Calculating Diagonal Trend Lines Using Fractals and Trigonometry

• 10/25/2017 at 7:31 AM #50434
  Madrosat

  Hello Nicolas

  did you realize this indicators who draw oblique trend lines and oscillator??

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  Gianluca

  

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  10/30/2017 at 3:26 PM #50934
  Nicolas

  I tried at that moment but I did not manage to obtain something satisfactory in the time that I had been imparted to this task … Too many good topics and good ideas to explore and only so little time 😐

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  Gianluca

  

  Nicolas

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  10/30/2017 at 10:57 PM #50987
  Madrosat

  I do not doubt that with a little time you’ll get there, we’ll wait for you.

  congratulations

  Madrosat

  

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  01/12/2018 at 4:25 PM #59212
  juanj

  @Nicolas, I would like us to revisit this strategy. I have noticed that it has performed well since I posted my last version on 11 September, adding 33 new trades with a win rate of 63.64% and a Gain/Loss Ratio of 2.71 and a Gain to Drawdown ratio of 3.39.

  I still need some help graphing the trend lines.

  

  juanj

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  01/12/2018 at 4:39 PM #59218
  Nicolas

  If you could identify at least 2 points of the trendline in your code, we could plot it easily. If you can separate all the trading stuff from the trendline calculation in your code, I could help for sure.

  

  Nicolas

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  01/13/2018 at 1:52 PM #59349
  juanj

  Hi Nicolas

  Okay so here is the part of the code that calculates the trend.

  The first point of the trend line is obviously the last swing high/low (FractalH or FractalL) and the bar position being FractalP

  The second point would be the last high/low that results in the MaxAngle to be greater than the last value it held.

  //Calculate Fractal (Swing Point) 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 FractalP = barindex - 2 //High Fractal Bar Position EndIf If 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 FractalP = barindex - 2 //Low Fractal Bar Position 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 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 If barindex - 2 = FractalP Then //Initialize angle using high of last bar of fractal set MaxAngle = Tan(2/Height) //Initial value of the angle between the fractal and the last high EndIf once Trendbreak = 0 If barindex - 2 > FractalP Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf ElsIf Bull = 1 Then //For Up Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf EndIf EndIf

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  //Calculate Fractal (Swing Point)   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 FractalP = barindex - 2 //High Fractal Bar Position EndIf If 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 FractalP = barindex - 2 //Low Fractal Bar Position 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 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   If barindex - 2 = FractalP Then //Initialize angle using high of last bar of fractal set MaxAngle = Tan(2/Height) //Initial value of the angle between the fractal and the last high EndIf   once Trendbreak = 0   If barindex - 2 > FractalP Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf ElsIf Bull = 1 Then //For Up Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf EndIf EndIf

   

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  juanj

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  01/13/2018 at 3:14 PM #59358
  Nicolas

  Something like this? (made only the support lines)

  defparam calculateonlastbars=1000 //Calculate Fractal (Swing Point) 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 FractalP = barindex - 2 //High Fractal Bar Position EndIf If 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 FractalP = barindex - 2 //Low Fractal Bar Position 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 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 If barindex - 2 = FractalP Then //Initialize angle using high of last bar of fractal set MaxAngle = Tan(2/Height) //Initial value of the angle between the fractal and the last high EndIf once Trendbreak = 0 If barindex - 2 > FractalP Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf ElsIf Bull = 1 Then //For Up Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf EndIf EndIf if bull and maxangle>maxangle[1] then drawsegment(barindex,low,fractalP,fractalL) coloured(200,0,0) endif return //fractalH,fractalL, MaxAngle

