Calculating Diagonal Trend Lines Using Fractals and Trigonometry

• 09/07/2017 at 10:45 AM #45716
  juanj

  Good Day Everyone

  I am working on a trend following breakout strategy that relies on me being able to determine when a diagonal trend line has been broken based on a couple of conditions. As soon as I am finished I will share the strategy here but for now, I need some help determining a crucial ingredient;

  How can I determine the width of a candle stick in relation to height? Currently, the width of a candle stick only represent a time-unit, but I need to assign an actual point (or pip) value for the width of a candle stick to using the trigonometry formula. Here are 2 viewpoints I currently consider:

  1. It does not matter as long as they are all the same
  2. Use a percentage of an ATR[x] value calculated back from the first bar since the trade was opened.

  I would appreciate any suggestions. @Nicolas I believe having a piece of code in the library that can be used to determine when a diagonal trendline is violated will be very helpful.

  The basic idea is to calculate the diagonal trend line projecting it from the last fractal onto the next high/low that produces the widest trend line angle. The trend line is then updated using the next high/low producing a wider angle than the last, but only as long as the high/low has a close in the direction of the trend or if the close following the new high/low is higher/lower than close[1]. The trend line is considered broken when a close is outside of the calculated trend line.

  

  juanj

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  09/07/2017 at 1:17 PM #45729
  juanj

  Okay, so I just realised it probably won’t matter as the width will be the number of bars since the last fractal. I just have to calculate the height and then use the formula Tan(bars/height) to get the angle.

  

  juanj

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  09/07/2017 at 2:53 PM #45731
  Despair

  This was what I was thinking. (y)

  

  Despair

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  09/07/2017 at 3:16 PM #45732
  juanj

  Okay so here is the code, unfortunately, it is not opening trades which means I must be missing something? @Nicolas, basically here is where I will need help with some debugging.

  If hour < 9 or hour > 17 then //outside market hours possize = 0 If longonmarket Then sell at market ElsIf shortonmarket Then exitshort at market EndIf Else possize = 2 //position contract size EndIf //Calculate Fractal once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next If FracH = 4 Then //High Fractal Identified (DownTrend) FractalH = high[2] //High Fractal Price Level FractalP = barindex - tradeindex - 2 //High Fractal Bar Position EndIf If FracL = 4 Then //Low Fractal Identified (UpTrend) FractalL = low[2] //Low Fractal Price Level FractalP = barindex - tradeindex - 2 //Low Fractal Bar Position EndIf //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function) If FracH = 4 Then //Down trend due to High Fractal Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf FracL = 4 Then //Up trend due to High Fractal Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf If (barindex-tradeindex) - 2 = FractalP Then //Initialize angle using high of last bar of fractal set MaxAngle = Tan(1/Height) //Initial value of the angle between the fractal and the last high EndIf If (barindex-tradeindex) - 2 > FractalP Then //If current bar greater than end of fractal set: If FracH = 4 Then //For High Fractal (Down Trend) If (Tan(((barindex-tradeindex)-FractalP)/Height) > MaxAngle) and (((close < open) or (close < close[1]))) Then MaxAngle = Tan(((barindex-tradeindex)-FractalP)/Height) //calculate new max trend if down trend rules are valid Trendbreak = 0 //No Trend Violation Present EndIf If Trendbreak = 0 and (Tan(((barindex-tradeindex)-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar ElsIf Trendbreak = 1 and (Tan((((barindex-tradeindex)-1)-FractalP)/HeightB) > MaxAngle) and close > close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) EndIf ElsIf FracL = 4 Then //For Low Fractal (Up Trend) If (Tan(((barindex-tradeindex)-FractalP)/Height) > MaxAngle) and (((close > open) or (close > close[1]))) Then MaxAngle = Tan(((barindex-tradeindex)-FractalP)/Height) //calculate new max trend if up trend rules are valid Trendbreak = 0 //No Trend Violation Present EndIf If Trendbreak = 0 and (Tan(((barindex-tradeindex)-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar ElsIf Trendbreak = 1 and (Tan((((barindex-tradeindex)-1)-FractalP)/HeightB) > MaxAngle) and close < close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) EndIf EndIf EndIf If Trendbreak = 2 Then //Trend violation is confirmed: If FracH = 4 Then //For Up Trend: BreakoutL = Highest[3](high) //Determine Highest point of violation (including last candle before violation) Buy possize contract at BreakoutL + (AverageTrueRange[14](close)*0.7) stop //Enter into long position at specified price level //N.B. We need to ensure the current position is obviously closed? ElsIf FracL = 4 Then //For Down Trend: BreakoutL = Lowest[3](low) //Determine Lowest point of violation (including last candle before violation) Sellshort possize contract at BreakoutL - (AverageTrueRange[14](close)*0.7) stop //Enter into short position at specified price level //N.B. We need to ensure the current position is obviously closed? EndIf EndIf If FracH = 4 Then If longonmarket Then //If position is opened counter last trend, reset variables FracH = 0 FracL = 0 Trendbreak = 0 EndIf ElsIf FracL = 4 Then If shortonmarket Then //If position is opened counter last trend, reset variables FracH = 0 FracL = 0 Trendbreak = 0 EndIf EndIf

