Breakout and re-testing – lets build something
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Hi all, in this thread i want to see if someone wants to collaborate building a certain type of system.
Ive been playing around with a strategy, but im not sure what the best way to code it would be. I want to trade when a breakout occurs and price goes to retest the breakout level. See photo1 (sorry you need to save the photo to be able to zoom in incase you dont see/understand what ive written on the photo).
Now lets talk about a couple of points here:
1. A breakout out of a trend (a skewed line up or down) is much harder to do, obviously, because a straight line is easy to draw, just a simple highest high or lowest low or highest close or something in that nature.
2. Period and timeframe are important. As seen in my photo some of those are 1h, some are 15m, some are 5 min. Its not always easy to spot and there is no 1 simple answer as to how many bars price will break out of, and how many bars it will take until price re-tests
3. You will miss out on all trades where price never re-tests. Meaning you could be missing out on huge trends and swings, but i guess thats just the name of the game. Cant win em all.
I made a custom version of an indicator i found on this page:
hil = (highest[h1](high[1]))[p1] lol = (lowest[h1](low[1]))[p1] RETURN HIL COLOURED(0,200,0) AS "HH",lol COLOURED(200,0,0) AS "LL"The indicator creates a band around price on the highest high and lowest low, based on X periods, and then all of that are Y periods ago. See photo2. (in photo im using h1 = 15 and p1 = 10)
This is just 1 way of expressing a breakout and maybe a re-test.
Was hoping that maybe one of you might have a good idea or 2 on how to express this further/more accurate or would be interested in working on this project.
Some thoughts going forward:
Different indicator(s)
Adding a “breakout filter” as well, combined with maybe my custom indicator here.
How many periods?
What timeframe(s)?
What markets? (forex, stock indicies, stocks, metals, oil, etc.)
multiple timeframes?
A rough code of a rough idea: I used fractals and price retracement in % to get a breakout signal.. in fact I realize that it is adapted to a trend continuation and not really for a real breakout of a price compression zone..
//fractals cp = p if high[cp] >= highest[(cp)*2+1](high) then prevTOP=TOP TOP = high[cp] endif if low[cp] <= lowest[(cp)*2+1](low) then //prevBOT=BOT BOT = low[cp] endif //price between 2 latest top toprange=abs(top-prevtop) //price smoothing bullprice=average[3](low) //hook in price hookTOP = bullprice<bullprice[1] and bullprice[1]>bullprice[2] if hookTOP then hookTOPbar=barindex endif //bullish breakout if bullprice crosses over top then crossTOP=top crossTOPbar=barindex endif //testing the pullback if crossTOP=prevTOP then //a new top has formed so the crossing TOP is now the previous TOP if hookTOPbar>crossTOPbar then //a hook in price appeared after the cross ratio=(bullprice-prevtop)/(top-prevtop) bullsignal=bullprice>bullprice[1] and bullprice[1]<bullprice[2] and ratio<=0.5 and ratio>0 if bullsignal then drawarrowup(barindex,bullprice) coloured(0,168,0) endif endif endif return top coloured(100,100,100,50) style(dottedline),bot coloured(100,100,100,50) style(dottedline),(bullprice-prevtop)/prevtop
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 09/26/2019 |
| Status: | Active |
| Attachments: | 3 files |