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  defparam calculateonlastbars=1000   //Calculate Fractal (Swing Point)   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 FractalP = barindex - 2 //High Fractal Bar Position EndIf If 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 FractalP = barindex - 2 //Low Fractal Bar Position 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 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   If barindex - 2 = FractalP Then //Initialize angle using high of last bar of fractal set MaxAngle = Tan(2/Height) //Initial value of the angle between the fractal and the last high EndIf   once Trendbreak = 0   If barindex - 2 > FractalP Then //If current bar greater than end of fractal set: If Bear = 1 Then //For Down Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf ElsIf Bull = 1 Then //For Up Trend If (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 Trendbreak = 0 //No Trend Violation Present EndIf If 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 ElsIf 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) EndIf EndIf EndIf   if bull and maxangle>maxangle[1] then drawsegment(barindex,low,fractalP,fractalL) coloured(200,0,0) endif   return //fractalH,fractalL, MaxAngle

  If “MaxAngle” is superior to the last one and it’s a bull trend, draw a new segment (not a complete line to have a clear chart).

  

  Nicolas

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  01/13/2018 at 6:29 PM #59372
  golha

  Dear Juan,

  will you please post your latest version. This is very interesting. I noticed the part of the code that you have reposted is slightly different form the one posted last year. I know slight difference in a code could be the difference between  losing and winning!

  Many thanks.

  

  golha

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  01/15/2018 at 4:53 PM #59568
  juanj

  @Nicolas, thank you for the indicator.

  It is difficult to say whether or not it looks correct as I can imagine there to be many new lines being drawn constantly.

  However the rules is basically as follows:

  Once a swing high/low is identified with 2 lower highs/higher lows on either side;

  1. Draw an initial line from the high/low of the swing point to the high/low of the 2nd shoulder which should technically be the lowest/highest of the 2 shoulders. This gives the initial value for MaxAngle.
  2. Now after every new bar the angle between the high/low of the swing point and the latest high/low will be calculated and compared to the current value being held by MaxAngle. If the new angle is greater it means a high/low outside the diagonal line is present. To determine whether this constitutes a break, we recalculate the angle using the close. If the close also falls outside the trend line a potential break is present and we will wait for the next candle stick to confirm. If the close does not fall outside the trend line, then the trend remains intact and the high/low will be used to update the new MaxAngle value.
  3. If a new swing high/low is present, this will be used as the new point from which the trend line is calculated.

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  juanj

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  01/15/2018 at 5:00 PM #59570
  juanj

  Would basically look something like this:

   

   

  

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  01/16/2018 at 10:15 PM #59683
  golha

  Juan, you can use the line equation. like this:

  If the line equation is  y=mx+b and the coordinates of a point is (x0,y0) then compare y0 and mxo+b, for example if y0>mxo+b then the point is above the line, etc.

  x0 is bar index and y0 is price.

  in case needed, equation of a line passing two points

  y − y₁ = m(x − x₁)

  m= y2-y1/x2-x1      y is price,m is bar index

   

  thus forget the angle business all together

   

   

  

  golha

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  01/18/2018 at 9:56 AM #59778
  juanj

  I ran this puppy on USDJPY and were quite surprised by the results (see attached), especially considering that I used the EURUSD during optimization and testing:

  
  @Golha Here is the latest version of the code:

