Fractal breakout intraday Strategy EUR/USD 1H –

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  • #36872 quote
    victormork
    Participant
    Veteran

    This is my improve idea on how to use FBS on Bund 1H. You can get it to work on the 30min too. And the short-side worked as well with some tweaking.

    GraHal thanked this post
    #36888 quote
    victormork
    Participant
    Veteran

    I have a okayish result on AUDUSD but it’s probably curve fitted with such short history as I have on the 30 min. If anyone else wants to have a go here it is.

    #36897 quote
    ALE
    Moderator
    Master

    Hello Victor,
    Thanks very much, This evening I’ll work on it!

    Ciao

    ALE

    #36977 quote
    ALE
    Moderator
    Master

    Hello Guy,

    Have you find big differences between demo or real and probacktest results on this strategy?

    #36987 quote
    victormork
    Participant
    Veteran

    Hi, No not yet. However I just recently started with the 1H. Before I was testing the 30M on my demo, which worked fine. However when I have been trying another type of breakout strategy on Bund I did get some mixed result when the high/low price is just touching the bid/ask price zone around stop/target. Have you found something that is not working?

    I did have some concerns that the dynamic target would give an incorrect backtest result since it recalculate the target on each new candle but that doesn’t seem to be the case. When I have compared my backtest end the trading on my demo it has been correct.

    #36989 quote
    ALE
    Moderator
    Master

    Thanks Victor!

    #38197 quote
    JR1976
    Participant
    Veteran

    Good morning ALE,

     

    Sto’  facendo girare la  strategia   in un  piccolo conto in ambiente ‘ LIVE ‘  ( Out-of sample)…

    Se anche tu come credo , stai facendo girare la strategia in reale  avrai notato che la strategia lavora  e pare  in linea con quanto discusso e analizzato in Back test .

    In quest’ultimo mese pero’   non c’è stato un buon profitto  e   quello che ho notato  è che i guadagni realizzati sono di importi  relativamente bassi ….

    mentre quando il  sistema perde , perde cifre consistenti in rapporto ai guadagni

    Forse un mese è  ancoro poco per analizzare un  sistema  nella realta ??

    #38223 quote
    ALE
    Moderator
    Master

    Buongiorno Jr
    il primo problema è l’affidabilità dei dati del Probacktest, il secondo e l’affidabilità dei dati di IG. Entrambi possono essere diversi dalla realtà.

    La differenza  che noti, è dovuta alla chiusura delle posizioni con lo stop dinamico, molto stretto.

     

    Good morning Jr.
    The first problem is the reliability of Probacktest data, the second, and the reliability of IG data. Both can be different from reality.

    The difference you notice is due to the closure of the positions with the dynamic stop, very tight.

    #38266 quote
    JR1976
    Participant
    Veteran

    Buongiorno Ale,

    grazie per la risposta

    Ok sullo STOP dinamico stretto … anche se mi aspetto che nel lungo periodo  il TS possa dare soddisfazioni

    Per quanto riguarda l’affidabilità dei dati , scludendo questioni di slippage , GAP  ecc , bhe non mi aspetterei particolari differenze  dalla realtà  in quanto ne và della reputazione di IG ….

    Posso chiederti se lo hai già attivato in conto live  o sei ancora su conto DEMO ?

    #38267 quote
    ALE
    Moderator
    Master

    Sono live con differenti size, ma ho trovato discostamenti su alcuni versioni tra chiusura probacktest e chiusura reale.

    Con questa versione attiva dal 16 maggio in reale non ho riscontrato differenze tra test e reale

    I’m live with different sizes, but I found discrepancies on some versions between probacktest closure and real closure.

    With this version active since May 16 in real I did not find any difference between test and real

    //-------------------------------------------------------------------------
    // Codice principale : FRACTAL BREAKOUT EURUSD 1HVb
    //-------------------------------------------------------------------------
    //EURUSD(-) - IG MARKET
    // TIME FRAME 1H
    // PROBACKTEST TICK by TICK - 200.000 bars
    // SPREAD 0.6 PIP
    // ALE
    
    DEFPARAM CumulateOrders = FALSE
    ///BILL WILLIAM FRACTAL INDICATOR
    //CP=PERIOD
    CP=113
    if close[cp] >= highest[2*cp+1](close) then
    LH = 1
    else
    LH=0
    endif
    if close[cp] <= lowest[2*cp+1](close)  then
    LL= -1
    else
    LL=0
    endif
    if LH=1 then
    HIL = close[cp]
    endif
    if LL  = -1 then
    LOL=close[cp]
    endif
    
    
    
    //LONG and SHORT CONDITIONS
    Positionsize=1
    if (time >=100000 and time < 230000) then
    C1 = (close CROSSES OVER HIL)
    D1 = (close CROSSES UNDER LOL)
    IF c1  and not shortonmarket THEN
    BUY positionsize CONTRACT AT MARKET
    ENDIF
    
    IF D1   and not longonmarket THEN
    SELLSHORT positionsize CONTRACT AT MARKET
    ENDIF
    ENDIF
    
