Fractal breakout intraday Strategy EUR/USD 1H –

• 10/14/2017 at 11:00 AM #49354
  rejo007

  Here,

  a 200000 backtest.

  it seem good, but the problem with this strategy are the slippage and spread during news or big event?

  what do you think about this?

  

  rejo007

  Participant

  Topics: 3

  Replies: 97

  Been thanked: 10 times
  10/14/2017 at 11:12 AM #49357
  ozz87

  @rejo007: Looks pretty nice. Only drawdown missing, probably because of that bug when testing…

  

  ozz87

  Participant

  Topics: 0

  Replies: 168

  Been thanked: 127 times
  10/14/2017 at 11:20 AM #49358
  rejo007

  yes, i have lot of time this problem of withdraw…

  1 user thanked author for this post.

  Andyswede

  

  rejo007

  Participant

  Topics: 3

  Replies: 97

  Been thanked: 10 times
  11/25/2017 at 7:59 AM #53893
  ALE

  NEW VERSION

  DEFPARAM CumulateOrders = FALSE// Posizioni cumulate disattivate ONCE trailingStopType = TRT // 0 NONE, 1 TRAILING ONCE percprofit = TP // 0.5 ONCE percloss = SL // 1 ONCE barlong = BXL //15 ONCE barshort = BXS //15 ONCE atrtrailingperiod = ATRSP //200 ONCE minstop = MINSTP //5 Pipsize - least distance of the stop for IG ONCE trailingstoplong = TSL //15 Trailing stop start and distance ONCE trailingstopshort = TSS // 15 // FRACTAL ONCE CP = CPI // 120 // MOVING AVERAGE ONCE avgLongPeriod = AVGL // 80 // CUMMRSI ONCE CumRsiPer = CRP // 2 ONCE cumrsiEnterLongThreshold = CREL // 160 ONCE cumrsiEnterShortThreshold = CRES // 60 // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize) //atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize)/1000 // for indices divided for 1000 trailingstartl = round(atrtrail*trailingstoplong) //trailing stop start and distance trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts 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 if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF // FILTER SETTING ///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 PTN01 = (close CROSSES OVER HIL) PTN02 = (close CROSSES UNDER LOL) // CUMRSI CUMRSI = SUMMATION[CUMRSIPER](RSI[CUMRSIPER](close)) // ENTRY cumrsiFilterEnterLong = (cumrsi > cumrsiEnterLongThreshold) cumrsiFilterEnterShort = (cumrsi < cumrsiEnterShortThreshold) //MOVING AVERAGE longAvg = Average[avgLongPeriod] (close) //Enter avgFilterEnterLong = (close>longAvg) avgFilterEnterShort = (close<longAvg) //-------------------------------------------------------------------------------------------------- // STRATEGY //-------------------------------------------------------------------------------------------------- if (time >=100000 and time < 230000) then IF NOT LongOnMarket AND avgFilterEnterLong AND PTN01 AND cumrsiFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF IF NOT ShortOnMarket AND avgFilterEnterShort AND PTN02 AND cumrsiFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF ENDIF // Condizioni per uscire da posizioni long IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF SET STOP %LOSS percloss SET TARGET %PROFIT percprofit GRAPH TGL GRAPH TGS

  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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129

  DEFPARAM CumulateOrders =  FALSE// Posizioni cumulate disattivate   ONCE trailingStopType          = TRT    // 0 NONE, 1 TRAILING ONCE percprofit                = TP     // 0.5 ONCE percloss                  = SL     // 1 ONCE barlong                   = BXL    //15 ONCE barshort                  = BXS    //15 ONCE atrtrailingperiod         = ATRSP  //200 ONCE minstop                   = MINSTP //5  Pipsize - least distance of the stop for IG ONCE trailingstoplong          = TSL    //15 Trailing stop start and distance ONCE trailingstopshort         = TSS    // 15 // FRACTAL ONCE CP                        = CPI    // 120 // MOVING AVERAGE ONCE avgLongPeriod             = AVGL   // 80 // CUMMRSI ONCE CumRsiPer                 = CRP    // 2 ONCE cumrsiEnterLongThreshold  = CREL   // 160 ONCE cumrsiEnterShortThreshold = CRES   // 60   // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize) //atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pointsize)/1000  // for indices divided for 1000 trailingstartl = round(atrtrail*trailingstoplong)    //trailing stop start and distance trailingstartS = round(atrtrail*trailingstopshort)   if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts 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 if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF     // FILTER SETTING   ///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   PTN01 = (close CROSSES OVER HIL) PTN02 = (close CROSSES UNDER LOL)   // CUMRSI CUMRSI = SUMMATION[CUMRSIPER](RSI[CUMRSIPER](close)) // ENTRY cumrsiFilterEnterLong  = (cumrsi > cumrsiEnterLongThreshold) cumrsiFilterEnterShort = (cumrsi < cumrsiEnterShortThreshold)   //MOVING AVERAGE longAvg  = Average[avgLongPeriod] (close)   //Enter avgFilterEnterLong  = (close>longAvg) avgFilterEnterShort = (close<longAvg)   //--------------------------------------------------------------------------------------------------   // STRATEGY //-------------------------------------------------------------------------------------------------- if (time >=100000 and time < 230000) then IF NOT LongOnMarket AND avgFilterEnterLong AND PTN01  AND cumrsiFilterEnterLong THEN BUY 1 CONTRACT AT MARKET ENDIF   IF NOT ShortOnMarket AND avgFilterEnterShort AND PTN02 AND cumrsiFilterEnterShort THEN SELLSHORT 1 CONTRACT AT MARKET ENDIF ENDIF   // Condizioni per uscire da posizioni long IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barLong THEN SELL AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort  THEN EXITSHORT AT MARKET ENDIF ENDIF   SET STOP %LOSS percloss SET TARGET %PROFIT percprofit GRAPH TGL GRAPH TGS

