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PREZZOUSCITA = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PREZZOUSCITA = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF   // DONCHIAN STOP DC=20 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket  then laststop = f[1] endif if shortonmarket  then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif   set target pprofit 30 set stop loss stoploss*pointsize

  @kasper could you comment it?

  

  ALE

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  04/16/2017 at 11:11 AM #32146
  Elsborgtrading

  Great idea Ale 🙂 how does the stoploss 48 do in the 200000 units and walk forward?

  edit: I see you already did it :). Ill take a look later when on the pc

  cheers Kasper

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  ALE

  

  Elsborgtrading

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  04/16/2017 at 11:30 AM #32147
  Eric

  tick by tick backtest? trailingstop 5?

   

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  ALE

  

  Eric

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  04/16/2017 at 11:51 AM #32148
  Nicolas

  Eric wrote:

  tick by tick backtest? trailingstop 5?

  This is the MFE trailing stop, exit levels are only update once per bar at each calculation.

  Please find attached the pictures of my own WF test with the first version of the strategy (200.000 bars, ticks mode, 1 point spread) over 10 Out Of Sample iterations.

  I think that to suit the strategy for over forex pairs, the best solution would be to enlarge the fractals period (‘cp’ variable) minimum and maximum for the optimisation. That would adapt the high/low fractals for each pair behaviour. Since WF optimisation take ages, I encourage anyone willing to help to test if this rough idea could be relevant and to continue explore other possibilities of improvements. Thanks.

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  ALE

  

  Nicolas

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  04/16/2017 at 2:28 PM #32185
  zilliq

  @Nicolas,

  Do you erase of my WF test and the picture ?

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  zilliq

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  04/16/2017 at 2:50 PM #32188
  Elsborgtrading

  Hi Ale, that is just crazy numbers 🙂 I don’t have the premium version- but for 1 H data back to 1999, that is a valid test. I would like to help optimize but the data I have is only back to Jan. 2013

  Please add this Graph code- to see how much you are risking at each trade.

  graph (((tradeprice-(tradeprice-((tradeprice*stoploss)/100)))*positionsize*pointvalue*100)/(equity))*100 COLOURED(0,0,0) AS "MAXRISK"

  1	graph (((tradeprice-(tradeprice-((tradeprice*stoploss)/100)))*positionsize*pointvalue*100)/(equity))*100 COLOURED(0,0,0) AS "MAXRISK"

   

  

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  04/16/2017 at 3:32 PM #32189
  Nicolas

  @zilliq yes sorry, please repost it here.

  

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  04/16/2017 at 3:46 PM #32190
  ALE

  Hi Kasper

  I’ve attached pic with maxrisk curve and some value along the curve

  

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  04/16/2017 at 4:29 PM #32194
  Elsborgtrading

  Thanks Ale. if you use in the reinvestment code, it should very soon stabilize around 1% risk

  

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  04/16/2017 at 4:34 PM #32195
  zilliq

  No problem Nicolas

  I do a WF on 100 000 bars and the WF ratio was 36 % and 3 of 5 periods were >50 %

  

  zilliq

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  04/16/2017 at 4:35 PM #32198
  zilliq

  I did a try by replacing TGL and TGS by a coefficient of averagetruerange, but the results was not good 🙁

  

  zilliq

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  04/16/2017 at 5:46 PM #32202
  ALE

  @ Zilliq what do you mean?

  

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  04/16/2017 at 6:12 PM #32205
  ALE

  @KASPER

  This is results with 1 lot and risk 0.3

  

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  04/16/2017 at 6:31 PM #32209
  Nicolas

  @ALE Zilliq tried to use a dynamic step instead of a fixed one with the help of ATR.

  Did someone tried to optimize with another pair already?

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