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  If hour < 9 or hour > 17 then //outside market hours   possize = 0   If longonmarket Then    sell at market   ElsIf shortonmarket Then    exitshort at market   EndIf Else   possize = 2 //position contract size EndIf   //Calculate Fractal   once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count For i = 0 to 4 Do   If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side    FracH = FracH + 1   EndIf   If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side    FracL = FracL + 1   EndIf Next If FracH = 4 Then //High Fractal Identified (DownTrend)   FractalH = high[2] //High Fractal Price Level   FractalP = barindex - tradeindex - 2 //High Fractal Bar Position EndIf If FracL = 4 Then //Low Fractal Identified (UpTrend)   FractalL = low[2] //Low Fractal Price Level   FractalP = barindex - tradeindex - 2 //Low Fractal Bar Position EndIf   //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)   If FracH = 4 Then //Down trend due to High Fractal   Height = FractalH - high //Calcululate height between high fractal and high of current bar   HeightB = FractalH - close //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf FracL = 4 Then //Up trend due to High Fractal   Height = Low - FractalL //Calcululate height between low fractal and low of current bar   HeightB = close - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf   If (barindex-tradeindex) - 2 = FractalP Then //Initialize angle using high of last bar of fractal set   MaxAngle = Tan(1/Height) //Initial value of the angle between the fractal and the last high EndIf   If (barindex-tradeindex) - 2 > FractalP Then //If current bar greater than end of fractal set:   If FracH = 4 Then //For High Fractal (Down Trend)    If (Tan(((barindex-tradeindex)-FractalP)/Height) > MaxAngle) and (((close < open) or (close < close[1]))) Then     MaxAngle = Tan(((barindex-tradeindex)-FractalP)/Height) //calculate new max trend if down trend rules are valid     Trendbreak = 0 //No Trend Violation Present    EndIf    If Trendbreak = 0 and (Tan(((barindex-tradeindex)-FractalP)/HeightB) > MaxAngle) and close > open Then     TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar    ElsIf Trendbreak = 1 and (Tan((((barindex-tradeindex)-1)-FractalP)/HeightB) > MaxAngle) and close > close[1] Then     Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend)    EndIf   ElsIf FracL = 4 Then //For Low Fractal (Up Trend)    If (Tan(((barindex-tradeindex)-FractalP)/Height) > MaxAngle) and (((close > open) or (close > close[1]))) Then     MaxAngle = Tan(((barindex-tradeindex)-FractalP)/Height) //calculate new max trend if up trend rules are valid     Trendbreak = 0 //No Trend Violation Present    EndIf    If Trendbreak = 0 and (Tan(((barindex-tradeindex)-FractalP)/HeightB) > MaxAngle) and close < open Then     TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar    ElsIf Trendbreak = 1 and (Tan((((barindex-tradeindex)-1)-FractalP)/HeightB) > MaxAngle) and close < close[1] Then     Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend)    EndIf EndIf EndIf   If Trendbreak = 2 Then //Trend violation is confirmed: If FracH = 4 Then //For Up Trend:   BreakoutL = Highest[3](high) //Determine Highest point of violation (including last candle before violation)   Buy possize contract at BreakoutL + (AverageTrueRange[14](close)*0.7) stop //Enter into long position at specified price level   //N.B. We need to ensure the current position is obviously closed? ElsIf FracL = 4 Then //For Down Trend:   BreakoutL = Lowest[3](low) //Determine Lowest point of violation (including last candle before violation)   Sellshort possize contract at BreakoutL - (AverageTrueRange[14](close)*0.7) stop //Enter into short position at specified price level   //N.B. We need to ensure the current position is obviously closed? EndIf EndIf   If FracH = 4 Then If longonmarket Then //If position is opened counter last trend, reset variables   FracH = 0   FracL = 0   Trendbreak = 0 EndIf ElsIf FracL = 4 Then If shortonmarket Then //If position is opened counter last trend, reset variables   FracH = 0   FracL = 0   Trendbreak = 0 EndIf EndIf

