Fibonacci Retracement of breakout

• 01/02/2017 at 11:58 PM #19660
  kg6450

  Hi all, I know I’ve asked a simliar question to this in the past but I’m still finding a lot of difficulty coding this system and was hoping someone may be able to help.

  The system I am trying to code is run every day and sets the breakout box between 3am and 8am in the morning. No trades are made during this time, the box is just set.

  After this, we wait for a breakout between 8am and 2pm. This is where it gets a little complicated – Instead of trading the breakout, I want to trade the fakeout and enter at the fibonacci retracement of the previous movement.

  If price closes above high set between 3 and 8am, then an entry order is placed to short at the 61.8% retracement of the new highest high and the lowest low from between 3 and 8 am. If the time is between 8am and 2pm and price closes below the lowest low that was set between 3 and 8am then an entry order is set to buy at the 61.8% retracement of the highest high from between 3 and 8am and the new lowest low.

  I have used the fibonacci screener that was recommended to me before but what I am finding difficult is getting the correct entry levels set. I am also struggling to set the entry orders to be valid for a certain amount of time – i.e. If it gets to 3pm and either there was no breakout or price did not meet the entry order then no positions are taken and the system starts again the next day.

  So far I’ve written this on the 15min timeframe:

  DEFPARAM CumulateOrders = False MakeTrade = (Time > 080000) AND (Time < 150000) IF Time = 080000 THEN hh = highest[20](Close) ll = lowest[20](Close) ENDIF IF (Time > 080000) AND (Time < 140000) THEN TopPoint = highest[24](high) BottomPoint = lowest[24](low) SellFib = (TopPoint - ll) * 0.618 BuyFib = (hh - BottomPoint) * 0.618 ShortEntry = SellFib + ll LongEntry = hh- BuyFib ENDIF IF MakeTrade AND Close > hh THEN SELLSHORT 1 SHARES AT ShortEntry LIMIT ENDIF IF MakeTrade AND Close < ll THEN BUY 1 SHARES AT LongEntry LIMIT ENDIF SET TARGET pPROFIT 10 SET STOP pLOSS 10

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  DEFPARAM CumulateOrders = False   MakeTrade = (Time > 080000) AND (Time < 150000)   IF Time = 080000 THEN hh = highest[20](Close) ll = lowest[20](Close) ENDIF   IF (Time > 080000) AND (Time < 140000) THEN TopPoint = highest[24](high) BottomPoint = lowest[24](low) SellFib = (TopPoint - ll) * 0.618 BuyFib = (hh - BottomPoint) * 0.618 ShortEntry = SellFib + ll LongEntry = hh- BuyFib ENDIF   IF MakeTrade AND Close > hh THEN SELLSHORT 1 SHARES AT ShortEntry LIMIT ENDIF   IF MakeTrade AND Close < ll THEN BUY 1 SHARES AT LongEntry LIMIT ENDIF   SET TARGET pPROFIT 10 SET STOP pLOSS 10

  I was wondering if anyone would be able to help me with this, and Happy New Year to all!

  

  kg6450

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  01/04/2017 at 12:23 PM #19807
  juanj

  Dear kg6450

  I have coded your strategy and made some minor modifications.

  Backtested over a 2 year period the profit:drawdown ratio look good even though only short trades are triggered.

  Someone can maybe assist with resolving that but unfortunately I cannot spend too much time on this.

  I changed the strategy to run on 5min for better breakout accuracy.

  Please test and let me know what you think.

  Regards,

  DEFPARAM CumulateOrders = False //5min Fibonaci Fakeout// possize = 1 Tradetime = (Time >= 090000 AND Time <= 151500) IF Time >= 090000 and time <= 090500 THEN // high-low box hh = highest[72](high) // highest high since 03h00 ll = lowest[72](low) // lowest low since 03h00 ENDIF once lfakeout = 0 //long fakout indicator once sfakeout = 0 //short fakeout indicator once ftime = 0 //time in bars above hh or below ll IF tradetime THEN If close > hh Then lfakeout = 1 //long fakeout triggered ftime = ftime + 1 fakeh = highest[ftime](high) //measure highest fakeout point Elsif close < ll Then sfakeout = 1 //short fakeout triggered ftime = ftime + 1 fakel = lowest[ftime](low) ////measure lowest fakeout point EndIf EndIf If lfakeout = 1 and close < hh Then ftime = 0 //reset fakeout time indicator SellFib = (fakeh - ll) * 0.618 //calculate fibonaci retracement ElsIf sfakeout = 1 and close > ll Then ftime = 0 //reset fakeout time indicator BuyFib = (hh - fakel) * 0.618 //calculate fibonaci retracement ENDIF IF lfakeout = 1 and tradetime AND Close < hh THEN SELLSHORT possize SHARES AT SellFib LIMIT //place short limit order lfakeout = 0 //reset fakeout indicator ElsIf sfakeout = 1 and tradetime AND Close > ll THEN BUY possize SHARES AT BuyFib LIMIT //place long stop order sfakeout = 0 //reset fakeout indicator ENDIF SET STOP pTrailing 380 //trailing stop for max profit

