Break Out Analysis Tool v3 (Update)

Break Out Analysis Tool v3 (Update)

This indicator is an update to add lots of new features and improvements to my Break Out Analysis tool that can be found here:

Break Out Analysis Tool

Please read the description in that library post to understand the basics of what the tool can analyse.

In this new version it is now possible to set the number of bars in the past that we look for our highest high and lowest low breakout levels in and to also set how many bars going forward that we look for a break of those levels in and exit the trade at the end of. ‘p’ and ‘pHold’ are the settings for this.

It is now also possible to adjust the high and low break out levels individually using the ‘HighBreakPerc’ and ‘LowBreakPerc’ settings. A positive number is above the level and a negative number below the level. So for example you can now check for breaks 1% lower than the highest high in the last p bars and 0.5% higher than the lowest low in the last p bars with settings of -1.0 and +0.5. The tool ignores any bars where the high break level is set below the open of our starting bar or where a low break level is set above the open of our starting bar. So if you get no results or very few results then you have probably moved the levels too far.

We can also now show the results for combinations of break out. So for example you can now see an equity curve for how much profit or loss you would have made if you’d gone long at every high break and short at every low break combined – and any other combination. Quantities and percentages are also shown for combinations now.

There is a setting ‘LevelStakes’ that reduces the stake size in half when viewing combined profit/loss lines so that we can directly compare them to the single breakout lines on a level playing field.

As always I advise downloading the ITF and importing to ensure that you get full functionality.

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

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  1. toendidi • 05/11/2020 #

    Hi Vonasi, thankx for the indicator I find it very usefel. I am trying to study the breakot analysis, it is a very interesting set of data. I have a doubt, I am not sure if the data of “returns” takes in account if there is an open position in the precedent candle. If not, the analysis would suppose that we have a “pseudoinfinite” amount of capital to face all the breakouts that may occur at the actual candle. For example, if our analysis takes a “p” value of 21 and “pHold” takes a value of 7, it may occur that you have several breakouts inside that pHold period, lets suppose that we have 5 breakouts inside that 7-candle period. The “return” data takes in account only the first breakout or it “opens” position in the 5 breakouts?
    Thanks for the work done!

  2. Bard • 05/11/2020 #

    Hi @Vonasi, this is an excellent tool!

    I noticed you times by 180 and was wondering why? When I set a Dow chart to 10k units and set percent to unlikely figures like 200% it still gives a a probability of 67% long and 110% short?

    I also added an anchordate to get a specific lookback period (eg 10 years) using this:
    Please note, I am having trouble getting the Insert PRT Code not to insert html instructions within my post using Safari, (because Chrome won’t let me edit posts once posted).

    —————————————————————————
    “Lookback Period”
    AnchorDate = 20111130 //Date anchor YYYYMMDD format

    if date=anchordate then
    startbar=barindex
    endif

    lookback = max(1,barindex-startbar)

    if lookback>0 and date>=AnchorDate then
    —————————————————————————

    Is it possible to make that as a variable integer so it can be changed easily in Settings. I added 20111130 but it’s not updating the indicator when values are changed in Settings (although it works fine editing the date from within the indicator code)?

    I also wondered with the HighBreakPerc and LowBreakPerc feature if it will return the probability percent of, for example, the likelihood of the Dow making a 5% fall over a 15 day period? You wrote:

    “A positive number is above the level and a negative number below the level. So for example you can now check for breaks 1% lower than the highest high in the last p bars and 0.5% higher than the lowest low in the last p bars with settings of -1.0 and +0.5.”

    So can it calculate breaks 6.1% higher than the highest high in the last 15 bars and also 5.1% lower than the lowest low in the last 15 bars with settings of +6.1 and -5.1 or am I misinterpreting the bit about “adjust(ing) the high and low break out levels individually?”

    Cheers,
    Bard

  3. Bard • 05/11/2020 #

    I have no idea what is wrong with the posting on this website. I have problems editing posts clearly as can be seen above. Pls delete it. I only added two small paragraphs in my edit. I also cannot get the edit feature to work on other parts of this forum using either Chrome or Safari as Im using today? The add PRT code buttons has also disappeared on both browers in the last week?

    Hi @Vonasi, this is an excellent tool!

    I noticed you times by 180 and was wondering why? When I set a Dow chart to 10k units and set percent to unlikely figures like 200% it still gives a a probability of 67% long and 110% short?

    I also added an anchordate to get a specific lookback period (eg 10 years) using this:
    Please note, I am having trouble getting the Insert PRT Code not to insert html instructions within my post using Safari, (because Chrome won’t let me edit posts once posted).

    —————————————————————————
    “Lookback Period”
    AnchorDate = 20111130 //Date anchor YYYYMMDD format

    if date=anchordate then
    startbar=barindex
    endif

    lookback = max(1,barindex-startbar)

    if lookback>0 and date>=AnchorDate then
    —————————————————————————

    Is it possible to make that as a variable integer so it can be changed easily in Settings. I added 20111130 but it’s not updating the indicator when values are changed in Settings (although it works fine editing the date from within the indicator code)?

    I also wondered with the HighBreakPerc and LowBreakPerc feature if it will return the probability percent of, for example, the likelihood of the Dow making a 5% fall over a 15 day period? You wrote:

    “A positive number is above the level and a negative number below the level. So for example you can now check for breaks 1% lower than the highest high in the last p bars and 0.5% higher than the lowest low in the last p bars with settings of -1.0 and +0.5.”

    So can it calculate breaks 6.1% higher than the highest high in the last 15 bars and also 5.1% lower than the lowest low in the last 15 bars with settings of +6.1 and -5.1 or am I misinterpreting the bit about “adjust(ing) the high and low break out levels individually?”

    Cheers,
    Bard

  4. Bard • 05/11/2020 #

    And now my first post displays okay? It literally had copies of my orig post all added together about ten times in a really long comment when I edited it to add two paragraphs. Now that huge long post has gone? And now it looks like a double post! I’ve no idea why this has happened!?

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