   

  

  juanj

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  09/08/2017 at 10:49 AM #45794
  juanj

  Okay, so I finally figured out the problem.

  Had to rewrite big parts of the code, but the main issue was basically the fact that I did not properly identify the active trend.

  The strategy performs surprisingly well. I tested it on the EUR/USD 1Hr (see attached screenshot) but it should work on other markets and time frames as well.

  The strategy has been submitted to the PRT library. Will post the link here as soon as it is posted.

  Regards,

  1 user thanked author for this post.

  Nicolas

  

  juanj

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  09/08/2017 at 11:31 AM #45805
  Nicolas

  Sorry, I’m a bit late here. Very fine and clever @juanj, well done!  I reviewed your post and your strategy is now available in the library for everyone to test and improve: trend lines breakout strategy

  

  Nicolas

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  09/08/2017 at 11:34 AM #45806
  Wing

  We seem to be working on the same projects: https://www.prorealcode.com/topic/wings-trend-lines-indicator/

  

  Wing

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  09/10/2017 at 10:55 PM #45906
  Huw

  Hi Juan,

  Would it be possible to code this to trade channels instead but reverse if the price goes beyond a trend line to also chase the breakout?

  I note the CAC 40 has been in a nice down channel but may break to the up side at some point for example.

  

  Huw

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  09/11/2017 at 9:39 AM #45920
  juanj

  Hi Huw, a channel is but an area of support (for long positions) or resistance (for short positions) that is respected by the price. The strategy in effect actually aims to do exactly as you are requesting. The problem, however, is that the way in which the diagonal line is positioned in the strategy is possibly not as optimal as we I initially thought. I will attempt to improve on it to better trade with the trend. Maybe @Nicolas or @Wing or @Francesco78 can assist in graphing each revision of the lines as to make it clear how they are actually plotted.

   

  

  juanj

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  09/11/2017 at 3:35 PM #45951
  juanj

  Okay, so I have been going over the code carefully and made some changes that I believe is more consistent with what I have been trying to achieve. However, in doing so I think I broke it as it stops opening trades a few trades in.

  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant Defparam cumulateorders = False If hour < 9 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 EndIf Else possize = 1 //position contract size EndIf //Calculate Fractal once Trendbreak = 0 If Trendbreak = 0 Then once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf If Bear = 1 Then FractalH = high[2] //High Fractal Price Level FractalP = barindex - 2 //High Fractal Bar Position EndIf EndIf If FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf If Bull = 1 Then FractalL = low[2] //Low Fractal Price Level FractalP = barindex - 3 //Low Fractal Bar Position EndIf EndIf FracH = 0 //reset fractal count FracL = 0 //reset fractal count //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function) If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf EndIf If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close < open) or (close < close[1]))) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar EndIF If Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close > close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutL = Highest[2](high) //Determine Highest point of violation (including last candle before violation) EndIf ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close > open) or (close > close[1]))) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar EndIf If Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close < close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutL = Lowest[2](low) //Determine Lowest point of violation (including last candle before violation) EndIf EndIf EndIf If Trendbreak = 2 Then //Trend violation is confirmed: If Bear = 1 Then //Down Trend Present (but now broken): Buy possize contract at BreakoutL + (AverageTrueRange[7](close)*1) stop //Enter into long position at specified price level //N.B. We need to ensure the current position is obviously closed? ElsIf Bull = 1 Then //Up Trend Present (but now broken): Sellshort possize contract at BreakoutL - (AverageTrueRange[7](close)*1) stop //Enter into short position at specified price level //N.B. We need to ensure the current position is obviously closed? EndIf If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables Trendbreak = 0 Bear = 0 Bull = 1 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables Trendbreak = 0 Bear = 1 Bull = 0 EndIf EndIf //Trade Management (Note that Trend Direction need to be reset with exits's) Deviations = 1.618 periods = 42 PRICE = LOG(customclose) alpha = 2/(PERIODS+1) if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif error = PRICE - EWMA dev = SQUARE(error) if barindex < PERIODS+1 then var = dev else var = alpha * dev + (1-alpha) * var endif ESD = SQRT(var) BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD)) RS2 = ROUND(RSI[2](close)) PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1] If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 EndIf

