Break Out Analysis Tool

Break Out Analysis Tool

This break out analysis tool allows us to set a look back period (p) and then analyses breakouts of that periods highest high and lowest low in the next p bars. It can then return the results in three formats.:

  • The quantity of breakouts and their conclusion.
  • The percentage of breakouts and then the percentage of their conclusions.
  • The Profit/Loss if you had gone long or short at a break out price and then sold at the end of the p long period.

In the percentage return ‘% green datum’ and ‘% red datum’ are the percentage of ups or downs when comparing close to open of the p test period. So for example if p = 7 then how many 7 bar periods end up or end down. This is just to give us a market datum to compare to.

It is possible to add or subtract a percentage to the highest high and lowest low breakout levels by changing the ‘Percent’ variable.

It is also possible to include a fixed spread in the profit and loss calculations by changing the ‘Spread’ variable.

Turn on and off the displayed lines for percentage, profit and loss and quantities using the tick boxes to make the output easier to read.

So for example in the images attached we can see that on the DJI daily if we set our p to 7 days then it checks for breakouts of the highest high and lowest low of every seven day period in the seven days following that period. It then simulates profit/loss if you closed the trade at the end of that seven day period.

10485 sets of data were analysed and there were 5756 breakouts in the test. 3239 breaks of the highest high (31% of the time) and 2517 breaks of the lowest low (24% of the time).

Our green datum is 57% and our red datum is 43% meaning that if at anytime we had just gone long then we would have been right 57% of the time at the end of the 7 days and wrong 43% of the time.

58% of the time a low break resulted in the closing price being higher than the break price at the end of the seven days.

If you had been going short at every 7 day high break price and expecting it to close below the low break price then you would have only been successful 0.03% of the time.

57% of low breaks close somewhere between the low break price and the high break price. Only 1% of the time is a low break price hit and then the close is above the high break price.

If you had been going long at the low break price of every seven day period and sold at the end of the following 7 day period then you would have a profit of £51755 with a 3.8 spread.

If you had been going short at the low break price of every seven day period and sold at the end of the following 7 day period then you would have a loss of £70884.

Obviously there is a lot more information but the above highlights some of the stand out analysis.

Hopefully this break out analysis tool can help us understand each instruments characteristics and increase our probability of trading in the most profitable direction at a break out.

I suggest downloading and importing the ITF file to get full functionality.

Share this

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?

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

  1. luxrun • 08/28/2019 #

    Vonasi, is it possible to have a screenshot of an index chart (eg djia) and below the breakout analysis tool result? Maybe with your comment on statistical metrics? Great job!

  2. Vonasi • 08/28/2019 #

    I can’t add any images here now that the library post has been listed. Perhaps you could start a topic in the forums to start a discussion on the breakout characteristics of various markets.

    • Aragorna • 230 days ago #

      Hi Vonasi,
      is there a reason why it does not work anymore in new version ePRT Platform? thank’s in advance

  3. Vinks_o_7 • 08/28/2019 #

    Thanks again Vonasi !

  4. Bard • 08/28/2019 #

    Thank you, this is a great tool @Vonasi, especially for those that used to like shorting Indices!
    Better have great entry timing or else (monthly breakout on DIA)… https://www.dropbox.com/s/x7v41p4cuz4xrq5/mkt%20temperature.png

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
Vonasi There is another version of this indicator that can plot the same lines but onto an indicato...
Martin35 Hello Vonasi, do you think it is possible with PRT to code with the same principle as on thi...
RGKP Hi Vonasi, great work! But what I do not understand is that the statistics change according ...
mr_delta Hi https://www.prorealcode.com/user/vonasi/ I am interested in in scanning for a similar set...
Vonasi Minor Bug Fix Please download an updated version with a minor bug fix from here: https://www...
Paul the last update can be found in topic Strategy DayOpen Straddle for DAX on page 14.
bertrandpinoy l instruction GRAPH pose problème sur PRT... pas vous? cordialement
Nicolas Supprimer simplement les lignes avec GRAPH pour passer en ProOrder, trading live.
fredfilm Hi Nicolas, how could we add a price screen to this? eg stock prices between $1 to $3 etc
Simba Greetings from germany! :) Can you told me your EXIT-strategy for this, please? :) Would ...
GraHal Wow! Thank you Vonasi, great idea!
Vonasi No Problem GraHal. Please share anything interesting that you find using it.
Vonasi I've made a small improvement by adding a Buy and Hold line for comparison. This line can be...
Vonasi Thanks for your thanks Real Pro and yes everyone should import the itf file to make sure tha...
Pepsmile Good job, which could be applied for a spectrum of another indicators.
Pepsmile As to better understand which parameters are better for an indicators in a specific period (...
Bard I was talking to a Machine Learning coder today who's algos have apparently managed to get 7...
Eric If you have a high percentage winners and the trades are closed with take profit the spread ...
Casenova I Agree with you JaunJ, and Yes Eric, what you say makes sense too. Optimizing the Stop Loss...
ET Thanks for the system Casenova. In determining the high of the past 4 bars, is there a reaso...
ak5hay2 Works like crazy on bitcoin. Use different timeframes. Thanks a lot Doc!!!
richyowen Hi, great code thanks. Very new to this forum. Is there a way to add a 100point target on an...
lisamitch50 Morning all, Just backtested on quite a few instruments, worked well on backtesting, but tel...
reb Hello have you used this strat since last year ? live or Back test ? What are the results ?
beeb Yes last Year. But only back test
drysheep Hi all, did anyone test this strategy recently? As i dont get a single trade in the backt...
Nicolas
6 years ago
Nicolas Merci, faire une demande dans le forum approprié.
Pere Thanks for this good indicator Nicolas. I would like to make the upper and lower limits mor...
Nicolas because fractals are known 2 bars later! that's why I used rectangle to plot them in the past.
Alai-n Merci pour ce travail...
patmaba merci Alai-n. C'est ma première participation sur prorealcode, merci pour à toi pour ton co...
longtrade Can this be converted to a screener?
Nicolas Oui pourquoi pas? :)
claudiofred Bonjour Nicolas, merci encore pour ce super indicateur. se demander s'il est possible d'écr...
Nicolas Screener déjà présent sur le forum ici: https://www.prorealcode.com/topic/indicador-lastmans...
bazilou pouvez expliquer donchian bias merci

Top