//Stategy: Trend Breakout
//Author: JuanJ
//Market: Neutral (Optimized for EURUSD)
//Timeframe: 1Hr
//Timezone: UTC +2
//Timeframe: 1Hr but not 'completely' timeframe dependant
Defparam cumulateorders = False
If hour < 9 or hour > 22 then //outside market hours
possize = 0
If longonmarket Then
sell at market
Bear = 0
Bull = 0
ElsIf shortonmarket Then
exitshort at market
Bear = 0
Bull = 0
EndIf
Else
possize = 1 //position contract size
EndIf
//Calculate Fractal
once FracH = 0 //initialize fractal count
once FracL = 0 //initialize fractal count
For i = 0 to 4 Do
If high[2] > high[i] Then //look for high fractal with 2 lower highs on either side
FracH = FracH + 1
EndIf
If low[2] < low[i] Then //look for low fractal with 2 higher lows on either side
FracL = FracL + 1
EndIf
Next
If FracH = 4 Then //High Fractal Identified
If Bear = 0 and Bull = 0 Then
Bear = 1 //Initialize first trend direction
EndIf
FractalH = high[2] //High Fractal Price Level
FractalP = barindex - 2 //High Fractal Bar Position
EndIf
If FracL = 4 Then //Low Fractal Identified
If Bear = 0 and Bull = 0 Then
Bull = 1 //Initialize first trend direction
EndIf
FractalL = low[2] //Low Fractal Price Level
FractalP = barindex - 2 //Low Fractal Bar Position
EndIf
FracH = 0 //reset fractal count
FracL = 0 //reset fractal count
//Calculate trendline using widest angle from extreme of last fractal to curent extreme (Trigonometry Function)
If Bear = 1 Then //Down trend
Height = FractalH - high //Calcululate height between high fractal and high of current bar
HeightB = FractalH - close //Calcululate height between high fractal and close of current bar (used to determine trend violation)
ElsIf Bull = 1 Then //Up trend
Height = Low - FractalL //Calcululate height between low fractal and low of current bar
HeightB = close - FractalL //Calcululate height between high fractal and close of current bar (used to determine trend violation)
EndIf
If barindex - 2 = FractalP Then //Initialize angle using high of last bar of fractal set
MaxAngle = Tan(2/Height) //Initial value of the angle between the fractal and the last high
EndIf
once Trendbreak = 0
If barindex - 2 > FractalP Then //If current bar greater than end of fractal set:
If Bear = 1 Then //For Down Trend
If (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close < open) or (close < close[1]))) Then
MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if down trend rules are valid
Trendbreak = 0 //No Trend Violation Present
EndIf
If Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close > open Then
TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar
ElsIf Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close > close[1] Then
Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle > trend)
EndIf
ElsIf Bull = 1 Then //For Up Trend
If (Tan((barindex-FractalP)/Height) > MaxAngle) and (((close > open) or (close > close[1]))) Then
MaxAngle = Tan((barindex-FractalP)/Height) //calculate new max trend if up trend rules are valid
Trendbreak = 0 //No Trend Violation Present
EndIf
If Trendbreak = 0 and (Tan((barindex-FractalP)/HeightB) > MaxAngle) and close < open Then
TrendBreak = 1 //Trend violation potentially present, wait for confirmation on close of next bar
ElsIf Trendbreak = 1 and (Tan(((barindex-1)-FractalP)/HeightB) > MaxAngle) and close < close[1] Then
Trendbreak = 2 //Trend violation confirmed, there was a close outside the trend line (close angle < trend)
EndIf
EndIf
EndIf
If Trendbreak = 2 Then //Trend violation is confirmed:
If Bear = 1 Then //Down Trend Present (but now broken):
BreakoutL = Highest[2](high)[0] //Determine Highest point of violation (including last candle before violation)
Buy possize contract at BreakoutL + (AverageTrueRange[7](close)*0.3) stop //Enter into long position at specified price level
//N.B. We need to ensure the current position is obviously closed?
ElsIf Bull = 1 Then //Up Trend Present (but now broken):
BreakoutL = Lowest[2](low)[0] //Determine Lowest point of violation (including last candle before violation)
Sellshort possize contract at BreakoutL - (AverageTrueRange[7](close)*0.3) stop //Enter into short position at specified price level
//N.B. We need to ensure the current position is obviously closed?
EndIf
If Bear = 1 and longonmarket Then //If position is opened counter last trend, reset variables
Trendbreak = 0
Bear = 0
Bull = 1
ElsIf Bull = 1 and shortonmarket Then //If position is opened counter last trend, reset variables
Trendbreak = 0
Bear = 1
Bull = 0
EndIf
EndIf
//Trade Management (Note that Trend Direction need to be reset with exits's)
Deviations = 1.618
periods = 34
PRICE = LOG(customclose)
alpha = 2/(PERIODS+1)
if barindex < PERIODS then
EWMA = AVERAGE[3](PRICE)
else
EWMA = alpha * PRICE + (1-alpha)*EWMA
endif
error = PRICE - EWMA
dev = SQUARE(error)
if barindex < PERIODS+1 then
var = dev
else
var = alpha * dev + (1-alpha) * var
endif
ESD = SQRT(var)
BollU = EXP(EWMA + (DEVIATIONS*ESD))
BollL = EXP(EWMA - (DEVIATIONS*ESD))
RS2 = ROUND(RSI[2](close))
PSH = Highest[100](high)[1]
PSL = Lowest[100](low)[1]
If longonmarket and ((close[1] > BollU and close < BollU) or (high[1] > BollU and high < BollU) or (close > PSH or close < PSL)) Then
LE = 1
ElsIf shortonmarket and ((close[1] < BollL and close > BollL) or (low[1] < BollL and low > BollL) or (close < PSL or close > PSH)) Then
SE = 1
EndIf
If longonmarket and LE = 1 and RS2 >= 85 and close < BollU Then
Sell at market
Bear = 0
Bull = 0
ElsIf shortonmarket and SE = 1 and RS2 <= 15 and close > BollL Then
Exitshort at market
Bear = 0
Bull = 0
EndIf
.
