Fibonacci Trading Backtest

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  • 11/20/2022 at 8:37 PM #204531 quote
    Trimicha
    Participant
    New

    Dear Team,

    can someone please write me a trading program, so I can backtest that?

    it’s related, somehow, to the zigzag indicator. The scenario is as follows:

    a swing is retraced min 50%, max 85% and at least with 2 bars..

    entry is  after a close below 38.2% retracement of that same fib ret.

    stop-loss is after a close above 50% or 3 bars sideways action. profit taking is at 127.2 and 138.2% projection of that first swing and its retracement.

     

    I have no idea how I could do it and if the procedure asking for these things is completely different, excuse me please. any help is greatly appreciated.

     

    Thank you,

    Michael

    fib_strategy.jpg fib_strategy.jpg
    11/20/2022 at 8:42 PM #204536 quote
    robertogozzi
    Moderator
    Master
    • Only post in the language of the forumthat you are posting in. For example English only in the English speaking forums and French only in the French speaking forums.
    • Do not double post. Ask your question only once and only in one forum. All double posts will be deleted anyway so posting the same question multiple times will just be wasting your own time and will not get you an answer any quicker. Double posting just creates confusion in the forums.

    I deleted your post wiritten in English in the German forum.

    Thank you 🙂

    11/20/2022 at 8:44 PM #204537 quote
    Trimicha
    Participant
    New

    Yeah, thank you. I am quite new here. You are fast. Is the request in general okay?

    11/23/2022 at 6:11 PM #204691 quote
    robertogozzi
    Moderator
    Master

    There you go (I tested it on DAX, Daily TF):

    // my FIBO system
//
// https://www.prorealcode.com/topic/fibonacci-trading-backtest/
//
DEFPARAM CumulateOrders = False
DEFPARAM PreLoadBars    = 0
ONCE p      = 20
ONCE UPflag = 0
ONCE DNflag = 0
IF Not onMarket THEN
   HH          = highest[p](high)
   LL          = lowest[p](low)
   Diff        = HH - LL
   IF Diff <> Diff[1] THEN
      UPflag = 0
      DNflag = 0
   ENDIF
   Fib0236 = Diff * 0.236
   Fib0382 = Diff * 0.382
   Fib0500 = Diff * 0.500
   Fib0618 = Diff * 0.618
   Fib0764 = Diff * 0.764
   Fib0850 = Diff * 0.850
   Fib1272 = Diff * 1.272
   Fib1382 = Diff * 1.382
   UP      = 0
   DN      = 0
   FOR i = 0 TO (p - 1)
      IF high[i] = HH THEN
         UP = 1
         LastBar = BarIndex[i]
         BREAK
      ENDIF
      IF low[i] = LL THEN
         DN = 1
         LastBar = BarIndex[i]
         BREAK
      ENDIF
   NEXT
   BarsAfterFIBO = max(1,BarIndex - LastBar)
   IF UP THEN
      Fib0230 = HH - Fib0230
      Fib0382 = HH - Fib0382
      Fib0500 = HH - Fib0500
      Fib0618 = HH - Fib0618
      Fib0764 = HH - Fib0764
      Fib0850 = HH - Fib0850
      Fib1272 = LL + Fib1272
      Fib1382 = LL + Fib1382
      LastHH  = lowest[BarsAfterFIBO](min(open,close))
      IF LastHH < Fib0850 THEN
         UPflag = -1
      ENDIF
   ELSIF DN THEN
      Fib0236 = LL + Fib0236
      Fib0236 = LL + Fib0236
      Fib0500 = LL + Fib0500
      Fib0618 = LL + Fib0618
      Fib0764 = LL + Fib0764
      Fib0850 = LL + Fib0850
      Fib1272 = HH - Fib1272
      Fib1382 = HH - Fib1382
      LastLL  = highest[BarsAfterFIBO](max(open,close))
      IF LastHH > Fib0850 THEN
         DNflag = -1
      ENDIF
   ENDIF
   IF UP AND (UPflag = 0) THEN
      IF (close < Fib0500) AND (BarsAfterFIBO >= 2) THEN
         UPflag = 1
      ENDIF
   ELSIF DN AND (DNflag = 0) THEN
      IF (close > Fib0500) AND (BarsAfterFIBO >= 2) THEN
         DNflag = 1
      ENDIF
   ENDIF
ELSE
   UPflag = 0
   DNflag = 0
   UP     = 0
   DN     = 0
ENDIF
IF UP AND (UPflag = 1) AND (close >= Fib0382) AND Not OnMarket THEN
   BUY 2 Contract at Market
   SELL AT Fib0500 STOP         //SL
   SELL AT Fib1382 LIMIT        //TP
ENDIF
IF DN AND (DNflag = 1) AND (close <= Fib0382) AND Not OnMarket THEN
   SELLSHORT 2 Contract at Market
   EXITSHORT AT Fib0500 STOP    //SL
   EXITSHORT AT Fib1382 LIMIT   //TP
ENDIF
IF LongOnMarket THEN
   SELL AT Fib0500 STOP         //SL
   SELL AT Fib1382 LIMIT        //TP
   IF close >= Fib1272 THEN
      SELL 1 Contract at Market       //exit 50%
   ENDIF
ELSIF ShortOnMarket THEN
   EXITSHORT AT Fib0500 STOP    //SL
   EXITSHORT AT Fib1382 LIMIT   //TP
   IF close <= Fib1272 THEN
      EXITSHORT 1 Contract at Market //exit 50%
   ENDIF
ENDIF
graphonprice Fib1272 coloured("Red")  AS "TP 1"
graphonprice Fib1382 coloured("Blue") AS "TP 2"
//graph UP
//graph DN
//graph Diff <> Diff[1]
//graph UPflag
//graph DNflag
//graph LastBar
//graph BarsAfterFIBO