    //TRAILING STOP
    TGL =10
    TGS=10
    if not onmarket then
    MAXPRICE = 0
    MINPRICE = close
    PREZZOUSCITA = 0
    ENDIF
    if longonmarket then
    MAXPRICE = MAX(MAXPRICE,close)
    if MAXPRICE-tradeprice(1)>=TGL*pointsize then
    PREZZOUSCITA = MAXPRICE-TGL*pointsize
    ENDIF
    ENDIF
    if shortonmarket then
    MINPRICE = MIN(MINPRICE,close)
    if tradeprice(1)-MINPRICE>=TGS*pointsize then
    PREZZOUSCITA = MINPRICE+TGS*pointsize
    ENDIF
    ENDIF
    if onmarket and PREZZOUSCITA>0 then
    EXITSHORT AT PREZZOUSCITA STOP
    SELL AT PREZZOUSCITA STOP
    ENDIF
    
    // DONCHIAN STOP
    DC=20
    e= Highest[DC](high)
    f=Lowest[DC](low)
    if longonmarket  then
    laststop = f[1]
    endif
    if shortonmarket  then
    laststop = e[1]
    endif
    if onmarket then
    sell at laststop stop
    exitshort at laststop stop
    endif
    
    
    set target pprofit 30
    
    #38268 quote
    ALE
    Moderator
    Master

    Mr Jr,
    Please write in english to permit comprehension for the others

    Thanks
    Ale

    Ronny and Nicolas thanked this post
    #38287 quote
    JR1976
    Participant
    Veteran

    Ale,

    I founded all  TS version very interested  , actually I ‘am using  the version pubblished in page 1 ( with KAsper reinvestment version)  but  I ‘am looked there were some different , for example the TGL/TGS  used is 5 and in you last post ( up here) are 10 .

    I  test  with 10  , Could be better ?

    Regards.

    #38288 quote
    ALE
    Moderator
    Master

    Hello Jr

    yes I prefer it.

    #38359 quote
    enzo_52
    Participant
    Senior

    Ciao Ale, volevo chiederti se i TS che hai sono validati, perchè se non si validano i TS sono destinati inesorabilmente a crashare dopo poche settimane o meno..

    naturalmente questo vale per tutti quelli che postano TS   🙂

    c è anche l Average net profit che deve essere capiente per contenere i costi e lo sleeppage…  non è possibile tradare TS che hanno un guadagnoper trade di pochi eur.

     

    P.S.

     

    volevo chiederti ,se non sono troppo di disturbo , visto che conosci bene le strategie break-out , se potevi dirmi come modificare il seguente codice di un TS sul pattern IDNR4,

    il TS va long al superamento del max della candela di set-up e va sellshort  a condizioni inverse, ma l autore dell IDRN4 dice che se una volta entrati long (o shortsell) e i prezzi scendono e rompono il minimo della stessa candela di set-up il sistema si mette sell-short , l autore dice che si potrebbero avere sino a 3 false rotture dopo di che il Ts va flat.

    grazie tante Alex

     

    ID = high<high[1] and low>low[1]
    rang = range
    NR4 = rang<range[1] and rang<range[2] and rang<range[3]
     
    if ID and NR4 then 
     test = 1
     hh = highest[4](high)
     ll = lowest[4](low)
    endif
     
    if test = 1 then 
     BUY 1 SHARE AT hh STOP
     SELL 1 SHARE AT ll STOP
    endif
     
    if longonmarket then 
     SELL AT ll STOP
     test = 0
    elsif shortonmarket then 
     EXITSHORT AT hh STOP
     test = 0
    endif

    Hi Ale, I wanted to ask you if the TSs you have are validated, because if you do not validate the TSs they are inexorably destined to crash after a few weeks .

    Of course this applies to all those who post ts 🙂

    There is also the Average net profit that must be capacious to contain costs and sleeppage … TS can not trade with a few eur trading profits.

    I  wanted to ask you, if I’m not too disturbed, as you know the break-out strategies, if you could tell me how to modify the following code of a TS on the IDNR4 pattern,the TS goes long to overcome of  candle -high ,and sellshort to inverse conditions, but IDRN4 writer says that if we enter long (or shortsell) and prices go-back and break the minimum of the same set- Up candle the  system close the trade long and open  sell-short , the author says it could have up to 3 false breaks after which the Ts goes flat

    Thanks so much anyway

     

    edited line 5 (by robertogozzi)

    #38367 quote
    ALE
    Moderator
    Master

    Hello Enzo,

    You validate TS using the data, but you can discover that your Montecarlo analisys or WF… etc , are made by false data… So you have a validation,  but TS doesn’t work in real. Do you understand what I mean?. If you make analisys of it,  you will never find a loses, because Montecarlo uses the same data that you are looking in the pictures.

    I let you know about your questions..

    Thanks
    Ale

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Fractal breakout intraday Strategy EUR/USD 1H –


ProOrder: Automated Strategies & Backtesting

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ALE @aleale Moderator
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This topic contains 359 replies,
has 1 voice, and was last updated by RandyG
2 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 04/16/2017
Status: Active
Attachments: 174 files
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