Fractal breakout intraday Strategy EUR/USD 1H –

• 05/29/2017 at 11:09 AM #36872
  victormork

  This is my improve idea on how to use FBS on Bund 1H. You can get it to work on the 30min too. And the short-side worked as well with some tweaking.

   

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  victormork

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  05/29/2017 at 1:22 PM #36888
  victormork

  I have a okayish result on AUDUSD but it’s probably curve fitted with such short history as I have on the 30 min. If anyone else wants to have a go here it is.

  

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  05/29/2017 at 1:45 PM #36897
  ALE

  Hello Victor,
  Thanks very much, This evening I’ll work on it!

  Ciao

  ALE

  

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  05/29/2017 at 10:10 PM #36977
  ALE

  Hello Guy,

  Have you find big differences between demo or real and probacktest results on this strategy?

   

  

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  05/30/2017 at 7:26 AM #36987
  victormork

  Hi, No not yet. However I just recently started with the 1H. Before I was testing the 30M on my demo, which worked fine. However when I have been trying another type of breakout strategy on Bund I did get some mixed result when the high/low price is just touching the bid/ask price zone around stop/target. Have you found something that is not working?

  I did have some concerns that the dynamic target would give an incorrect backtest result since it recalculate the target on each new candle but that doesn’t seem to be the case. When I have compared my backtest end the trading on my demo it has been correct.

   

  

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  05/30/2017 at 7:55 AM #36989
  ALE

  Thanks Victor!

  

  ALE

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  06/13/2017 at 10:05 AM #38197
  JR1976

  Good morning ALE,

   

  Sto’  facendo girare la  strategia   in un  piccolo conto in ambiente ‘ LIVE ‘  ( Out-of sample)…

  Se anche tu come credo , stai facendo girare la strategia in reale  avrai notato che la strategia lavora  e pare  in linea con quanto discusso e analizzato in Back test .

  In quest’ultimo mese pero’   non c’è stato un buon profitto  e   quello che ho notato  è che i guadagni realizzati sono di importi  relativamente bassi ….

  mentre quando il  sistema perde , perde cifre consistenti in rapporto ai guadagni

  Forse un mese è  ancoro poco per analizzare un  sistema  nella realta ??

   

  

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  06/13/2017 at 2:55 PM #38223
  ALE

  Buongiorno Jr
  il primo problema è l’affidabilità dei dati del Probacktest, il secondo e l’affidabilità dei dati di IG. Entrambi possono essere diversi dalla realtà.

  La differenza  che noti, è dovuta alla chiusura delle posizioni con lo stop dinamico, molto stretto.

   

  Good morning Jr.
  The first problem is the reliability of Probacktest data, the second, and the reliability of IG data. Both can be different from reality.

  The difference you notice is due to the closure of the positions with the dynamic stop, very tight.

  

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  06/14/2017 at 10:10 AM #38266
  JR1976

  Buongiorno Ale,

  grazie per la risposta

  Ok sullo STOP dinamico stretto … anche se mi aspetto che nel lungo periodo  il TS possa dare soddisfazioni

  Per quanto riguarda l’affidabilità dei dati , scludendo questioni di slippage , GAP  ecc , bhe non mi aspetterei particolari differenze  dalla realtà  in quanto ne và della reputazione di IG ….

  Posso chiederti se lo hai già attivato in conto live  o sei ancora su conto DEMO ?

  

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  06/14/2017 at 10:17 AM #38267
  ALE

  Sono live con differenti size, ma ho trovato discostamenti su alcuni versioni tra chiusura probacktest e chiusura reale.

  Con questa versione attiva dal 16 maggio in reale non ho riscontrato differenze tra test e reale

  I’m live with different sizes, but I found discrepancies on some versions between probacktest closure and real closure.