    I only have to add the SIDWEWAYS exit. Can you explain what you mean exactly by sideways?

    my-FIBO-system.itf
    11/23/2022 at 6:16 PM #204693 quote
    robertogozzi
    Moderator
    Master

    I used this custom indicator to plot and debug FIBO levels:

    DEFPARAM CalculateOnLastBars = 3000
DEFPARAM DrawOnLastBarOnly   = True
//ONCE p  = 100
ONCE p     = max(1,min(9999,p))       //range 1 - 9999
IF BarIndex <= EndBar THEN
   HH      = highest[p](high)
   LL      = lowest[p](low)
   Diff    = HH - LL
   Fib0236 = Diff * 0.236
   Fib0382 = Diff * 0.382
   Fib0500 = Diff * 0.500
   Fib0618 = Diff * 0.618
   Fib0764 = Diff * 0.764
   Up     = 0
   Dn     = 0
   FOR i = 0 TO (p - 1)
      IF high[i] = HH THEN
         Up = 1
         BREAK
      ENDIF
      IF low[i] = LL THEN
         Dn = 1
         BREAK
      ENDIF
   NEXT
ENDIF
DRAWHLINE(HH) coloured(238,122,233,255)//(0,128,0,255)
DRAWHLINE(LL) coloured(238,122,233,255)//(0,128,0,255)
LastBar = min(EndBar,BarIndex)
IF Up THEN
   DRAWTEXT("---------------------------(23.6%)",LastBar,HH - Fib0236,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(38.2%)",LastBar,HH - Fib0382,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(50.0%)",LastBar,HH - Fib0500,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(61.8%)",LastBar,HH - Fib0618,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(76.4%)",LastBar,HH - Fib0764,SansSerif,Bold,10)coloured(238,122,233,255)
ELSIF Dn THEN
   DRAWTEXT("---------------------------(23.6%)",LastBar,LL + Fib0236,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(38.2%)",LastBar,LL + Fib0382,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(50.0%)",LastBar,LL + Fib0500,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(61.8%)",LastBar,LL + Fib0618,SansSerif,Bold,10)coloured(238,122,233,255)
   DRAWTEXT("---------------------------(76.4%)",LastBar,LL + Fib0764,SansSerif,Bold,10)coloured(238,122,233,255)
ENDIF
RETURN

    variable EndBar is used to debug code, so that you can ban the indicator from advancing after any given BARINDEX bar.

    Trimicha thanked this post
    Fibonacci.itf
    11/23/2022 at 6:37 PM #204698 quote
    robertogozzi
    Moderator
    Master

    Here is an updated version with some fixes:

