ALEModerator
Master
Yes of course are Numbers, but i find good result using close bias..
as you know, close level it is a foundamental level in trading letterature … not else
ALEModerator
Master
About typicalprice maybe that i have had test .. i dont remember
as you know there’s infinite bias to entry in the market, the different could be to manage exit
ALEModerator
Master
In prt using ig data, it’s important to avoid strategy depending in tick data.
I tried a quick test of TypicalPrice instead of close but did not see an improvement.
I agree that entry is generally very easy but getting out with a profit is the tough bit!
Why do you say that IG and strategies that use tick data are a problem? Are you saying that backtest results that get in and out on the same candle cannot be relied upon?
On a separate note…. I don’t generally like adding extra filters to a working strategy but I have recently began to like the Cumulative RSI[2] so I added it as a filter to your Fractal Breakout strategy and first impressions were that it seemed to give a higher success rate at the price of less bets obviously. The higher the CumRSI2 for a BUY the better the odds of a win were and the reverse for a SELL so I even tried increasing or reducing the bet size depending upon the CumRSI2 level at the time of entry. Seemed to work quite well. Just an idea that you might want to play with.
Vonasi: Could you upload that code? I tried to add RSI to a strategy but couldn’t get it to work…
I’m playing around with it at the moment but will try to post something when I’ve tidied it up a bit!
//EURUSD(-) - IG MARKET
// TIME FRAME 1H
// PROBACKTEST TICK by TICK - 200.000 bars
// SPREAD 0.6 PIP
// ALE - KASPER - modified by Vonasi
DEFPARAM CumulateOrders = false
CP = 101 //Fractal Period
Ave = 7 //AverageTrueRange Period
TGLMult = 0.6 //ATR multipier for TGL
STPMult = 1.8 //ATR multiplier for StopLoss
AddOn = 1.1 //Added to STPMult for TakeProfit
//KASPER CODE OF REINVESTMENT
Reinvest=1
if reinvest then
Capital = 5000
Risk = 1//0.1//in % pr position
StopLoss = AverageTrueRange[Ave] * STPMult
TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn
REM Calculate contracts
equity = Capital + StrategyProfit
maxrisk = (equity*(Risk/100))
MAXpositionsize=Capital
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(((maxrisk/StopLoss)))))
else
Positionsize=1
StopLoss = Stoploss
Endif
///BILL WILLIAM FRACTAL INDICATOR
//CP=PERIOD
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
//CumulativeRSI2
RSI2 = (SUMMATION[2](RSI[2](Close)))/2
RSILow = RSI2 < 20
RSIHigh = RSI2 > 80
//LONG and SHORT CONDITIONS
if (time >=100000 and time < 230000) then
C1 = (close CROSSES OVER HIL)
D1 = (close CROSSES UNDER LOL)
IF c1 and NOT ShortOnMarket and RSIHigh THEN
PositionMultiple = (RSI2/100) + 1//Increase PositionSize depending on CumRSI2 level
PositionSize = PositionSize * PositionMultiple
PositionSize = Round(PositionSize * 100)
PositionSize = PositionSize / 100
BUY positionsize CONTRACT AT MARKET
ENDIF
IF D1 and NOT LongOnMarket and RSILow THEN
PositionMultiple = ((100-RSI2)/100) + 1//Increase PositionSize depending on CumRSI2 level
PositionSize = PositionSize * PositionMultiple
PositionSize = Round(PositionSize * 100)
PositionSize = PositionSize / 100
SELLSHORT positionsize CONTRACT AT MARKET
ENDIF
ENDIF
//TRAILING STOP
TGL = AverageTrueRange[Ave] * TGLMult
TGS = TGL
if not onmarket then
MAXPRICE = 0
MINPRICE = close
PriceExit = 0
ENDIF
if longonmarket then
MAXPRICE = MAX(MAXPRICE,close)
if MAXPRICE-tradeprice(1)>=TGL*pointsize then
PriceExit = MAXPRICE-TGL*pointsize
ENDIF
ENDIF
if shortonmarket then
MINPRICE = MIN(MINPRICE,close)
if tradeprice(1)-MINPRICE>=TGS*pointsize then
PriceExit = MINPRICE+TGS*pointsize
ENDIF
ENDIF
if onmarket and PriceExit>0 then
EXITSHORT AT PriceExit STOP
SELL AT PriceExit 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 TakeProfit
set stop loss stoploss*pointsize
OK here you go ozz87 – please be gentle with me as this is the first code I’ve posted. I’ve modified ALE’s code with a Cumulative RSI2 filter. Long trades are entered only if CumRSI2 is above a certain level. The higher the level the better the win rate (testing has shown) – but also obviously fewer bets due to the added filter. Short trades are the opposite and only entered if CumRSI2 is below a certain level. The PositionSize is multiplied by a factor depending upon how high or low the CumRSI2 is – so the higher the probability of a win the higher the stake. I have also attempted to base the StopLoss and TakeProfit and Trailing StopLoss on Average True Range but this is a work in progress! I tested it with a 0.9 spread rather than the 0.6 ALE used.
Vonasi: Thanks! Trying to find what’s wrong when i try backtest, I don’t get any results (eur/usd mini, 1 hour)
ALEModerator
Master
Thanks Vonasi, Good Idea.
I want to explain my opinion:
I think that we don’t look for a multiplied position to increase our profit, but to find other forex pair.
Cumrsi could be a good filter, but I’d try to optimize period instead of 2 , because on 1 h time frame it’s too fast, usually it’s very good on dailytime frame.
About Stop loss and Take profit: Atr it’s very volatily so I can suggest to average it.
We coul’d try to add an long average to filter position.
Not sure why that would be ozz87. I’m on an IG PRT account – are you? Maybe something to do with CONTRACT. I’m no expert! – maybe someone else can help?
ALEModerator
Master
About IG tick data, the problem is not the same candle, but tick data. Many test with low time frame show that date tick of probacktest are different on real market. For example in backtest you touch a trailing stop and close position, while in real it not happend, etc etc… To survive with this problem it’s necessary to have a strategy that doesn’t depend from tick data .
ALEModerator
Master
@ ozz what’s the problem?
ALEModerator
Master
I notice that Vonasi is using a different market ? It’s correct?
ALE – I’m not a fan of MA filtering – way too much lag and confusion when price is near the MA. The Cumulative RSI2 is fast and that is what I like about it. Having said that I have not tried stretching the period out but on every other strategy I have tried that on I have have always found 2 to be the best period.
I tested the strategy with and without the positionsize multiplying and it was a definite improvement to profits with it. I maybe need to scale the sizing back as the starting bet size is too big the way it is at the moment. If it increases profitability I think it should stay and then move on to other possible pairs.
On a separate note I have tried coding a similar strategy that looks for bounces/tests of fractal levels rather than breakout but breakout seems more consistent and profitable so far.
ALEModerator
Master
Very good
a suggest ma because i’m using it with cumrsi2 in Other daily strategies.. but with 1 h tf I dont know, and i’m agre with you.
as soon as possibile i start ti improve fravtal strategy..
