Fractal breakout intraday Strategy EUR/USD 1H –

ALE · Sun, 16 Apr 2017 08:44:03 +0000

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 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

This topic has 359 replies, 1 voice, and was last updated 1 year ago by RandyG.

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05/02/2017 at 9:45 PM #34347

GraHal

Stanton got this working

e= Highest[DC](high)

f=Lowest[DC](low)

by doing this

DEFPARAM CumulateOrders = false
If NOTONMARKET Then
DC=20// period of Donchian Stop
Endif

IF LONGONMARKET THEN
DC=20// period of Donchian Stop
TGL=5//Trailing Stop pip distance
TP=30//take profit
//SL=50// stop loss
ELSIF SHORTONMARKET THEN
DC=20// period of Donchian Stop
TGS=5
TP=30
//SL=50
ENDIF

DEFPARAM CumulateOrders = false

If NOTONMARKET Then

DC=20// period of Donchian Stop

Endif

IF LONGONMARKET THEN

DC=20// period of Donchian Stop

TGL=5//Trailing Stop pip distance

TP=30//take profit

//SL=50// stop loss

ELSIF SHORTONMARKET THEN

DC=20// period of Donchian Stop

TGS=5

TP=30

//SL=50

ENDIF

GraHal

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05/02/2017 at 10:09 PM #34350

ALE

ok I’ve already posted code with first the first correction of stanton:

Updated the code like this. Just assigned a default value to the variables. can be overwritten if long or short.

<span class="token keyword">DEFPARAM</span> <span class="token keyword">CumulateOrders</span> <span class="token operator">=</span> <span class="token boolean">false</span>
<span class="token comment" spellcheck="true">//LONG VARIABLES</span>
DC<span class="token operator">=</span><span class="token number">20</span><span class="token comment" spellcheck="true">// period of Donchian Stop</span>
TGL<span class="token operator">=</span><span class="token number">5</span><span class="token comment" spellcheck="true">//Trailing Stop pip distance</span>
TGS<span class="token operator">=</span><span class="token number">5</span>
TP<span class="token operator">=</span><span class="token number">30</span>

<span class="token keyword">IF</span> <span class="token keyword">LONGONMARKET</span> <span class="token keyword">THEN</span>
DC<span class="token operator">=</span><span class="token number">20</span><span class="token comment" spellcheck="true">// period of Donchian Stop</span>
TGL<span class="token operator">=</span><span class="token number">5</span><span class="token comment" spellcheck="true">//Trailing Stop pip distance</span>
TP<span class="token operator">=</span><span class="token number">30</span><span class="token comment" spellcheck="true">//take profit</span>
<span class="token comment" spellcheck="true">//SL=50// stop loss</span>
<span class="token keyword">ELSIF</span> <span class="token keyword">SHORTONMARKET</span> <span class="token keyword">THEN</span>
DC<span class="token operator">=</span><span class="token number">20</span><span class="token comment" spellcheck="true">// period of Donchian Stop</span>
TGS<span class="token operator">=</span><span class="token number">5</span>
TP<span class="token operator">=</span><span class="token number">30</span>
<span class="token comment" spellcheck="true">//SL=50</span>
<span class="token keyword">ENDIF</span>

DEFPARAM CumulateOrders = false

//LONG VARIABLES

DC=20// period of Donchian Stop

TGL=5//Trailing Stop pip distance

TGS=5

TP=30

IF LONGONMARKET THEN

DC=20// period of Donchian Stop

TGL=5//Trailing Stop pip distance

TP=30//take profit

//SL=50// stop loss

ELSIF SHORTONMARKET THEN

DC=20// period of Donchian Stop

TGS=5

TP=30

//SL=50

ENDIF

ALE

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05/04/2017 at 2:45 PM #34518

Despair

This one really looks promising. Nice work Ale! But i wonder which are the latest versions of the different files. There are so many versions on the last pages, it is little confusing.

I’m just running a WF-test on FBS_EURUSD_30M_V2 (i hope this wasnt the wrong version).

What do you guys who set this life use for values for CP and TP?

Will of course share my WF-result (if the PC doesnt crash LOL).

Despair

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05/04/2017 at 3:27 PM #34532

ALE

Hello despair

the first page is updated with latest version

ALE

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05/04/2017 at 6:16 PM #34566

StantonR

6o minute version entered long trade at 18:00 South Africa Time. @ 1,0965

Stoploss moved to break even at 19:00 . So far so good.

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05/04/2017 at 6:17 PM #34567

ALE

Confirmed..

ALE

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05/04/2017 at 8:02 PM #34570

StantonR

Got stopped out at – 10 cents now its climbing.
Considering increasing trailing stop to 10.

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05/04/2017 at 10:42 PM #34580

ALE

@stanton

i thought to optimize last 5 year, but not finish yet but seem that 1H eurusd work well with:

cp 104

tgl 9

tgs 11

i let you know finish test tomorrow

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victormork

ALE

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05/05/2017 at 10:03 AM #34608

GraHal

Hi Ale

You said … first page is updated with latest version … this is very useful.

Might we have latest v3 & v4 on the first page / post also please?

