Fractal breakout intraday Strategy EUR/USD 1H –

• 10/05/2017 at 6:49 PM #48337
  Vonasi

  I think MA is OK in big trending markets such as SP500 just to ensure that you are not buying when markets are crashing. I too have been working on CumRSI2 strategies and they work fine in trending indexes if you avoid going short but hopeless in Forex markets. I was also working on Fractal strategies but your breakout strategy beat me too it and was better than anything I’d created already! Definitely worth sticking with.

  On the subject of tick data – I have given up developing systems on Demo as the data is so different to Live data that it makes the whole thing pointless.

  

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  10/05/2017 at 9:10 PM #48339
  ozz87

  Ale: I just got trades with -5000$ …On the mini contract. Very strange, I’ll check tomorrow 😉

  

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  10/05/2017 at 9:12 PM #48340
  ozz87

  Ale: Saw now it’s not the same. His is dfb, cannot see or use that one.

  

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  10/06/2017 at 1:03 PM #48433
  ALE

  YES OZZ it’s different

  that’s could be an overfitting… too many variable are pointed.

  

  ALE

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  10/06/2017 at 6:53 PM #48472
  manel

  @ vonasi, many thanks for posting your strategy. Did you test with tick by tick on ? All the trades are zero bar trades otherwise, which is why they are showing an unrealistically steady profit curve.

  @ ozz87 You may get different results if you are using a spreadbet account rather than CFD. If you divide the position size by a further 1,000 then you should get trades. But like I mentioned above, the results are not valid as the backtest looks to have been conducted without tick by tick turned on.

  

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  10/06/2017 at 9:09 PM #48474
  Vonasi

  Manel – Yes tick by tick was on. I only get ten zero bar trades out of 75 bets. I am on an IG spread bet account. System running on DFB.

   

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  Vonasi

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  10/06/2017 at 9:21 PM #48479
  Vonasi

  ALE – not sure why you think that there are too many variables leading to overfitting. There are only really four variables. One for takeprofit, one for fixed stoploss and one for the trailing stoploss. The fourth is the cp period for the fractal levels which I feel is the biggest variable and which has the biggest effect on results. TakeProfit is set to always be higher than stoploss as is desirable in most strategies. The stoploss is set to hopefully only get hit if a trade goes immediately the wrong way. The trailing stoploss is set at a level whereby it hopefully kicks in early enough to lock in some profit.

  The Donchian Channel stop seems to make no difference with the settings as they are so I guess it could be deleted.

  

  Vonasi

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  10/06/2017 at 9:39 PM #48480
  Vonasi

  Just noticed that my first screenshot of results was with no spread! So have attached new one with 0.9 spread. This is also with some minor modifications to reduce start bet size. New code is this:

  //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80 RSILowLevel = 100 - RSIHighLevel //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 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target pprofit TakeProfit set stop loss stoploss

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  //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false   CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80   RSILowLevel = 100 - RSIHighLevel   //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 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target pprofit TakeProfit set stop loss stoploss

   

  

  Vonasi

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  10/06/2017 at 10:39 PM #48483
  ALE

  @ vonasi

  only some doubts about these:

  TGLMult = 0.6 //ATR multipier for TGL
  STPMult = 1.8 //ATR multiplier for StopLoss
  AddOn = 1.1 //Added to STPMult for TakeProfit

  And the strategy in general.. i’m not satisfy…

   

  

  ALE

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  10/07/2017 at 10:33 AM #48518
  Vonasi

  Almost all strategies will have a fixed stoploss and maybe a trailing one that will be optimized. The ones I have used just happens to be short term ATR based rather than fixed . Takeprofit is the same. I guess the true test of whether it is overoptimized is how big the window of multipliers that still provide a profit is. The cp number has the most effect on overall performance of both your and my version I feel and may be a case of what worked in the past does not work in the future.

  I admit that  100k candles on 1 hour is impossible for any true analysis of either version. Can anyone do a backtest on 200k?

  Forward testing will be interesting to watch on both versions but we may need to wait quite some time for mine as 75 trades over 100k is not very many. The CumRSI2 has improved quality but at the price of quantity. Of course the CumRSI2 level can be changed to 70/30 or 60/40 etc to improve bet quantity at the price of average gain per trade and win rate.

  Always interesting to have other peoples opinions on what is too much optimization and what is not. The day I write a code that has no optimization and turns a profit will be the day I become a millionaire!

  

  Vonasi

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  10/07/2017 at 12:31 PM #48533
  Ronny

  I’ve had good results with one of the original strategys in live trading from this thread. See attachment EURUSD fractal results.pdf.

  I tried to use 200.000 bars to test the strategy from the post above (48480). When going so far back in time tick-by-tick testing is not possible (!). I removed the mm from it, Reinvest=0, and added a stop and target. I’ll add another post with tick-by-tick, back to mid 2010.

  This is the code I used:

  //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80 RSILowLevel = 100 - RSIHighLevel //KASPER CODE OF REINVESTMENT Reinvest=0 //change 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 TakeProfit = 70 //change StopLoss = 50 //change Endif ///BILL WILLIAM FRACTAL INDICATOR 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target pprofit TakeProfit set stop ploss stoploss //change

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110

  //EURUSD(DFB) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK // SPREAD 0.9 PIP // ALE - KASPER - VONASI DEFPARAM CumulateOrders = false   CP = 101 //Fractal Period RSINum = 2 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 RSIHighLevel = 80   RSILowLevel = 100 - RSIHighLevel   //KASPER CODE OF REINVESTMENT Reinvest=0 //change 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 TakeProfit = 70 //change StopLoss = 50   //change Endif ///BILL WILLIAM FRACTAL INDICATOR 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[RSINum](RSI[RSINum](Close)))/RSINum RSILow = RSI2 < RSILowLevel RSIHigh = RSI2 > RSIHighLevel //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/((RSIHighLevel/100)+1)) * 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/((RSIHighLevel/100)+1)) * 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 set target pprofit TakeProfit set stop ploss stoploss //change

   

  

  Ronny

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  10/07/2017 at 12:36 PM #48537
  Ronny

  The tick-by-tick results.

   

  

  Ronny

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  10/07/2017 at 12:41 PM #48540
  Ronny

  Also tried WF with no optimalization. If the strategy is optimized for all bars, it’s not very useful but anyways…

   

  

  Ronny

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  10/07/2017 at 2:21 PM #48550
  Vonasi

  Thanks for that Ronny. Bit difficult to know what the exact conclusion is though as you changed the stoploss and takeprofit from the ATR based ones. Any chance of a tick by tick back to mid 2010 with the ATR?

  Overall I think it looks hopeful as the longer test period did not show any major flaws in using the CumRSI2 filter.

  Your changes did highlight one thing – I somehow messed up the non re-investment takeprofit and stoploss in my code while creating it so it wouldn’t work correctly with reinvest=0. It should read as so:

  Reinvestment Code Error Fix

  //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 = AverageTrueRange[Ave] * STPMult TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn Endif

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  //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 = AverageTrueRange[Ave] * STPMult TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn Endif

   

  

  Vonasi

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  10/07/2017 at 3:30 PM #48557
  Ronny

  The positionsize variable ends up with a value of 5000+.

  MIN(MAXpositionsize,abs(((maxrisk/StopLoss))))

  1	MIN(MAXpositionsize,abs(((maxrisk/StopLoss))))

  returns a value of 5000.

  I don’t know about DFB, is this different from cfd?

  

  Ronny

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