    // my FIBO system
//
// https://www.prorealcode.com/topic/fibonacci-trading-backtest/
//
DEFPARAM CumulateOrders = False
DEFPARAM PreLoadBars    = 0
ONCE p      = 20
ONCE UPflag = 0
ONCE DNflag = 0
IF Not onMarket THEN
HH          = highest[p](high)
LL          = lowest[p](low)
Diff        = HH - LL
IF Diff <> Diff[1] THEN
UPflag = 0
DNflag = 0
ENDIF
Fib0236 = Diff * 0.236
Fib0382 = Diff * 0.382
Fib0500 = Diff * 0.500
Fib0618 = Diff * 0.618
Fib0764 = Diff * 0.764
Fib0850 = Diff * 0.850
Fib1272 = Diff * 1.272
Fib1382 = Diff * 1.382
UP      = 0
DN      = 0
FOR i = 0 TO (p - 1)
IF high[i] = HH THEN
UP = 1
LastBar = BarIndex[i]
BREAK
ENDIF
IF low[i] = LL THEN
DN = 1
LastBar = BarIndex[i]
BREAK
ENDIF
NEXT
BarsAfterFIBO = max(1,BarIndex - LastBar)
IF UP THEN
Fib0236 = HH - Fib0236
Fib0382 = HH - Fib0382
Fib0500 = HH - Fib0500
Fib0618 = HH - Fib0618
Fib0764 = HH - Fib0764
Fib0850 = HH - Fib0850
Fib1272 = LL + Fib1272
Fib1382 = LL + Fib1382
LastHH  = lowest[BarsAfterFIBO](min(open,close))
IF LastHH < Fib0850 THEN
UPflag = -1
ENDIF
ELSIF DN THEN
Fib0236 = LL + Fib0236
Fib0382 = LL + Fib0382
Fib0500 = LL + Fib0500
Fib0618 = LL + Fib0618
Fib0764 = LL + Fib0764
Fib0850 = LL + Fib0850
Fib1272 = HH - Fib1272
Fib1382 = HH - Fib1382
LastLL  = highest[BarsAfterFIBO](max(open,close))
IF LastHH > Fib0850 THEN
DNflag = -1
ENDIF
ENDIF
IF UP AND (UPflag = 0) THEN
IF (close < Fib0500) AND (BarsAfterFIBO >= 2) THEN
UPflag = 1
ENDIF
ELSIF DN AND (DNflag = 0) THEN
IF (close > Fib0500) AND (BarsAfterFIBO >= 2) THEN
DNflag = 1
ENDIF
ENDIF
ELSE
UPflag = 0
DNflag = 0
UP     = 0
DN     = 0
ENDIF
IF UP AND (UPflag = 1) AND (close >= Fib0382) AND Not OnMarket THEN
BUY 2 Contract at Market
SELL AT Fib0500 STOP         //SL
SELL AT Fib1382 LIMIT        //TP
ENDIF
IF DN AND (DNflag = 1) AND (close <= Fib0382) AND Not OnMarket THEN
SELLSHORT 2 Contract at Market
EXITSHORT AT Fib0500 STOP    //SL
EXITSHORT AT Fib1382 LIMIT   //TP
ENDIF
IF LongOnMarket THEN
SELL AT Fib0500 STOP         //SL
SELL AT Fib1382 LIMIT        //TP
IF close >= Fib1272 THEN
SELL 1 Contract at Market       //exit 50%
ENDIF
ELSIF ShortOnMarket THEN
EXITSHORT AT Fib0500 STOP    //SL
EXITSHORT AT Fib1382 LIMIT   //TP
IF close <= Fib1272 THEN
EXITSHORT 1 Contract at Market //exit 50%
ENDIF
ENDIF
graphonprice Fib1272 coloured("Red")  AS "TP 1"
graphonprice Fib1382 coloured("Blue") AS "TP 2"
//graph UP
//graph DN
//graph Diff <> Diff[1]
//graph UPflag
//graph DNflag
//graph LastBar
//graph BarsAfterFIBO
    Trimicha thanked this post
    my-FIBO-system-1.itf
    11/23/2022 at 9:24 PM #204705 quote
    Trimicha
    Participant
    New

    Wow, thanks a lot!!! how have the results been on DAX?

    I did it by hand on SPX from 2020 to now today. that looked quite promising. but I used the “human” approach (especially, when it took to long to reach levels)

    I will test your latest version now. many, many thanks!

    11/23/2022 at 10:13 PM #204706 quote
    Trimicha
    Participant
    New

    Ciao Roberto,

    I loaded the indicator and the backtest. but…it’s not doing what I want ;D

    I tested on various indices and stocks but it returns only a handful trades from early 2020. That doesn’t match with my “hand analysis”…

    My humble assumption is that there are not enough highs/lows recognized.

    I used this modified indicator from user AVT “ZigZag2” attached to show highs and lows and with a cp=1, it’s not perfect but provides a good starting point with a lot more retracements to check for signals. but… I am certainly not able to translate this into a system.

    Can I ask you to give it a [third] try? 🙂

     

    Mille Grazie,

    Michael

    ZigZag2.itf
    11/24/2022 at 9:27 AM #204737 quote
    robertogozzi
    Moderator
    Master

    Both the built-in ZigZag and the ZigZag2 you posted repaint, as you can see from the attached pic (it means that the signal is actually returned later, but the code plots it on a previous candle).

    Try adding the attached version below your chart and set it to histogram.

    In any case, I can make a trading system out of it. Probably having to wait for a ratracement, some delay in swing signals is not so important.

    So, basically, all you need is what you have written in your first post, where the UPper and LOWer swing points are those plotted by ZigZag2, right?

    Which and instrument TF do you plan to use most often?

    ZigZag2-1.itf x-10.jpg x-10.jpg
    11/24/2022 at 4:23 PM #204770 quote
    Trimicha
    Participant
    New

    I use SP500/ES and that system should work on daily candles. But you could also use TSLA or QQQ for example, as I assume, that more volatile underlyings take the most out of that strategy. That said, I don’t think the underlying matters, as my main point is the recognition of the retracement (more than 50%) and the outbreak above 0.236 retracement (or below for shorts, I’ve written 0.382 before, I think, but that’s easily adjustable).

    And yes, the ZigZag2 is not perfect in identifiying each LOW and TOP but reasonably good to make for a good Backtest indication.

    I am aware that the top/lows are only recognised later, but in most cases, the 0.236 line is not crossed directly after the low is in place. so that’s the reason, why the ZigZag indicator is mentioned in the handbook as not usable for an automated system 😀

    Many thanks for your effort! I am really looking forward to it.

    Michael

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Fibonacci Trading Backtest


ProOrder: Automated Strategies & Backtesting

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Trimicha @trimicha Participant
Summary

This topic contains 9 replies,
has 2 voices, and was last updated by Trimicha
3 years, 2 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/20/2022
Status: Active
Attachments: 7 files
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