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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04/16/2017 at 6:38 PM #32212

ALE

Thanks Nicolas

I’m starting with USDJPY/AUDUSD/GBPUSD/EURGBP

no good result, and bad result with EURGBP

ALE
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04/16/2017 at 7:31 PM #32218

Andyswede

Hi all, two pairs: AUD/USD tp 20, and GBP/USD tp 60, working but not close to eur/usd

Thanks to ALE for lovely code 🙂

Andreas

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ALE

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04/16/2017 at 7:32 PM #32222

Elsborgtrading

That’s strange, you still have the set stop ploss 48?

It seems like there is a factor 10 missing- it should read 0.3 and not 3

Try and calculate some trades manual. (48*positionsize/Equity)*100 Here I have a risk 2, and 3 lots. that’s (3*48/7880)*100=1.82% risk. the Graph reads 1.96%

That should more or less be the same as Risk

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04/16/2017 at 7:50 PM #32225

Nicolas

Please optimise with wider spread (add at least +0.3 pips) with WF (10 iterations 70/30% for 200.000 bars or only 5 iterations for 100 kbars).

I think that the most important parameter is the “cp” one (Fractals period), this variable should be adapted for each pair volatility. Something interesting would be to compare average daily range of each pair to get a first approach.

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04/16/2017 at 8:23 PM #32230

Andyswede

GBP/USD with cp 90 and tp 30 spread 1,4 and reinvest

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04/16/2017 at 8:31 PM #32234

ALE

@Andy it’s a pleasure for me

ALE
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04/16/2017 at 9:04 PM #32238

Nicolas

@Andy, thanks for your work, but we must use OOS periods while optimizing, otherwise the strategy could be over fitted. Please use the settings I talked about in my previous post.

Nicolas
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04/16/2017 at 9:24 PM #32241

Andyswede

Hi Nicolas, my walk forward screen looks like this when running this and other codes, only worked with GraHal:s “3 day bull bear” so far.

Is there anything I missed, a button or something?

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04/16/2017 at 9:54 PM #32245

ALE

@KASPER

This is the results of your first code with 200.000

ALE
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04/16/2017 at 10:00 PM #32248

Henrik

Hi Andy!

You have to choose which labels you want to perform WF with. Its the same as a normal backtest plus the WF parameters.

Regards

Henrik

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04/16/2017 at 10:13 PM #32250

Elsborgtrading

Ale there must be something different from the PRT version to the IG version on calculation. just pict a trade in the list and tell me the amount of positions and equity at that time 🙂

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04/16/2017 at 10:21 PM #32251

ALE

@KASPER

I can try to test with the same period of your, could you write your date?

ALE
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04/17/2017 at 7:32 AM #32262

Elsborgtrading

Hi Ale

I don’t think this is the issue, It’s rather some currency conversion. The money management is working as it should. it’s the Graph line that is the problem. Try this instead.

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

1

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

Also I took the liberty of putting together an indicator for your system, this might help people understand your excellent system 🙂

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04/17/2017 at 10:18 AM #32273

ALE

Hi Kasper

ok thanks, After Easter We can work on it.

yesterday evening I’ve started walk farward test on usdjpy, and after 12 hour of elaboration the prt close platform, too temporary files for my memory. We restart test 7/70/30 instead of 10/70/30

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04/17/2017 at 10:33 AM #32275

Nicolas

@Ale could you post a screenshot of how the WF window should look to make it understandable for everyone would like to help. (with variables and their min/max/step), it should serve as a reference for others. I’m AFK till tomorrow, can’t do it myself.

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ALE

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Fractal breakout intraday Strategy EUR/USD 1H –

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