  //Stategy: Trend Breakout //Author: Juan Jacobs (Jd3gjacobs@gmail.com) //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant Defparam cumulateorders = False If hour < 3 or hour >= 20 then //market hours EURUSD: 8-23 USDJPY: 3-20 AUDUSD: 5-20 possize = 0 If longonmarket Then sell at market ElsIf shortonmarket Then exitshort at market EndIf Bear = 0 Bull = 0 Trendbreak = 0 Else possize = 1 //position contract size EndIf // Heuristics Algorithm Start once OPT = 1 If OPT < 2 and onmarket then OPT = 0 ElsIf countofposition = 0 Then OPT = 1 EndIF If OPT = 0 Then optimize = optimize + 1 OPT = 2 EndIf //////////////////////////////////////// //GRAPH periods AS "Periods" once periods = 2.5 Increment = 0.05 MaxIncrement = 6 Reps = 6 //Number of trades 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 i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + positionperf(i) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = Periods EndIf If WinCountA >= WinCountB Then WinCountB = WinCountA //Update Best Win Count BestB = Periods EndIf If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then Periods = Periods - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then Periods = Periods + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then Periods = Periods + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA > WinCountB or StratAvgA > StratAvgB and Mode = 2 Then Periods = Periods - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then Periods = BestA Else Periods = (BestA+BestB)/2 EndIf NIncPos = 1 PIncPos = 1 EndIF Optimize = 0 EndIf // Heuristics Algorithm End If Trendbreak = 0 Then //No potential trendbreaks have been identified //Calculate Fractal FracH = 0 //initialize fractal count 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 //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function) If barindex = FractalP + 2 Then //Initialize angle using greatest candle after fractal candle If Bear = 1 Then MaxAngleA = Tan(1/(FractalH - high[0])) //Initial value of the angle between the fractal and the 1st high after fractal high MaxAngleB = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the 2nd high after fractal high MaxAngle = MAX(MaxAngleA,MaxAngleB) ElsIf Bull = 1 Then MaxAngleA = Tan(1/(low[0]-FractalL)) //Initial value of the angle between the fractal and the 1st low after fractal low MaxAngleB = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the 2nd low after fractal low MaxAngle = MAX(MaxAngleA,MaxAngleB) EndIf EndIf EndIf If Bear = 1 Then //Down trend Height = abs(FractalH - high) //Calcululate height between high fractal and high of current bar HeightB = abs(FractalH - close) //Calcululate height between high fractal and close of current bar (used to determine trend violation) HeightC = abs(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 = abs(Low - FractalL) //Calcululate height between low fractal and low of current bar HeightB = abs(close - FractalL) //Calcululate height between high fractal and close of current bar (used to determine trend violation) HeightC = abs(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[22](close)*periods) //Enter into long position at specified price level PreviousLow = FractalL //Lowest[15](low)//Level to re-initate preious trend ElsIf Trendbreak = 1 and Tan((barindex-FractalP)/HeightC) > TAngle Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) > MaxAngle) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) < MaxAngle) 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[22](close)*periods) //Enter into short position at specified price level PreviousHigh = FractalH // Highest[15](high) //Level to re-initiate previous trend ElsIf Trendbreak = 1 and Tan((barindex-FractalP)/HeightC) > TAngle Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) > MaxAngle) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) < MaxAngle) 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 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 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 period = 42 PRICE = LOG(customclose) alpha = 2/(PERIOD+1) if barindex < PERIOD 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 (Jd3gjacobs@gmail.com) //Market: Neutral //Timezone: UTC +2 //Timeframe: 1Hr but not 'completely' timeframe dependant   Defparam cumulateorders = False   If hour < 3 or hour >= 20 then //market hours EURUSD: 8-23 USDJPY: 3-20 AUDUSD: 5-20 possize = 0 If longonmarket Then sell at market ElsIf shortonmarket Then exitshort at market EndIf Bear = 0 Bull = 0 Trendbreak = 0 Else possize = 1 //position contract size EndIf   // Heuristics Algorithm Start   once OPT = 1   If OPT < 2 and onmarket then OPT = 0 ElsIf countofposition = 0 Then OPT = 1 EndIF   If OPT = 0 Then optimize = optimize + 1 OPT = 2 EndIf   ////////////////////////////////////////   //GRAPH periods AS "Periods"   once periods = 2.5 Increment = 0.05 MaxIncrement = 6 Reps = 6 //Number of trades 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 i = 1 to Reps