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  DEFPARAM CumulateOrders = False   //5min Fibonaci Fakeout//   possize = 1   Tradetime = (Time >= 090000 AND Time <= 151500)   IF Time >= 090000 and time <= 090500 THEN // high-low box hh = highest[72](high) // highest high since 03h00 ll = lowest[72](low) // lowest low since 03h00 ENDIF   once lfakeout = 0 //long fakout indicator once sfakeout = 0 //short fakeout indicator once ftime = 0 //time in bars above hh or below ll   IF tradetime THEN If close > hh Then lfakeout = 1 //long fakeout triggered ftime = ftime + 1 fakeh = highest[ftime](high) //measure highest fakeout point Elsif close < ll Then sfakeout = 1 //short fakeout triggered ftime = ftime + 1 fakel = lowest[ftime](low) ////measure lowest fakeout point EndIf EndIf   If lfakeout = 1 and close < hh Then ftime = 0 //reset fakeout time indicator SellFib = (fakeh - ll) * 0.618 //calculate fibonaci retracement ElsIf sfakeout = 1 and close > ll Then ftime = 0 //reset fakeout time indicator BuyFib = (hh - fakel) * 0.618 //calculate fibonaci retracement ENDIF   IF lfakeout = 1 and tradetime AND Close < hh THEN SELLSHORT possize SHARES AT SellFib LIMIT //place short limit order lfakeout = 0 //reset fakeout indicator ElsIf sfakeout = 1 and tradetime AND Close > ll THEN BUY possize SHARES AT BuyFib LIMIT //place long stop order sfakeout = 0 //reset fakeout indicator ENDIF   SET STOP pTrailing 380 //trailing stop for max profit

   

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  juanj

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  01/04/2017 at 2:57 PM #19821
  kg6450

  Hi juanj,

  Thanks so much for coding that! I’ve had a go running it and I’ve had a few problems.

  The entry point of the system doesn’t seem to be at the fib retracement level, it seems to just enter at the start of the trading hours?

  When you set the fib entry levels I think you just found the 0.618 difference between the highs and lows but didn’t actually set the order level i.e.

  <span class="token keyword">If</span> lfakeout <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">and</span> <span class="token keyword">close</span> <span class="token operator"><</span> hh Then ftime <span class="token operator">=</span> <span class="token number">0</span> <span class="token comment" spellcheck="true">//reset fakeout time indicator</span> SellFib <span class="token operator">=</span> <span class="token punctuation">(</span>fakeh <span class="token operator">-</span> ll<span class="token punctuation">)</span> <span class="token operator">*</span> <span class="token number">0.618</span> <span class="token comment" spellcheck="true">//calculate fibonaci retracement </span>SELLENTRY = Sellfib + ll // SET SHORT ENTRY ElsIf sfakeout <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">and</span> <span class="token keyword">close</span> <span class="token operator">></span> ll Then ftime <span class="token operator">=</span> <span class="token number">0</span> <span class="token comment" spellcheck="true">//reset fakeout time indicator</span> BuyFib <span class="token operator">=</span> <span class="token punctuation">(</span>hh <span class="token operator">-</span> fakel<span class="token punctuation">)</span> <span class="token operator">*</span> <span class="token number">0.618</span> <span class="token comment" spellcheck="true">//calculate fibonaci retracement </span>BUYENTRY = hh - BUYFIB // SET BUY ENTRY <span class="token keyword">ENDIF </span>

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  <span class="token keyword">If</span> lfakeout <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">and</span> <span class="token keyword">close</span> <span class="token operator"><</span> hh Then ftime <span class="token operator">=</span> <span class="token number">0</span> <span class="token comment" spellcheck="true">//reset fakeout time indicator</span> SellFib <span class="token operator">=</span> <span class="token punctuation">(</span>fakeh <span class="token operator">-</span> ll<span class="token punctuation">)</span> <span class="token operator">*</span> <span class="token number">0.618</span> <span class="token comment" spellcheck="true">//calculate fibonaci retracement </span>SELLENTRY = Sellfib + ll // SET SHORT ENTRY ElsIf sfakeout <span class="token operator">=</span> <span class="token number">1</span> <span class="token keyword">and</span> <span class="token keyword">close</span> <span class="token operator">></span> ll Then ftime <span class="token operator">=</span> <span class="token number">0</span> <span class="token comment" spellcheck="true">//reset fakeout time indicator</span> BuyFib <span class="token operator">=</span> <span class="token punctuation">(</span>hh <span class="token operator">-</span> fakel<span class="token punctuation">)</span> <span class="token operator">*</span> <span class="token number">0.618</span> <span class="token comment" spellcheck="true">//calculate fibonaci retracement </span>BUYENTRY = hh - BUYFIB // SET BUY ENTRY <span class="token keyword">ENDIF </span>