Many Thanks
GraHal

GraHal

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05/05/2017 at 10:23 AM #34612

victormork

Hi guys, I’ve started a rough version on AUDUSD 30M. Had to ad an ADX filter for it to work better.

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manel,

ALE,

GraHal

victormork

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05/05/2017 at 5:05 PM #34649

ALE

Hello Victor,

good Idea to move to others take profit and trailing stop, could you explain me trailing stop logik..?

Thanks

Ale

ALE

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05/05/2017 at 5:08 PM #34651

ALE

@ Grahal

yes I’ll do it asap

Tks
ALe

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GraHal

ALE

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05/05/2017 at 9:16 PM #34657

victormork

Sorry guys, the comment I wrote on the trailing start doesn’t seem to be completely valid. But there is a reason behind it. I added the comment because when I’d a look earlier at the minimum stop distance for this pair it was set to 6 pips, but in my WF testing I got a suggested result of like 2 or 3, and if I would put on a trailing stop starting so tight there would not be enough space for the price to move because we need to keep in mind that the first break even level is set our entry level + the value of TGS. (Btw the 100 000 bars backtest result is better with TGL = 3 and TGS = 1 but I’m not sure if it works in reality and when the minimum stop distans gets increased like it must have been when I first checked your system will fail)

I suggest also to try the MFE stop from Nicolas (https://www.prorealcode.com/blog/learning/trailing-stop-max-favorable-excursion-mfe/), sometime it’s better than the fixed step trailing one (but not always).

Another thing I’ve been trying which is not yet in this code is a dynamic profit target based on ATR. Especially with forex it helps to adjust the target level after the current volatility of the market.

One issue I’ve been facing with the FX pairs attached to the Asian session is that the time restriction doesn’t work as well as on pairs connected to the European and American session.

Ale has done a great work on the EURUSD and I hope that more people could have a look at other markets in the meantime in order to speed up the development. Start with the lowest spreads and keep on testing different combinations and timeframes!

Cheers and have a great weekend!

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ALE

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05/06/2017 at 6:11 AM #34665

ALE

Hello victor

thank you very much for your support

I’m agree with your ideas, I’ve start with Trailing stop =5 because it’s the minimum distance stop for this pair

Eurusd response better then the others, many others market need a fixed stop, filter to entry at market, and dynamic take profit

Tksnks

Ale

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05/11/2017 at 3:20 PM #35221

JR1976

Good afternoon Ale ,

First of all congratulations for the excellent TS and the good explanations of that .

My question is, in the previous post you talk about :

@KASPER This is results with 1 lot and risk 0.3

If I use 4 lot ( in EUR/USD mini ) , I reduce the capital to 5000 and I set the risk ..3

What do you Think

Example

<span class="token comment" spellcheck="true">//KASPER CODE OF REINVESTMENT</span>
Reinvest<span class="token operator">=</span><span class="token number">1</span>
<span class="token keyword">if</span> reinvest <span class="token keyword">then</span>
Capital <span class="token operator">=</span> <span class="token number">5000</span>
Risk <span class="token operator">=</span> 3<span class="token comment" spellcheck="true">//0.1//in % pr position</span>
StopLoss <span class="token operator">=</span> <span class="token number">48</span>
<span class="token comment" spellcheck="true"><span class="token keyword">REM</span> Calculate contracts</span>
equity <span class="token operator">=</span> Capital <span class="token operator">+</span> StrategyProfit
maxrisk <span class="token operator">=</span> <span class="token keyword">round</span><span class="token punctuation">(</span>equity<span class="token operator">*</span><span class="token punctuation">(</span>Risk<span class="token operator">/</span><span class="token number">100</span><span class="token punctuation">)</span><span class="token punctuation">)</span>
MAXpositionsize<span class="token operator">=</span><span class="token number">5000</span>
MINpositionsize<span class="token operator">=4</span>
Positionsize<span class="token operator">=</span> <span class="token keyword">MAX</span><span class="token punctuation">(</span>MINpositionsize<span class="token punctuation">,</span><span class="token keyword">MIN</span><span class="token punctuation">(</span>MAXpositionsize<span class="token punctuation">,</span><span class="token keyword">abs</span><span class="token punctuation">(</span><span class="token keyword">round</span><span class="token punctuation">(</span><span class="token punctuation">(</span>maxrisk<span class="token operator">/</span>StopLoss<span class="token punctuation">)</span><span class="token punctuation">)</span><span class="token punctuation">)</span><span class="token punctuation">)</span><span class="token punctuation">)</span><span class="token comment" spellcheck="true">//*Pointsize))))</span>
<span class="token keyword">else</span>
Positionsize<span class="token operator">=4</span>
StopLoss <span class="token operator">=</span> <span class="token number">48</span>
<span class="token keyword">Endif</span>

//KASPER CODE OF REINVESTMENT

Reinvest=1

if reinvest then

Capital = 5000

Risk = 3//0.1//in % pr position

StopLoss = 48

REM Calculate contracts

equity = Capital + StrategyProfit

maxrisk = round(equity*(Risk/100))

MAXpositionsize=5000

MINpositionsize=4

Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize))))

else

Positionsize=4

StopLoss = 48

Endif

JR1976

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