I guess there must be a difference but I’ve only ever developed and tested on DFB so not able to be much help. Hopefully someone more experienced will chip in with an answer to the positionsize problem.

Ronny: Cool. Will test tomorrow.

@ronny

in resume, you have this code?

because on backtest, they are a problem

//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=5
MINpositionsize=1
Positionsize= MAX(MINpositionsize,MIN(MAXpositionsize,abs(((maxrisk/StopLoss)))))
else
Positionsize=1
StopLoss = AverageTrueRange[Ave] * STPMult
TakeProfit = AverageTrueRange[Ave] * STPMult + AddOn
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 profit TakeProfit
set stop ploss stoploss

Thanks for doing that test Ronny. Interesting that your off the top of your head numbers had higher TP than SL but the WF test gave higher SL  than TP. What was the win rate and returns like compared to your numbers? I prefer at least 1:1 Risk to Reward as even by tossing a coin I can be right 50% of the time – although give me a strategy with an almost certain 100% win rate and I’ll obviously take a worse R/R ratio!

Is the strategy that you say you are testing live ALE’s original strategy or another one that you have – if another one would you be able to share it for comparison purposes?

Ronny

Then you have run algon live for 4 months now.

Has it gone as you expected?

In that case you can increase the position size as it looks stable 🙂

Thanks for sharing that Ronny. It looks very similar to what ALE first posted on this thread except with different fractal look back periods for upper and lower fractals and also with a candle body size condition that is not used. My quick backtest of it shows that it performed better in the past than recently which makes me think it may be a little over fitted. Different periods for upper and lower fractals rings alarm bells for fitting. The fractal period is my major concern with this strategy as it is the most likely thing to be fitted to past market movements. Having said that a wide range of cp numbers result in profit of some sort or other so it does still seem to be a method worth progressing with.

Can I ask where you got that strategy from? Is there an old thread that I missed that I could read?

Very good. Now you start using the WFA tool correctly. This makes it of course much more difficult to create a good strategy but it says so much more as a standard backtest.