Fractal breakout intraday Strategy EUR/USD 1H –

ALE · Sun, 16 Apr 2017 08:44:03 +0000

Hello guys We can discuss about the strategy here, we can help together to develop the strategy . This is the strategy posted in the Library there : https://www.prorealcode.com/prorealtime-trading-strategies/fractal-breakout-intraday-strategy-eurusd-1h/ Below you can find 3 screenshot with explanation of the stop, and levels used in this strategy. // 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 =5 TGS=5 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 This trading sistem can be used with other currency pairs. To find the values of variables suitable for other currency pairs, you must use WF, to avoid an overfitted values: if the WF will be done on bars 200,000 may be divided into two halves, the first test will be carried out with a large range value starting with the value in the attached picture below, the second test will have a range around the variables choices during the first test. IN THE LAST YEAR THE OPTIMIZATION OF TRAILING STOP SUGGEST THIS VALUE: TGL=9 TGS=10 … THIS MEAN ABOUT 10 PIP FOR BOTH

This topic has 359 replies, 1 voice, and was last updated 9 months ago by RandyG.

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06/28/2017 at 12:53 PM #39295

victormork

@ Petrus – I ran a quick test on different factors (100 000 bars, spread 0.8) and the numbers with best results are as follows = 1.8, 2, 1.9, 1.7, 1.6, 1.5

victormork
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06/28/2017 at 1:15 PM #39297

ALE

Hello Petrus,

I don’t find better results, could you post your strategy to avoid error test?

Thanks

Ale

ALE
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06/28/2017 at 3:28 PM #39322

Pere

Results depend, of course, of the bar numbers. Here my results with 100.000 bars.

Best result is with factor 1, but I like more the second position (factor 1,7), with less total gains but better PF, curve and %Win.

Pere
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06/28/2017 at 3:43 PM #39327

victormork

Hi Petrus,

The value of 1 is an outlier since there is no other similar value with the same result.

victormork
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06/28/2017 at 5:47 PM #39332

Pere

Can be, but this is probably because the optimization of the factor was made from 1 to 3, step 0.1.

I made another optimization with factor between 0.5 and 3, step 0.1, and the results are even better. And there are also values of 0.5, 0.6, 0.7, 0.8 and 0.9.

TGL, TGS, CP, DC and tp were not optimized, because if I do it with 100.000 bars, I will have to wait one week to see the final results. But probably with different values of these parameters, the results could be also better.

Pere
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06/29/2017 at 1:41 PM #39398

JR1976

About yesterday: good trade , with good profit on EUR/USD

About previous post, sorry but I didn’t understand well , where is the optimization refer to the ‘Ale fractal version ‘ ?

JR1976
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07/02/2017 at 12:26 PM #39580

TheAccountant

hi !

i add victor version ( audusd for M30) on a M1 chart by mistake… it’s interesting 🙂

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07/02/2017 at 6:45 PM #39592

TheAccountant

hi again 🙂

This is the Bund M30 version of victor on a M1 chart. I think i will work on it…

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ALE

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07/03/2017 at 7:44 AM #39616

victormork

Hi the accountant, If you decide to do so, keep in mind that the history is very limited on 1 min and watch out for slippage!

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ALE

victormork
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07/03/2017 at 11:13 AM #39668

TheAccountant

Yes of course 🙂

I will try to optimize it and I will run it on a demo account… If it is interesting I will post here the results !

TheAccountant
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07/06/2017 at 8:47 PM #39975

TheAccountant

Hi guys ! 🙂

I use the audusd 30M version on my real account for two days. The results between the backtests and the demo account are exactly the same. But the results between the real account and the backtests are different.

What do you think ?

I think this is not slippage. Some positions are closed with several minutes of difference and I do not know why.

How to judge a strategy if the position are not the same on the account demo and the real account?

Please take a look at the picture .

TheAccountant
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07/06/2017 at 8:53 PM #39977

TheAccountant

Oh !! I cut the times of close on the backtest (on the picture)… 🙂 sorry….. But there is the number of candles… 😉

We see that for both losses, the position is closed two candles later in real.

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07/07/2017 at 9:54 AM #40006

Despair

I see this with more or less all my live strategies. When I run a backtest over the last weeks and compare it with the actual live trades it is always that the live trades are worse. I explain this to myself with my use of trailing stoplosses. Obviously is PRT even in tick mode not able to simulate what is really going on during a candle.

I tried running a strategy on BTC and this was worst! My orders frequently were executed at prices that that “never occured”. For example PRT could show the candle was trading in a range 2550-2560. But on the same candle my stop was executed at say 2545. Such things do not happen when you run the backtest.

Despair
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07/12/2017 at 7:21 AM #40400

victormork

Hey guys, there was a new trade last night in eurusd v3. I had different result on demo and live (however I have not yet double checked if the codes are the same). Live closed on BE and demo closed on about 10 pips plus. What result did you get?

victormork
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07/12/2017 at 9:18 AM #40420

Francesco78

hello guys, where is the AUDUSD version? Id like to have a look at that.

Thanks

Francesco

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Fractal breakout intraday Strategy EUR/USD 1H –

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