  With this version active since May 16 in real I did not find any difference between test and real

  //------------------------------------------------------------------------- // Codice principale : FRACTAL BREAKOUT EURUSD 1HVb //------------------------------------------------------------------------- //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 =10 TGS=10 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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  //------------------------------------------------------------------------- // Codice principale : FRACTAL BREAKOUT EURUSD 1HVb //------------------------------------------------------------------------- //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 =10 TGS=10 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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  06/14/2017 at 10:31 AM #38268
  ALE

  Mr Jr,
  Please write in english to permit comprehension for the others

  Thanks
  Ale

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  Nicolas, Ronny

  

  ALE

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  06/14/2017 at 1:47 PM #38287
  JR1976

  Ale,

  I founded all  TS version very interested  , actually I ‘am using  the version pubblished in page 1 ( with KAsper reinvestment version)  but  I ‘am looked there were some different , for example the TGL/TGS  used is 5 and in you last post ( up here) are 10 .

  I  test  with 10  , Could be better ?

  Regards.

   

   

   

  

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  06/14/2017 at 1:58 PM #38288
  ALE

  Hello Jr

  yes I prefer it.

   

  

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  06/15/2017 at 2:23 PM #38359
  enzo_52

  Ciao Ale, volevo chiederti se i TS che hai sono validati, perchè se non si validano i TS sono destinati inesorabilmente a crashare dopo poche settimane o meno..

  naturalmente questo vale per tutti quelli che postano TS   🙂

  c è anche l Average net profit che deve essere capiente per contenere i costi e lo sleeppage…  non è possibile tradare TS che hanno un guadagnoper trade di pochi eur.

   

  P.S.

   

  volevo chiederti ,se non sono troppo di disturbo , visto che conosci bene le strategie break-out , se potevi dirmi come modificare il seguente codice di un TS sul pattern IDNR4,

  il TS va long al superamento del max della candela di set-up e va sellshort  a condizioni inverse, ma l autore dell IDRN4 dice che se una volta entrati long (o shortsell) e i prezzi scendono e rompono il minimo della stessa candela di set-up il sistema si mette sell-short , l autore dice che si potrebbero avere sino a 3 false rotture dopo di che il Ts va flat.

  grazie tante Alex

   

  IDNR4

  ID = high<high[1] and low>low[1] rang = range NR4 = rang<range[1] and rang<range[2] and rang<range[3] if ID and NR4 then test = 1 hh = highest[4](high) ll = lowest[4](low) endif if test = 1 then BUY 1 SHARE AT hh STOP SELL 1 SHARE AT ll STOP endif if longonmarket then SELL AT ll STOP test = 0 elsif shortonmarket then EXITSHORT AT hh STOP test = 0 endif

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  ID = high<high[1] and low>low[1] rang = range NR4 = rang<range[1] and rang<range[2] and rang<range[3] if ID and NR4 then test = 1 hh = highest[4](high) ll = lowest[4](low) endif if test = 1 then BUY 1 SHARE AT hh STOP SELL 1 SHARE AT ll STOP endif if longonmarket then SELL AT ll STOP test = 0 elsif shortonmarket then EXITSHORT AT hh STOP test = 0 endif

  Hi Ale, I wanted to ask you if the TSs you have are validated, because if you do not validate the TSs they are inexorably destined to crash after a few weeks .

  Of course this applies to all those who post ts 🙂

  There is also the Average net profit that must be capacious to contain costs and sleeppage … TS can not trade with a few eur trading profits.

  I  wanted to ask you, if I’m not too disturbed, as you know the break-out strategies, if you could tell me how to modify the following code of a TS on the IDNR4 pattern,the TS goes long to overcome of  candle -high ,and sellshort to inverse conditions, but IDRN4 writer says that if we enter long (or shortsell) and prices go-back and break the minimum of the same set- Up candle the  system close the trade long and open  sell-short , the author says it could have up to 3 false breaks after which the Ts goes flat

  Thanks so much anyway

   

  edited line 5 (by robertogozzi)
  

  

  enzo_52

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  06/15/2017 at 3:50 PM #38367
  ALE

  Hello Enzo,

  You validate TS using the data, but you can discover that your Montecarlo analisys or WF… etc , are made by false data… So you have a validation,  but TS doesn’t work in real. Do you understand what I mean?. If you make analisys of it,  you will never find a loses, because Montecarlo uses the same data that you are looking in the pictures.

  I let you know about your questions..

  Thanks
  Ale

  

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