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  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant   Defparam cumulateorders = False   If hour < 9 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 EndIf Else possize = 1 //position contract size EndIf   //Calculate Fractal   once Trendbreak = 0   If Trendbreak = 0 Then   once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count   For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next   If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf If Bear = 1 Then FractalH = high[2] //High Fractal Price Level FractalP = barindex - 2 //High Fractal Bar Position EndIf EndIf If FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf If Bull = 1 Then FractalL = low[2] //Low Fractal Price Level FractalP = barindex - 3 //Low Fractal Bar Position EndIf EndIf   FracH = 0 //reset fractal count FracL = 0 //reset fractal count   //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)   If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf   If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf   EndIf   If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close < open) or (close < close[1]))) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar EndIF If Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close > close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutL = Highest[2](high) //Determine Highest point of violation (including last candle before violation) EndIf ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close > open) or (close > close[1]))) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar EndIf If Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close < close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutL = Lowest[2](low) //Determine Lowest point of violation (including last candle before violation) EndIf EndIf EndIf   If Trendbreak = 2 Then //Trend violation is confirmed: If Bear = 1 Then //Down Trend Present (but now broken): Buy possize contract at BreakoutL + (AverageTrueRange[7](close)*1) stop //Enter into long position at specified price level //N.B. We need to ensure the current position is obviously closed? ElsIf Bull = 1 Then //Up Trend Present (but now broken): Sellshort possize contract at BreakoutL - (AverageTrueRange[7](close)*1) stop //Enter into short position at specified price level //N.B. We need to ensure the current position is obviously closed? EndIf   If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables Trendbreak = 0 Bear = 0 Bull = 1 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables Trendbreak = 0 Bear = 1 Bull = 0 EndIf EndIf   //Trade Management (Note that Trend Direction need to be reset with exits's)   Deviations = 1.618 periods = 42   PRICE  = LOG(customclose) alpha  = 2/(PERIODS+1)   if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif   error = PRICE - EWMA dev   = SQUARE(error) if barindex < PERIODS+1 then var  = dev else var   = alpha * dev + (1-alpha) * var endif ESD   = SQRT(var)   BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD))   RS2 = ROUND(RSI[2](close))   PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1]   If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf   If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 EndIf

   

  

  juanj

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  09/11/2017 at 6:06 PM #45956
  juanj

  Okay, I have been crawling deeper and deeper into the rabbit hole and found more oversights in my code.

  Amongst other things I didn’t reset the Trendbreak indicator to zero if the breakout was invalid and also I didn’t cater for close = open scenarios.

  However, even after fixing the above the strategy is still only opening a few trades and then stopping. Results based on the few opened trades looks very promising though (attached)!

  
  @Nicolas I really need some expert help fixing this as I believe there are major potential waiting to be unlocked here.

