Fractal breakout intraday Strategy EUR/USD 1H –

• 10/04/2017 at 8:30 PM #48223
  ALE

  Yes of course are Numbers, but i find  good result using close bias..

  as you know,  close level it is a foundamental level in  trading letterature … not else

  

  ALE

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  10/04/2017 at 8:34 PM #48224
  ALE

  About typicalprice maybe that i have had test .. i dont remember

   

  as you know there’s infinite bias to entry in the market, the different could be to manage exit

  

  ALE

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  10/04/2017 at 8:38 PM #48225
  ALE

  In prt using ig data, it’s important to avoid strategy depending in tick data.

  

  ALE

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  10/05/2017 at 12:42 PM #48275
  Vonasi

  I tried a quick test of TypicalPrice instead of close but did not see an improvement.

  I agree that entry is generally very easy but getting out with a profit is the tough bit!

  Why do you say that IG and strategies that use tick data are a problem? Are you saying that backtest results that get in and out on the same candle cannot be relied upon?

  On a separate note…. I don’t generally like adding extra filters to a working strategy but I have recently began to like the Cumulative RSI[2] so I added it as a filter to your Fractal Breakout strategy and first impressions were that  it seemed to give a higher success rate at the price of less bets obviously. The higher the CumRSI2 for a BUY the better the odds of a win were and the reverse for a SELL so I even tried increasing or reducing the bet size depending upon the CumRSI2 level at the time of entry. Seemed to work quite well. Just an idea that you might want to play with.

   

  

  Vonasi

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  10/05/2017 at 1:40 PM #48290
  ozz87

  Vonasi: Could you upload that code? I tried to add RSI to a strategy but couldn’t get it to work…

  

  ozz87

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  10/05/2017 at 2:21 PM #48295
  Vonasi

  I’m playing around with it at the moment but will try to post something when I’ve tidied it up a bit!

  1 user thanked author for this post.

  ozz87

  

  Vonasi

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  10/05/2017 at 3:05 PM #48301
  Vonasi

  Fractal Breakout with Cumulative RSI2 plus ATR Stops and TakeProfit

  //EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE - KASPER - modified by Vonasi DEFPARAM CumulateOrders = false CP = 101 //Fractal Period Ave = 7 //AverageTrueRange Period TGLMult = 0.6 //ATR multipier for TGL STPMult = 1.8 //ATR multiplier for StopLoss AddOn = 1.1 //Added to STPMult for TakeProfit //KASPER CODE OF REINVESTMENT Reinvest=1 if reinvest then Capital = 5000 Risk = 1//0.1//in % pr position StopLoss = AverageTrueRange[Ave] * STPMult TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn REM Calculate contracts equity = Capital + StrategyProfit maxrisk = (equity*(Risk/100)) MAXpositionsize=Capital MINpositionsize=1 Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(((maxrisk/StopLoss))))) else Positionsize=1 StopLoss = Stoploss Endif ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD 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 //CumulativeRSI2 RSI2 = (SUMMATION[2](RSI[2](Close)))/2 RSILow = RSI2 < 20 RSIHigh = RSI2 > 80 //LONG and SHORT CONDITIONS if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and NOT ShortOnMarket and RSIHigh THEN PositionMultiple = (RSI2/100) + 1//Increase PositionSize depending on CumRSI2 level PositionSize = PositionSize * PositionMultiple PositionSize = Round(PositionSize * 100) PositionSize = PositionSize / 100 BUY positionsize CONTRACT AT MARKET ENDIF IF D1 and NOT LongOnMarket and RSILow THEN PositionMultiple = ((100-RSI2)/100) + 1//Increase PositionSize depending on CumRSI2 level PositionSize = PositionSize * PositionMultiple PositionSize = Round(PositionSize * 100) PositionSize = PositionSize / 100 SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF //TRAILING STOP TGL = AverageTrueRange[Ave] * TGLMult TGS = TGL if not onmarket then MAXPRICE = 0 MINPRICE = close PriceExit = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PriceExit = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PriceExit = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PriceExit>0 then EXITSHORT AT PriceExit STOP SELL AT PriceExit 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 TakeProfit 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 - modified by Vonasi DEFPARAM CumulateOrders = false   CP = 101 //Fractal Period Ave = 7 //AverageTrueRange Period TGLMult = 0.6 //ATR multipier for TGL STPMult = 1.8 //ATR multiplier for StopLoss AddOn = 1.1 //Added to STPMult for TakeProfit   //KASPER CODE OF REINVESTMENT Reinvest=1 if reinvest then Capital = 5000 Risk = 1//0.1//in % pr position StopLoss = AverageTrueRange[Ave] * STPMult TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn   REM Calculate contracts equity = Capital + StrategyProfit maxrisk = (equity*(Risk/100)) MAXpositionsize=Capital MINpositionsize=1 Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(((maxrisk/StopLoss))))) else Positionsize=1 StopLoss = Stoploss Endif ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD 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   //CumulativeRSI2 RSI2 = (SUMMATION[2](RSI[2](Close)))/2 RSILow = RSI2 < 20 RSIHigh = RSI2 > 80 //LONG and SHORT CONDITIONS if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL)   IF c1 and NOT ShortOnMarket and RSIHigh THEN PositionMultiple = (RSI2/100) + 1//Increase PositionSize depending on CumRSI2 level PositionSize = PositionSize * PositionMultiple PositionSize = Round(PositionSize * 100) PositionSize = PositionSize / 100 BUY positionsize CONTRACT AT MARKET ENDIF IF D1 and NOT LongOnMarket and RSILow THEN PositionMultiple = ((100-RSI2)/100) + 1//Increase PositionSize depending on CumRSI2 level PositionSize = PositionSize * PositionMultiple PositionSize = Round(PositionSize * 100) PositionSize = PositionSize / 100 SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF //TRAILING STOP TGL = AverageTrueRange[Ave] * TGLMult TGS = TGL if not onmarket then MAXPRICE = 0 MINPRICE = close PriceExit = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PriceExit = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PriceExit = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PriceExit>0 then EXITSHORT AT PriceExit STOP SELL AT PriceExit 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 TakeProfit set stop loss stoploss*pointsize