  ATTENTION TO THE TRAILING STOP, NEEDS TO DIVIDE THE DECIMAL, AS SUITABLE ONES TO TRY USING THE FUNCTION GRAPH

  7 users thanked author for this post.

  kj1988, Laurent7533, stefou102, dajvop, Andyswede, Francesco78, Despair

  

  ALE

  Moderator

  Topics: 16

  Replies: 569

  Been thanked: 223 times
  11/25/2017 at 10:52 AM #53903
  Vonasi

  Hello ALE. It doesn’t seem to fair too well in 100K WF testing. Not many trades to base it on though. Do you get similar results?

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  11/25/2017 at 1:51 PM #53923
  JR1976

  HI Ale,  

  interest concept , did you test with 200k bar  also ? 

  Thansk 

  

  JR1976

  Participant

  Topics: 16

  Replies: 88

  Been thanked: 8 times
  11/25/2017 at 5:48 PM #53943
  ALE

  Hello,

  I’ve work since 2010 to test tick by tick, because we have had many different from real version and backtest, anyway I’ve attached my result with 1 pip spread :

  

  ALE

  Moderator

  Topics: 16

  Replies: 569

  Been thanked: 223 times
  11/25/2017 at 6:41 PM #53950
  Vonasi

  Those are interesting results ALE. I guess you could call my 100k WF test an in sample test which although profitable the WF results would give reason for doubts about robustness. Then your 200k test provides an out of sample period where strategy performance is comparable. This gives some confidence that it may continue working. My only concern is the number of trades – 129 is not many. Glad to see that my Cumulative RSI idea has been kept in the strategy though!

  Definitely one to watch.

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  11/25/2017 at 7:18 PM #53952
  ALE

  On 1 hour time frame , It’s difficult to speake about  robustness, I suggest to look for high Gain/loss value. 

  

  ALE

  Moderator

  Topics: 16

  Replies: 569

  Been thanked: 223 times
  11/25/2017 at 8:03 PM #53958
  Vonasi

  ALE wrote:

  On 1 hour time frame , It’s difficult to speake about robustness, I suggest to look for high Gain/loss value.

  That is very interesting that you say that as I have been struggling to persuade myself that my shorter time frame strategies (1Hour or less)  are any good and finding that my longer (daily and 4Hr) are  proving  more robust after WF testing. Maybe you are right and WF testing is less relevant to shorter time frame strategies but I cannot think why that would be. Have you run a WF on your 200K period or back to 2010 period using a dummy value to see how it fairs?

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  11/25/2017 at 8:04 PM #53959
  Vonasi

  Regarding WF on short time frame strategies – maybe we just need to be happy that it is profitable in every OS period tested rather than getting hung up on the actual number and looking for the perfect result?

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1810 times
  11/25/2017 at 9:39 PM #53962
  rejo007

  Hello, 

  Could you post the files without variables, because I have problem to run it.

  Thanks a lot

  Usdjpy and gbpusd could be a good pair for this strategy

  

  rejo007

  Participant

  Topics: 3

  Replies: 97

  Been thanked: 10 times
  11/25/2017 at 10:31 PM #53963
  Juan Salas

  With the permission of ALE,

  Here is the file without the graphics and the variables, so you can run it in DEMO.

  btw, Very nice job of improvement of the original code.

  Saludos,

  Juan

  1 user thanked author for this post.

  rejo007

  

  Juan Salas

  Participant

  Topics: 39

  Replies: 246

  Been thanked: 63 times
  11/25/2017 at 10:53 PM #53965
  ALE

  THANK YOU VERY MUCH JUAN!… 😉

  

  ALE

  Moderator

  Topics: 16

  Replies: 569

  Been thanked: 223 times
  11/25/2017 at 10:59 PM #53966
  ALE

  @Vonasi, 
  as we know the problem is the unpredictable movement of the market under daily time frame. The best and simple strategy that we can find are often on daily time frame. The WF work good, the problem it’s unpredictability and the and the ever-changing market movements on low time frames.

   

  

  ALE

  Moderator

  Topics: 16

  Replies: 569

  Been thanked: 223 times
• Author
  Posts