  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant Defparam cumulateorders = False If hour < 9 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 EndIf Else possize = 1 //position contract size EndIf //Calculate Fractal once Trendbreak = 0 If Trendbreak = 0 Then //No potential trendbreaks have been identified once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf If Bear = 1 Then FractalH = high[2] //High Fractal Price Level FractalP = barindex - 2 //High Fractal Bar Position EndIf ElsIf FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf If Bull = 1 Then FractalL = low[2] //Low Fractal Price Level FractalP = barindex - 2 //Low Fractal Bar Position EndIf EndIf FracH = 0 //reset fractal count FracL = 0 //reset fractal count //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function) If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf EndIf If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close[1] //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close[1] - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 1 and close >= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutL = Highest[2](high) //Determine Highest point of violation (including last candle before violation) ElsIf Trendbreak = 1 and close <= open[1] Then Trendbreak = 0//Trend violation invalidated, latest close did not confirm MaxAngle = TAngle //New max trend as trend break was invalidated EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close <= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIF ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 1 and close <= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutL = Lowest[2](low) //Determine Lowest point of violation (including last candle before violation) ElsIf Trendbreak = 1 and close >= open[1] Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close >= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIf EndIf EndIf If Trendbreak = 2 Then //Trend violation is confirmed: If Bear = 1 Then //Down Trend Present (but now broken): Buy possize contract at BreakoutL + (AverageTrueRange[7](close)*1.6) stop //Enter into long position at specified price level //N.B. We need to ensure the current position is obviously closed? ElsIf Bull = 1 Then //Up Trend Present (but now broken): Sellshort possize contract at BreakoutL - (AverageTrueRange[7](close)*1.6) stop //Enter into short position at specified price level //N.B. We need to ensure the current position is obviously closed? EndIf If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 0 Bull = 1 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 1 Bull = 0 EndIf EndIf //Trade Management (Note that Trend Direction need to be reset with exits's) Deviations = 1.618 periods = 42 PRICE = LOG(customclose) alpha = 2/(PERIODS+1) if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif error = PRICE - EWMA dev = SQUARE(error) if barindex < PERIODS+1 then var = dev else var = alpha * dev + (1-alpha) * var endif ESD = SQRT(var) BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD)) RS2 = ROUND(RSI[2](close)) PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1] If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 EndIf

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  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant   Defparam cumulateorders = False   If hour < 9 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 EndIf Else possize = 1 //position contract size EndIf   //Calculate Fractal   once Trendbreak = 0   If Trendbreak = 0 Then //No potential trendbreaks have been identified   once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count   For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next   If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf If Bear = 1 Then FractalH = high[2] //High Fractal Price Level FractalP = barindex - 2 //High Fractal Bar Position EndIf ElsIf FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf If Bull = 1 Then FractalL = low[2] //Low Fractal Price Level FractalP = barindex - 2 //Low Fractal Bar Position EndIf EndIf   FracH = 0 //reset fractal count FracL = 0 //reset fractal count   //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)   If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf   EndIf   If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close[1] //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close[1] - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf   If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 1 and close >= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutL = Highest[2](high) //Determine Highest point of violation (including last candle before violation) ElsIf Trendbreak = 1 and close <= open[1] Then Trendbreak = 0//Trend violation invalidated, latest close did not confirm MaxAngle = TAngle //New max trend as trend break was invalidated EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close <= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIF ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 1 and close <= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutL = Lowest[2](low) //Determine Lowest point of violation (including last candle before violation) ElsIf Trendbreak = 1 and close >= open[1] Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close >= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIf EndIf EndIf   If Trendbreak = 2 Then //Trend violation is confirmed: If Bear = 1 Then //Down Trend Present (but now broken): Buy possize contract at BreakoutL + (AverageTrueRange[7](close)*1.6) stop //Enter into long position at specified price level //N.B. We need to ensure the current position is obviously closed? ElsIf Bull = 1 Then //Up Trend Present (but now broken): Sellshort possize contract at BreakoutL - (AverageTrueRange[7](close)*1.6) stop //Enter into short position at specified price level //N.B. We need to ensure the current position is obviously closed? EndIf   If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 0 Bull = 1 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 1 Bull = 0 EndIf EndIf   //Trade Management (Note that Trend Direction need to be reset with exits's)   Deviations = 1.618 periods = 42   PRICE  = LOG(customclose) alpha  = 2/(PERIODS+1)   if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif   error = PRICE - EWMA dev   = SQUARE(error) if barindex < PERIODS+1 then var  = dev else var   = alpha * dev + (1-alpha) * var endif ESD   = SQRT(var)   BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD))   RS2 = ROUND(RSI[2](close))   PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1]   If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf   If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 EndIf

   

  

  juanj

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  09/11/2017 at 6:21 PM #45959
  juanj

  Haha okay, I think I found the problem. The stop order level is constantly being updated. Talk about moving the goalposts!

