Fractal breakout intraday Strategy EUR/USD 1H –

• 05/19/2018 at 10:14 AM #70860
  CN

  What might the reason be for the sudden loss in momentum?

  

  CN

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  05/19/2018 at 10:21 AM #70861
  Vonasi

  CN wrote:

  What might the reason be for the sudden loss in momentum?

  At a guess the take profit and stop loss levels just happen to fit the period that it was developed on better than the period since then. This is always a problem with TP and SL levels they are very easy to curve fit to past data. The general theory of the strategy is good but the difference between profits and loss will always come down to how the market is currently moving in relation to these TP and SL fixed levels.

  

  Vonasi

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  05/20/2018 at 10:15 AM #70925
  Nicolas

  IMO, this is a great strategy with nice potential, OOS speaks for itself.

  

  Nicolas

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  05/20/2018 at 10:20 AM #70927
  CN

  Nicolas wrote:

  IMO, this is a great strategy with nice potential, OOS speaks for itself

  The

  Nicolas wrote:

  IMO, this is a great strategy with nice potential, OOS speaks for itself.

  The 30min strategy on 1h or the latest 1h on 1h?

   

  

  CN

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  05/20/2018 at 12:41 PM #70942
  Vonasi

  Nicolas wrote:

  IMO, this is a great strategy with nice potential, OOS speaks for itself.

  I don’t disagree – I just think it is difficult to get excited about the OOS 18.2 pips profit over six trades in one year and 90% of that profit came from just two trades. The lack of any losing trades is exciting though.

  It will be interesting to see how this one continues with further real life forward testing.

  

  Vonasi

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  11/16/2018 at 11:57 AM #85020
  GraHal

  Can anybody see why I am getting the Rejects for the reason shown (red arrow) on the code below please?

  Why is the code trying to take a limit position at a price that is clearly not obtainable (blue arrow)?

  And then – in the same second, 100012 code tried to take a stop position at a realistic price as expected ( black arrow).

  Version below may include changes I have made.

  Hope that makes sense?

  Thank You in Advance

  //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/fractal-breakout-intraday-strategy-eurusd-1h/page/20/ //Ronny #48560 //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80 RSILowLevel = 100 - RSIHighLevel //KASPER CODE OF REINVESTMENT Reinvest=0 //change 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=2 TakeProfit = 40 //change StopLoss = 50 //change Endif ///BILL WILLIAM FRACTAL INDICATOR 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target profit TakeProfit set stop ploss stoploss

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124

  //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : ! Fractal BOut EURUSD 1H RonGH //------------------------------------------------------------------------- //https://www.prorealcode.com/topic/fractal-breakout-intraday-strategy-eurusd-1h/page/20/ //Ronny #48560 //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80 RSILowLevel = 100 - RSIHighLevel //KASPER CODE OF REINVESTMENT Reinvest=0 //change 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=2 TakeProfit = 40 //change StopLoss = 50   //change Endif ///BILL WILLIAM FRACTAL INDICATOR 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target profit TakeProfit set stop ploss stoploss

   

   

  

  GraHal

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  11/16/2018 at 12:10 PM #85023
  Nicolas

  Related to limited risk account I guess. Stoploss can’t be too far related to the margin required..

  

  Nicolas

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  11/16/2018 at 12:15 PM #85024
  GraHal

  Nicolas wrote:

  Stoploss can’t be too far related to the margin required..

  This is why I am confused … isn’t the StopLoss = 50 at Line 50 and used in Line 124 (set stop ploss stoploss)?

  Also it is Limit Orders (not Stops) that are being rejected as being too far from price.

   

  

  GraHal

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  11/16/2018 at 1:02 PM #85026
  Francesco78

  You need to add a p

  set target pprofit TakeProfit\

  set stop ploss stoploss

  

  Francesco78

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  11/16/2018 at 1:12 PM #85027
  robertogozzi

  @GraHal TGL is 0, because it’s a price and does not need to be converted using POINTSIZE. Replace those lines with:

  if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL then//*pointsize then PriceExit = MAXPRICE-TGL//*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS then//*pointsize then PriceExit = MINPRICE+TGS//*pointsize ENDIF ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12

  if longonmarket then    MAXPRICE = MAX(MAXPRICE,close)    if MAXPRICE-tradeprice(1)>=TGL then//*pointsize then       PriceExit = MAXPRICE-TGL//*pointsize    ENDIF ENDIF if shortonmarket then    MINPRICE = MIN(MINPRICE,close)    if tradeprice(1)-MINPRICE>=TGS then//*pointsize then       PriceExit = MINPRICE+TGS//*pointsize    ENDIF ENDIF

  This will affect performance a bit.

  

  robertogozzi

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  11/16/2018 at 3:10 PM #85040
  robertogozzi

  You don’t need to add  a P, since those values are differences in price, not in Pips,

  

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  11/16/2018 at 5:48 PM #85054
  pippo999

  Hello Guys, how can I find the last updated code from Ale? There are a lot of posts… Grazie / Thanks Giuseppe

  

  pippo999

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  11/16/2018 at 6:22 PM #85056
  Nicolas

  robertogozzi wrote:

  You don’t need to add  a P, since those values are differences in price, not in Pips,

  You are right, but it doesn’t matter if the instrument has a pipsize = 1, and this is the case for DAX.

  

  Nicolas

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  11/16/2018 at 6:43 PM #85059
  robertogozzi

  Nicolas, this is EurUsd, not DAX.

  Indeed lines 49-50 should have * POINTSIZE before the comment, so their values match lines 38-39 which are in price (probably Francesco78 referred to lines 49-50). So GraHal will have to choose one of the two ways and use PROFIT/LOSS with/without P accordingly.

  

  robertogozzi

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  11/16/2018 at 8:52 PM #85065
  GraHal

  Thanks guys

  hahahah I’ve tried 4 combinations of your suggestions and results just get better and better! 🙂

  Now to start thinking what is really happening and interpreting your suggestions?

  Results seem too good to be true?

   

  

  GraHal

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