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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07/24/2017 at 10:46 AM #41464

victormork

@ Despair – here is the short side for Bund 1H as promised.

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ALE

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07/24/2017 at 11:04 AM #41467

StantonR

Hi There

Could somebody share the latest version of the AUD/USD version I am struggling to find it.

IS it a long only version

StantonR
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07/24/2017 at 11:14 AM #41468

victormork

Hi StantonR, I’ve attached the long version I upload some time ago. Don’t know if there is an updated version.

@Despair – I tried your version and compared it to the one I did. I have to say that I’m not convinced about the additional filters which takes away a lot of trades without adding to much to the overall return or the profit/loss ratio. However the backtested drawdown is less with additional filters. So I’m not sure if it’s better or not. Maybe you have a different opinion?

@ Nicolas – I have tried to change values and use different markets when I started the bund but unfortunately I have none of those results saved.

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07/24/2017 at 3:36 PM #41516

Nicolas

@victormork

I was talking about WF analysis to test robustness of optimized variables for the Bund version, but nevermind 🙂

Nicolas
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07/25/2017 at 11:29 PM #41621

Despair

@Victor: You are perfectly right. Filters are always a compromise. You always lose some winners along with the losers that you want to filter out. In practice I at least have the impression that one needs some sort of filter otherwise you get simply too many bad trades. But i am unsure what finally is better to be honest.

Despair
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08/29/2017 at 6:10 PM #44875

CKW

hi Guys,

Based on FBS EURUSD 1Hv4,
– Added filters to improve Long trades performance
– Added Max SL to 50 points

Generally to improve GL Ratio, improve Gain% and similar Winning%
(Thanks Original code from ALE 🙂 )

Thanks
CKW

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08/30/2017 at 8:40 AM #44900

victormork

Hi CKW, thanks for your contribution! Can you please explain the idea behind he additional filters? I can see that the position size has been increased for some trades in your version.

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08/31/2017 at 10:34 AM #45019

CKW

Hi Victor,

I just simply test it out with several conditions with close price in yesterday, weekly and monthly. As some strategies are sensitive to accumulation and distribution segment. As result from my test, there conditions improve the long trades performance but No effect on short trades.
50 points x 2 is the max losses I can take so I increase to 2.
WFA x 3 periods > 50%.

br,
CKW

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09/07/2017 at 9:51 AM #45712

CN

Is it just me or is there alot of 0 bar wins in the 1h strat of EUR/USD? @CKW and @ALE

How reliable is the Backtest?

CN
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09/07/2017 at 11:08 AM #45718

ALE

Please explain what do you mean
Thanks

Ale

ALE
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09/26/2017 at 9:34 AM #47354

CN

ALE wrote:

Please explain what do you mean Thanks Ale

If you check the 1 hr v4 for EUR/USD you get ALOT of zero-bar profits.
These are infact not wins in real-trading.

Thats why im asking how relaible the backtest is.

See pic

CN
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09/26/2017 at 10:00 AM #47370

Nicolas

Even if you have many “0 bars orders” listed in the backtest result, that should not be a problem if you made the backtest in tick mode.

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09/26/2017 at 10:02 AM #47373

CN

Nicolas wrote:

Even if you have many “0 bars orders” listed in the backtest result, that should not be a problem if you made the backtest in tick mode.

It has been before, with the tick mode enabled. Or am I drunk right now? ;P

CN
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09/26/2017 at 2:37 PM #47405

CKW

Hi CN,

I am not sure your case but I am sure I don’t have many 0 bars. Please see my screenshot
Thanks

CKW
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09/26/2017 at 3:05 PM #47409

CN

CKW wrote:

Hi CN, I am not sure your case but I am sure I don’t have many 0 bars. Please see my screenshot Thanks

CKW: Sort the list with least bars at the top. (Press the Nbr bars field)

CN
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Fractal breakout intraday Strategy EUR/USD 1H –

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