  Will be back with the fix soon…

  

  juanj

  Participant

  Topics: 51

  Replies: 505

  Been thanked: 170 times
  09/11/2017 at 8:36 PM #45969
  juanj

  Finally done, realised I also didn’t re-instate the previous trend if the buy/sell order were never met and the trend continued on in the initial direction. But I believe all logical issues have now been addressed. I also added some heuristics to optimize the ATR period used to calculate the buy/sell order level. So here is my final version, which for some frustrating reason doesn’t perform as well as the original version (I spent way too much time on this):

  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant Defparam cumulateorders = False If hour < 8 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 optimize = optimize + 1 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 optimize = optimize + 1 EndIf Else possize = 1 //position contract size EndIf // Heuristics Algorithm Start once period = 6 Increment = 1 MaxIncrement = 5 Reps = 4 //Number of bars to use for analysis once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments once WinCountB = 0 //Initialize Best Win Count once StratAvgB = 0 //Initialize Best Avg Strategy Profit If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit For z = 1 to Reps Do If positionperf(z) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + StrategyProfit[z] Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = Period EndIf If WinCountA >= WinCountB Then WinCountB = WinCountB //Update Best Win Count BestB = Period EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then Period = Period - (Increment*NIncPos) NIncPos = NIncPos + Increment Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then Period = Period + (Increment*PIncPos) PIncPos = PIncPos + Increment Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then Period = Period + (Increment*PIncPos) PIncPos = PIncPos + Increment Mode = 1 ElsIf WinCountA > WinCountB or StratAvgA > StratAvgB and Mode = 2 Then Period = Period - (Increment*NIncPos) NIncPos = NIncPos + Increment Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then Period = BestA Else Period = (BestA+BestB)/2 EndIf NIncPos = 1 PIncPos = 1 EndIF Optimize = 0 EndIf // Heuristics Algorithm End //Calculate Fractal once Trendbreak = 0 If Trendbreak = 0 Then //No potential trendbreaks have been identified once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf FractalH = high[2] //High Fractal Price Level LFractalH = low[2] //Low of High Fractal If Bear = 1 Then FractalP = barindex - 2 //High Fractal Bar Position EndIf ElsIf FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf FractalL = low[2] //Low Fractal Price Level HFractalL = high[2] //High of Low Fractal If Bull = 1 Then FractalP = barindex - 2 //Low Fractal Bar Position EndIf EndIf FracH = 0 //reset fractal count FracL = 0 //reset fractal count //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function) If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf EndIf If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close[1] //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close[1] - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 1 and close >= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutP = Barindex //Breakout position OrderLevel = LFractalH + (AverageTrueRange[PERIOD](close)*1.618) //Enter into long position at specified price level PreviousLow = LFractalH //Level to re-initate preious trend ElsIf Trendbreak = 1 and close <= open[1] Then Trendbreak = 0//Trend violation invalidated, latest close did not confirm MaxAngle = TAngle //New max trend as trend break was invalidated EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close <= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIF ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 1 and close <= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutP = Barindex //Breakout position OrderLevel = HFractalL - (AverageTrueRange[PERIOD](close)*1.618) //Enter into short position at specified price level PreviousHigh = HFractalL //Level to re-initiate previous trend ElsIf Trendbreak = 1 and close >= open[1] Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close >= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIf EndIf EndIf If Trendbreak = 2 Then //Trend violation is confirmed: If Bear = 1 and close > PreviousLow Then Buy possize contract at OrderLevel stop ElsIf Bull = 1 and close < PreviousHigh Then Sellshort possize contract at OrderLevel stop EndIf If barindex >= BreakoutP Then If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 0 Bull = 1 optimize = optimize + 1 ElsIf Bear = 1 and close < PreviousLow Then //New trend invalidated and previous trend resumed Trendbreak = 0 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 1 Bull = 0 optimize = optimize + 1 ElsIf Bull = 1 and close > PreviousHigh Then //New trend invalidated and previous trend resumed Trendbreak = 0 EndIf EndIf EndIf //Trade Management (Note that Trend Direction need to be reset with exits's) Deviations = 1.618 periods = 42 PRICE = LOG(customclose) alpha = 2/(PERIODS+1) if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif error = PRICE - EWMA dev = SQUARE(error) if barindex < PERIODS+1 then var = dev else var = alpha * dev + (1-alpha) * var endif ESD = SQRT(var) BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD)) RS2 = ROUND(RSI[2](close)) PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1] If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 optimize = optimize + 1 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 optimize = optimize + 1 EndIf