  And then I set the entry levels at the code in bold. Does yours enter only at the start of the tradetime too?

  

  kg6450

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  01/04/2017 at 4:31 PM #19837
  juanj

  Hmm… like I said don’t really have much time to play around with it so difficult to say.

  However in keeping what works;

  Using my funky short generating code. I added a RSI (although I don’t like indicators) to help with false signals.

  And the results is quite fair considering only half of it works (see attached).

  If you can re-engineer the code to generate only longs and then run them together you would have one neat automated strategy.

  DEFPARAM CumulateOrders = False //5min Fibonaci Fakeout// possize = 1 Tradetime = (Time >= 090000 AND Time <= 151500) IF Time >= 090000 and time <= 090500 THEN // high-low box hh = highest[72](high) // highest high since 03h00 ll = lowest[72](low) // lowest low since 03h00 ENDIF once lfakeout = 0 //long fakout indicator once sfakeout = 0 //short fakeout indicator once ftime = 0 //time in bars above hh or below ll IF tradetime THEN If close > hh Then lfakeout = 1 //long fakeout triggered ftime = ftime + 1 fakeh = highest[ftime](high) //measure highest fakeout point Elsif close < ll Then sfakeout = 1 //short fakeout triggered ftime = ftime + 1 fakel = lowest[ftime](low) ////measure lowest fakeout point EndIf EndIf If lfakeout = 1 and close < hh Then ftime = 0 //reset fakeout time indicator SellFib = (fakeh - ll) * 0.618 //calculate fibonaci retracement ElsIf sfakeout = 1 and close > ll Then ftime = 0 //reset fakeout time indicator BuyFib = (hh - fakel) * 0.618 //calculate fibonaci retracement ENDIF IF lfakeout = 1 and tradetime AND Close < hh and RSI[240](close) > 50 THEN SELLSHORT possize SHARES AT SellFib LIMIT //place short limit order lfakeout = 0 //reset fakeout indicator ElsIf sfakeout = 1 and tradetime AND Close > ll and RSI[240](close) < 50 THEN BUY possize SHARES AT BuyFib LIMIT //place long stop order sfakeout = 0 //reset fakeout indicator ENDIF SET STOP pTrailing 380 //trailing stop for max profit

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  DEFPARAM CumulateOrders = False   //5min Fibonaci Fakeout//   possize = 1   Tradetime = (Time >= 090000 AND Time <= 151500)   IF Time >= 090000 and time <= 090500 THEN // high-low box hh = highest[72](high) // highest high since 03h00 ll = lowest[72](low) // lowest low since 03h00 ENDIF   once lfakeout = 0 //long fakout indicator once sfakeout = 0 //short fakeout indicator once ftime = 0 //time in bars above hh or below ll   IF tradetime THEN If close > hh Then lfakeout = 1 //long fakeout triggered ftime = ftime + 1 fakeh = highest[ftime](high) //measure highest fakeout point Elsif close < ll Then sfakeout = 1 //short fakeout triggered ftime = ftime + 1 fakel = lowest[ftime](low) ////measure lowest fakeout point EndIf EndIf   If lfakeout = 1 and close < hh Then ftime = 0 //reset fakeout time indicator SellFib = (fakeh - ll) * 0.618 //calculate fibonaci retracement ElsIf sfakeout = 1 and close > ll Then ftime = 0 //reset fakeout time indicator BuyFib = (hh - fakel) * 0.618 //calculate fibonaci retracement ENDIF   IF lfakeout = 1 and tradetime AND Close < hh and RSI[240](close) > 50 THEN SELLSHORT possize SHARES AT SellFib LIMIT //place short limit order lfakeout = 0 //reset fakeout indicator ElsIf sfakeout = 1 and tradetime AND Close > ll and RSI[240](close) < 50 THEN BUY possize SHARES AT BuyFib LIMIT //place long stop order sfakeout = 0 //reset fakeout indicator ENDIF   SET STOP pTrailing 380 //trailing stop for max profit

   

  

  juanj

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