Fractal breakout intraday Strategy EUR/USD 1H –

• 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"

  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

  //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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  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

  

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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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  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.

   

  

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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))))

  

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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.

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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..

  

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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!

  

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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?

  

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

  @Ale where’s the screenshot? 🙂

  

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

  😁   in first page

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

  Henrik I’ll test it later, sorry!

  

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

  forgot to attach… here it is.

  

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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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  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?

  

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