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  //Stategy: Trend Breakout //Author: Juan Jacobs //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant   Defparam cumulateorders = False   If hour < 8 or hour > 22 then //outside market hours possize = 0 If longonmarket Then sell at market Bear = 0 Bull = 0 Trendbreak = 0 optimize = optimize + 1 ElsIf shortonmarket Then exitshort at market Bear = 0 Bull = 0 Trendbreak = 0 optimize = optimize + 1 EndIf Else possize = 1 //position contract size EndIf   // Heuristics Algorithm Start   once period = 6 Increment = 1 MaxIncrement = 5 Reps = 4 //Number of bars to use for analysis once PIncPos = 1 //Positive Increment Position once NIncPos = 1 //Neative Increment Position once Optimize = 0 ////Initialize Heuristicks Engine Counter (Must be Incremented at Position Start or Exit) once Mode = 1 //Switches between negative and positive increments once WinCountB = 0 //Initialize Best Win Count once StratAvgB = 0 //Initialize Best Avg Strategy Profit   If Optimize = Reps Then WinCountA = 0 //Initialize current Win Count StratAvgA = 0 //Initialize current Avg Strategy Profit   For z = 1 to Reps Do If positionperf(z) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + StrategyProfit[z] Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit   If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = Period EndIf   If WinCountA >= WinCountB Then WinCountB = WinCountB  //Update Best Win Count BestB = Period EndIf   If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then Period = Period - (Increment*NIncPos) NIncPos = NIncPos + Increment Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then Period = Period + (Increment*PIncPos) PIncPos = PIncPos + Increment Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then Period = Period + (Increment*PIncPos) PIncPos = PIncPos + Increment Mode = 1 ElsIf WinCountA > WinCountB or StratAvgA > StratAvgB and Mode = 2 Then Period = Period - (Increment*NIncPos) NIncPos = NIncPos + Increment Mode = 2 EndIf   If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then Period = BestA Else Period = (BestA+BestB)/2 EndIf NIncPos = 1 PIncPos = 1 EndIF   Optimize = 0 EndIf   // Heuristics Algorithm End   //Calculate Fractal   once Trendbreak = 0   If Trendbreak = 0 Then //No potential trendbreaks have been identified   once FracH = 0 //initialize fractal count once FracL = 0 //initialize fractal count   For i = 0 to 4 Do If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side FracH = FracH + 1 EndIf If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side FracL = FracL + 1 EndIf Next   If FracH = 4 Then //High Fractal Identified If Bear = 0 and Bull = 0 Then Bear = 1 //Initialize first trend direction EndIf FractalH = high[2] //High Fractal Price Level LFractalH = low[2] //Low of High Fractal If Bear = 1 Then FractalP = barindex - 2 //High Fractal Bar Position EndIf ElsIf FracL = 4 Then //Low Fractal Identified If Bear = 0 and Bull = 0 Then Bull = 1 //Initialize first trend direction EndIf FractalL = low[2] //Low Fractal Price Level HFractalL = high[2] //High of Low Fractal If Bull = 1 Then FractalP = barindex - 2 //Low Fractal Bar Position EndIf EndIf   FracH = 0 //reset fractal count FracL = 0 //reset fractal count   //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)   If barindex = FractalP + 2 Then //Initialize angle using 1st candle after fractal candle If Bear = 1 Then MaxAngle = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the last high ElsIf Bull = 1 Then MaxAngle = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the last high EndIf EndIf   EndIf   If Bear = 1 Then //Down trend Height = FractalH - high //Calcululate height between high fractal and high of current bar HeightB = FractalH - close[1] //Calcululate height between high fractal and close of current bar (used to determine trend violation) ElsIf Bull = 1 Then //Up trend Height = Low - FractalL //Calcululate height between low fractal and low of current bar HeightB = close[1] - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation) EndIf   If barindex > FractalP + 2 Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If Trendbreak = 1 and close >= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend) BreakoutP = Barindex //Breakout position OrderLevel = LFractalH + (AverageTrueRange[PERIOD](close)*1.618) //Enter into long position at specified price level PreviousLow = LFractalH //Level to re-initate preious trend ElsIf Trendbreak = 1 and close <= open[1] Then Trendbreak = 0//Trend violation invalidated, latest close did not confirm MaxAngle = TAngle //New max trend as trend break was invalidated EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close <= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIF ElsIf Bull = 1 Then //For Up Trend If Trendbreak = 1 and close <= close[1] Then Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend) BreakoutP = Barindex //Breakout position OrderLevel = HFractalL - (AverageTrueRange[PERIOD](close)*1.618) //Enter into short position at specified price level PreviousHigh = HFractalL //Level to re-initiate previous trend ElsIf Trendbreak = 1 and close >= open[1] Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) > MaxAngle) and close >= open Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar TAngle = Tan((barindex-FractalP)/Height) //Save temporary angle to use if trend violation invalidated EndIf EndIf EndIf   If Trendbreak = 2 Then //Trend violation is confirmed:   If Bear = 1 and close > PreviousLow Then Buy possize contract at OrderLevel stop ElsIf Bull = 1 and close < PreviousHigh Then Sellshort possize contract at OrderLevel stop EndIf   If barindex >= BreakoutP Then If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 0 Bull = 1 optimize = optimize + 1 ElsIf Bear = 1 and close < PreviousLow Then //New trend invalidated and previous trend resumed Trendbreak = 0 ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables and initialize new trend Trendbreak = 0 Bear = 1 Bull = 0 optimize = optimize + 1 ElsIf Bull = 1 and close > PreviousHigh Then //New trend invalidated and previous trend resumed Trendbreak = 0 EndIf EndIf EndIf   //Trade Management (Note that Trend Direction need to be reset with exits's)   Deviations = 1.618 periods = 42   PRICE  = LOG(customclose) alpha  = 2/(PERIODS+1)   if barindex < PERIODS then EWMA = AVERAGE[3](PRICE) else EWMA = alpha * PRICE + (1-alpha)*EWMA endif   error = PRICE - EWMA dev   = SQUARE(error) if barindex < PERIODS+1 then var  = dev else var   = alpha * dev + (1-alpha) * var endif ESD   = SQRT(var)   BollU = EXP(EWMA + (DEVIATIONS*ESD)) BollL = EXP(EWMA - (DEVIATIONS*ESD))   RS2 = ROUND(RSI[2](close))   PSH = Highest[100](high)[1] PSL = Lowest[100](low)[1]   If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then LE = 1 ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then SE = 1 EndIf   If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then Sell at market Bear = 0 Bull = 0 optimize = optimize + 1 ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then Exitshort at market Bear = 0 Bull = 0 optimize = optimize + 1 EndIf

   

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  juanj

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  09/13/2017 at 4:00 PM #46150
  Nicolas

  Well done, been quite busy here and there and also a lot IRL.. Sometimes buggy codes lead to better results than final and neat ones .. that’s programmer’s life 🙁

  Did you think of a clean way to draw your trend lines or even an oscillator of their difference between price and them? Should help a lot visualize how the things goes with the strategy.

  

  Nicolas

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  09/13/2017 at 5:29 PM #46158
  juanj

  I’m not too well versed with coding indicators as I try to not spend too much time in front of a screen trading. My focus is mainly on automation.

  I have spent allot of time lately designing and debugging this code and sharing it with the PRC community, so it would be nice if someone else can add to this by designing an indicator based on this concept.

  

  juanj

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