Fractal breakout intraday Strategy EUR/USD 1H –

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

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04/17/2017 at 10:37 AM #32276

Elsborgtrading

Yes I know that problem. I might have found another oppertunity i Brent Oil. But my data is limited, so first I used the large contract- not the mini to get the most backtrack data. But still its only from nov 2015. perhaps someone could take a look in a 200000 sample platform. Here is the results.

//Brent Oil(LOC) - IG MARKET
// TIME FRAME 1H
// PROBACKTEST TICK by TICK - 100.000 bars
// SPREAD 1 point
// Elsborgtrading

// WF: not ancored- 5 Rep, in sample 70%, OOS 30% optimized in times of two pairs
// 1 pair
//Period of fractal level: CP= 40 to 50, 1 point
//Stop loss by Donchian channel: DC = 65 to 80
//2nd Pair
//Trailing Stop long: TGL = 5 to 15 , 1 point
//Trailing Stop Short: TGS= 5 to 15 ,  1 point
//3rd pair
//TP 60 to 80 , 1 point
//SL 30 to 45 , 1 point


DEFPARAM CumulateOrders = false

Reinvest=0
if reinvest then
Capital = 50000
Risk = 1//0.1//in % pr position
StopLoss = 39//7//10 // Could be our variable X
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = round(equity*(Risk/100))
MAXpositionsize=5000
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(round((maxrisk/StopLoss)))))//*Pointsize))))
else
Positionsize=1
StopLoss = 39
Endif

///BILL WILLIAM FRACTAL INDICATOR
//CP=PERIOD
CP=45
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 =14
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=65
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 78//TP//30
set stop ploss stoploss//*pointsize

//graph equity COLOURED(0,0,0) AS "equity"//black
//graph (((tradeprice-(tradeprice-((tradeprice*stoploss)/100)))*positionsize*pointvalue*100)/(equity))*100 COLOURED(0,0,0) AS "MAXRISK"
//graph (positionsize*stoploss/equity)*100 COLOURED(0,0,0) AS "MAXRISK"
graph (stoploss*positionsize/(equity+capital))*100 COLOURED(255,255,255) AS "MAXRISK"//Aqua
//Graph HIL COLOURED(0,200,0) AS "BREAKOUT LEVEL LONG"//HIL COLOURED(200,0,0) AS "BREAKOUT LEVEL SHORT"

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//Brent Oil(LOC) - IG MARKET

// TIME FRAME 1H

// PROBACKTEST TICK by TICK - 100.000 bars

// SPREAD 1 point

// Elsborgtrading

// WF: not ancored- 5 Rep, in sample 70%, OOS 30% optimized in times of two pairs

// 1 pair

//Period of fractal level: CP= 40 to 50, 1 point

//Stop loss by Donchian channel: DC = 65 to 80

//2nd Pair

//Trailing Stop long: TGL = 5 to 15 , 1 point

//Trailing Stop Short: TGS= 5 to 15 , 1 point

//3rd pair

//TP 60 to 80 , 1 point

//SL 30 to 45 , 1 point

DEFPARAM CumulateOrders = false

Reinvest=0

if reinvest then

Capital = 50000

Risk = 1//0.1//in % pr position

StopLoss = 39//7//10 // Could be our variable X

REM Calculate contracts

equity = Capital + StrategyProfit

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

MAXpositionsize=5000

MINpositionsize=1

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

else

Positionsize=1

StopLoss = 39

Endif

///BILL WILLIAM FRACTAL INDICATOR

//CP=PERIOD

CP=45

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

//TRAILING STOP

TGL =14

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

if shortonmarket then

MINPRICE = MIN(MINPRICE,close)

if tradeprice(1)-MINPRICE>=TGS*pointsize then

PREZZOUSCITA = MINPRICE+TGS*pointsize

ENDIF

if onmarket and PREZZOUSCITA>0 then

EXITSHORT AT PREZZOUSCITA STOP

SELL AT PREZZOUSCITA STOP

ENDIF

// DONCHIAN STOP

DC=65

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 78//TP//30

set stop ploss stoploss//*pointsize

//graph equity COLOURED(0,0,0) AS "equity"//black

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

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

graph (stoploss*positionsize/(equity+capital))*100 COLOURED(255,255,255) AS "MAXRISK"//Aqua

//Graph HIL COLOURED(0,200,0) AS "BREAKOUT LEVEL LONG"//HIL COLOURED(200,0,0) AS "BREAKOUT LEVEL SHORT"

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ALE

Elsborgtrading

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04/17/2017 at 10:51 AM #32284

Henrik

Hi!

Tested it in 200k but didnt get so much more data. Full contract was the same data as you.?

Regards

Henrik

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ALE

Henrik

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04/17/2017 at 11:22 AM #32288

Paris

snippet for modulation of contract

n = 1+(ROUND((strategyprofit)/7500))

every 7500 € it adds a contract …. of course you could modify it

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AlgoAlex,

ALE

Paris

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04/17/2017 at 11:34 AM #32289

Elsborgtrading

Hi Henrik you are using 1£ mini contract- but that should be the same. I was hoping for more years. it’s not statistically enough to rely on 1,5 years. sadly.

Elsborgtrading

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04/17/2017 at 12:13 PM #32291

Paris

adds 1 contract every 2500 € and has max of 6 contracts .

Positionsize=1+(min (6,(ROUND((strategyprofit)/2500))))

Paris

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04/17/2017 at 1:31 PM #32304

Nicolas

FYI, it is now possible to have lots with decimal with IG. It is no longer needed to round up the contracts calculation.

2 users thanked author for this post.

Elsborgtrading,

zilliq

Nicolas

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04/17/2017 at 4:23 PM #32318

ALE

@Nicolas, Thanks, I’ve attached screenshot with a little explanation to test other pairs, please correct me if I missing something..

ALE

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04/17/2017 at 4:56 PM #32326

ALE

@Kasper, I’ll test your brent value soon with 200.000 bars WF

Thanks!

ALE

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04/17/2017 at 5:53 PM #32332

Henrik

@Kasper, this is cash contrakt, dont more data with that contrakt. do you @ALE?

Henrik

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04/17/2017 at 5:58 PM #32335

Nicolas

@Ale where’s the screenshot? 🙂

Nicolas

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04/17/2017 at 6:00 PM #32336

ALE

😁 in first page

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Nicolas

ALE

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04/17/2017 at 6:02 PM #32337

ALE

Henrik I’ll test it later, sorry!

ALE

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04/17/2017 at 6:02 PM #32338

Henrik

forgot to attach… here it is.

Henrik

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04/17/2017 at 6:38 PM #32343

Henrik

Hi everyone!

Here is code for optimizing with WF on 100k data with ALEs numbers from first page.

Regards

Henrik

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ALE,

Nicolas

Henrik

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04/17/2017 at 6:46 PM #32347

Nicolas

@Henrik, so to be clear this is the code that everyone should now use to make their optimizations?

Nicolas

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