Fractal breakout intraday Strategy EUR/USD 1H –

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.