Do If positionperf(i) > 0 Then WinCountA = WinCountA + 1 //Increment Current WinCount EndIf StratAvgA = StratAvgA + positionperf(i) Next StratAvgA = StratAvgA/Reps //Calculate Current Avg Strategy Profit   If StratAvgA >= StratAvgB Then StratAvgB = StratAvgA //Update Best Strategy Profit BestA = Periods EndIf   If WinCountA >= WinCountB Then WinCountB = WinCountA  //Update Best Win Count BestB = Periods EndIf   If WinCountA > WinCountB and StratAvgA > StratAvgB Then Mode = 0 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 1 Then Periods = Periods - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 ElsIf WinCountA >= WinCountB or StratAvgA >= StratAvgB and Mode = 1 Then Periods = Periods + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA < WinCountB and StratAvgA < StratAvgB and Mode = 2 Then Periods = Periods + (Increment*PIncPos) PIncPos = PIncPos + 1 Mode = 1 ElsIf WinCountA > WinCountB or StratAvgA > StratAvgB and Mode = 2 Then Periods = Periods - (Increment*NIncPos) NIncPos = NIncPos + 1 Mode = 2 EndIf   If NIncPos > MaxIncrement or PIncPos > MaxIncrement Then If BestA = BestB Then Periods = BestA Else Periods = (BestA+BestB)/2 EndIf NIncPos = 1 PIncPos = 1 EndIF   Optimize = 0 EndIf   // Heuristics Algorithm End   If Trendbreak = 0 Then //No potential trendbreaks have been identified   //Calculate Fractal   FracH = 0 //initialize fractal count 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   //Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)   If barindex = FractalP + 2 Then //Initialize angle using greatest candle after fractal candle If Bear = 1 Then MaxAngleA = Tan(1/(FractalH - high[0])) //Initial value of the angle between the fractal and the 1st high after fractal high MaxAngleB = Tan(1/(FractalH - high[1])) //Initial value of the angle between the fractal and the 2nd high after fractal high MaxAngle = MAX(MaxAngleA,MaxAngleB) ElsIf Bull = 1 Then MaxAngleA = Tan(1/(low[0]-FractalL)) //Initial value of the angle between the fractal and the 1st low after fractal low MaxAngleB = Tan(1/(low[1]-FractalL)) //Initial value of the angle between the fractal and the 2nd low after fractal low MaxAngle = MAX(MaxAngleA,MaxAngleB) EndIf EndIf   EndIf   If Bear = 1 Then //Down trend Height = abs(FractalH - high) //Calcululate height between high fractal and high of current bar HeightB = abs(FractalH - close) //Calcululate height between high fractal and close of current bar (used to determine trend violation) HeightC = abs(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 = abs(Low - FractalL) //Calcululate height between low fractal and low of current bar HeightB = abs(close - FractalL) //Calcululate height between high fractal and close of current bar (used to determine trend violation) HeightC = abs(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[22](close)*periods) //Enter into long position at specified price level PreviousLow = FractalL //Lowest[15](low)//Level to re-initate preious trend ElsIf Trendbreak = 1 and Tan((barindex-FractalP)/HeightC) > TAngle Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) > MaxAngle) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) < MaxAngle) 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[22](close)*periods) //Enter into short position at specified price level PreviousHigh = FractalH // Highest[15](high) //Level to re-initiate previous trend ElsIf Trendbreak = 1 and Tan((barindex-FractalP)/HeightC) > TAngle Then MaxAngle = TAngle //New max trend as trend break was invalidated Trendbreak = 0 EndIf If Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) > MaxAngle) Then MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid ElsIf Trendbreak = 0 and (Tan((barindex-FractalP)/Height) < MaxAngle) and (Tan((barindex-FractalP)/HeightB) < MaxAngle) 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 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 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 period = 42   PRICE  = LOG(customclose) alpha  = 2/(PERIOD+1)   if barindex < PERIOD 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

   

  2 users thanked author for this post.

  BullFlag, golha

  

  juanj

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  03/07/2021 at 8:18 PM #163381
  eckaw

  @JuanJ I find this strategy really interesting! However, I am struggling to make Money Management work with this. None of the MM code I can find here seems to work. I have made sure to change positionsize to possize but it still doesn’t work, there seem to be something in your code that overrides it but I cannot figure out what. Any help would be massively appreciated.

  

  eckaw

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  03/07/2021 at 8:19 PM #163382
  eckaw

  Do you run this still live?

  I seem to get interesting backtest results with this also:

  period = period2 * AverageTrueRange[periodv]

  (period2 and periodv to be optimised)

  

  eckaw

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