  OK here you go ozz87 – please be gentle with me as this is the first code I’ve posted. I’ve modified ALE’s code with a Cumulative RSI2 filter. Long trades are entered only if CumRSI2 is above a certain level. The higher the level the better the win rate (testing has shown) –  but also obviously fewer bets due to the added filter. Short trades are the opposite and only entered if CumRSI2 is below a certain level. The PositionSize is multiplied by a factor depending upon how high or low the CumRSI2 is – so the higher the probability of a win the higher the stake. I have also attempted to base the StopLoss and TakeProfit and Trailing StopLoss on Average True Range but this is a work in progress! I tested it with a 0.9 spread rather than the 0.6 ALE used.

  

  Vonasi

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  10/05/2017 at 4:09 PM #48313
  ozz87

  Vonasi: Thanks! Trying to find what’s wrong when i try backtest, I don’t get any results (eur/usd mini, 1 hour)

  

  ozz87

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  10/05/2017 at 5:32 PM #48324
  ALE

  Thanks Vonasi, Good Idea.

  I want to explain my opinion:

  I think that we don’t look for a multiplied position to increase our profit, but to find other forex pair.
  Cumrsi could be a good filter, but I’d try to optimize period instead of 2 , because on 1 h time frame it’s too fast, usually it’s very good on dailytime frame.
  About Stop loss and Take profit: Atr it’s very volatily so I can suggest to average it.

  We coul’d try to add an long average to filter position.

  

  ALE

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  10/05/2017 at 5:37 PM #48325
  Vonasi

  Not sure why that would be ozz87. I’m on an IG PRT account – are you? Maybe something to do with CONTRACT. I’m no expert! – maybe someone else can help?

  

  Vonasi

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  10/05/2017 at 5:39 PM #48326
  ALE

  About IG tick data, the problem is not the same candle, but tick data. Many test with low time frame show that  date tick of probacktest are different on real market. For example in backtest you touch a trailing stop and close position, while in real it not happend, etc etc… To survive with this problem it’s necessary to have a strategy that doesn’t depend from tick data .

  

  ALE

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  10/05/2017 at 5:40 PM #48327
  ALE

  @ ozz what’s the problem?

   

  

  ALE

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  10/05/2017 at 5:42 PM #48329
  ALE

  I notice that Vonasi is using a different market ? It’s correct?

   

   

  

  ALE

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  10/05/2017 at 5:47 PM #48330
  Vonasi

  ALE – I’m not a fan of MA filtering – way too much lag and confusion when price is near the MA. The Cumulative RSI2 is fast and that is what I like about it. Having said that I have not tried stretching the period out but on every other strategy I have tried that on I have have always found 2 to be the best period.

  I tested the strategy with and without the positionsize multiplying and it was a definite improvement to profits with it. I maybe need to scale the sizing back as the starting bet size is too big the way it is at the moment. If it increases profitability I think it should stay and then move on to other possible pairs.

  On a separate note I have tried coding a similar strategy that looks for bounces/tests of fractal levels rather than breakout but breakout seems more consistent and profitable so far.

   

  

  Vonasi

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  10/05/2017 at 6:34 PM #48336
  ALE

  Very good

  a suggest ma because i’m using it with cumrsi2 in Other daily strategies.. but with 1 h tf I dont know, and i’m agre with you.

  as soon as possibile i start ti improve fravtal strategy..

  

  ALE

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