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ATR Break Out

  • #321
  • Dec 27, 2015 10:31am Dec 27, 2015 10:31am
Quoting abokwaik
{quote} It is a Golden Suggestion.
One more important point which could make this EA more robust.

The logic of ATR breakout is comparing whether the price has broken the level (for longs)
LowestPoint + (ATR * multiplier)

When we put some value as multiplier, we are also estimating the number of bars needed to get to this level.
Example:
When we put a criteria of 3 as a multiplier we are also saying that we require 9 bars, without realizing that this is the end result. I am basing this logic to square root of time rule, which is simply FutureVolatility = current volatility * Square root of time

According to this rule, ATR breakout method would also need the number of bars figure to reach the ATR breakout level.

So I would suggest this dynamic breakout criteria, instead of fixed multiplier.

According to sqrtof time rule
1 bar volatility would be equal to 8.84 pips (I am using the value from sample calculation in my previous post)
2 bar volatility sqrt(2) * 8.84
3 bar volatility sqrt(3) * 8.84 etc.....So the calculation is sqrt(number of bars from lowest point) = expected range

Since the volatility here is sort of standard deviation of the volatility, to find out if a price has broken the ATR threshold (entry point), we need to use ZScores:
EntryLevelForLong = LowestPoint + Sqrt(number of bars from lowest point) * 8.84 * ZScore

In statistics Z-Score values for various confidence levels would be 1, 1.645, 1.96, 2.58


So the optimization of the EA would be bound to the 4 ZScore values above. This would make the system mathematically sound, and resistant to changes of price behaviour of the pairs in future.

Please give your comments and thoughts..

Thanks
  • #322
  • Dec 27, 2015 11:31am Dec 27, 2015 11:31am
Quoting GoldTheHun
{quote} One more important point which could make this EA more robust. The logic of ATR breakout is comparing whether the price has broken the level (for longs) LowestPoint + (ATR * multiplier) When we put some value as multiplier, we are also estimating the number of bars needed to get to this level. Example: When we put a criteria of 3 as a multiplier we are also saying that we require 9 bars, without realizing that this is the end result. I am basing this logic to square root of time rule, which is simply FutureVolatility = current volatility...
Thanks for your valuable input GTH,

The original idea was for price to break the xlevel on the current bar. If it does not, a new xlevel will be created for the next bar, and so on until the "dynamic" xlevel is broken where a trade is initiated. (where xlevel = current open price + ATR * multiplier).

The idea was to catch momentum while its happening.

My questions to you are:
1. Are you suggesting to make the levels "static" for a number of bars equal to the selected multiplier ? before creating new level.
2. What is the "LowestPoint" that you're referring to ? as I am using the Open Price of current bar (or the close of previous bar).


Regards,

Khalil
No guts, no glory
  • #323
  • Dec 27, 2015 12:32pm Dec 27, 2015 12:32pm
Quoting abokwaik
{quote} Thanks for your valuable input GTH, The original idea was for price to break the xlevel on the current bar. If it does not, a new xlevel will be created for the next bar, and so on until the "dynamic" xlevel is broken where a trade is initiated. (where xlevel = current open price + ATR * multiplier). The idea was to catch momentum while its happening. My questions to you are: 1. Are you suggesting to make the levels "static" for a number of bars equal to the selected multiplier ? before creating new level. 2. What is the "LowestPoint" that...
Well I just realized that I was on a different track. I thought you were following ATR channel.
Example:
Lowest Point of swing + (ATR * multiplier) = Your entry point for long

On the other hand, now I understand that you are always seeking (open +(ATR * multiplier)) to enter long. So you are looking for a "longer than usual" bar to enter.
Ok than for your method of entry my suggestion of Daily ATR(30) would definately would work.
In next post I will try to explain the ATR channel logic, which I suggested recently.
I apologize for any confusion caused.

Regards,
Atilla
  • #324
  • Edited 1:04pm Dec 27, 2015 12:49pm | Edited 1:04pm
Quoting abokwaik
{quote} Thanks for your valuable input GTH, The original idea was for price to break the xlevel on the current bar. If it does not, a new xlevel will be created for the next bar, and so on until the "dynamic" xlevel is broken where a trade is initiated. (where xlevel = current open price + ATR * multiplier). The idea was to catch momentum while its happening. My questions to you are: 1. Are you suggesting to make the levels "static" for a number of bars equal to the selected multiplier ? before creating new level. 2. What is the "LowestPoint" that...
Khalil,

As answers to your questions and brief explanation of my "Channel" logic is as follows:

In post 321, I tried to explain "Square Root Of Time Rule". Following this rule we start with a swing low (meaning lowest point of the low after a channel break down). Than for every bar after that we calculate the following
EntryLevelForLong = LowestPoint + Sqrt(number of bars from lowest point) * 8.84 * ZScore

So at every bar we are calculating a dynamic new level to enter long.

Here is an example using 8.84 as ATR value

Lowest point =1.3500

1 bar closed, we are in 2nd bar
Entry level 2nd bar= 1.3500 +(sqrt(2) * 0.000884 *1.96) = 1.35245
Entry level 3rd bar= 1.3500 +(sqrt(3) * 0.000884 *1.96) = 1.3530

So this keeps on updating with every new bar.

This is exactly like SuperTrend indicator, with added feature of sqrt(bars) feature. If you don't have that indicator I will try to find it for you.

I hope this makes my logic clear. If not please let me know.
  • #325
  • Jan 10, 2016 7:43am Jan 10, 2016 7:43am
Hello

Some backtest abo 05(1)from 1min chart eur/usd.
I guess this ea doesn't work so fine on the 1 min chart or maybey wrong settings.
Attached Image(s) (click to enlarge)
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Happy trading
  • #326
  • Jan 10, 2016 8:10am Jan 10, 2016 8:10am
hello

Now on 5 min chart same settings looks better.
Attached Image(s) (click to enlarge)
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Happy trading
  • #327
  • Jun 11, 2016 4:03am Jun 11, 2016 4:03am
Hi all.
Optimised settings on some pairs with different average trading ranges on H1 TF.
Can anyone help me figure out why these low modelling quality and how to improve it? Also there are a lot of mismatched chart errors. What does that mean? How do I do in order to eliminate those errors?
Attached Image(s) (click to enlarge)
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Ionut
  • #328
  • Sep 4, 2016 9:11am Sep 4, 2016 9:11am
I have got the following idea:

1. Choosing the traded pair according to the following criteria: Strongest currency versus weakest ( Strength meter)
Momentum increasing up and down.

2. Applying ATR -Break to decide point of entrance and exit, and using the built in position size calculator to limit risk.

Can this be unified in one EA?
  • #329
  • Oct 31, 2016 11:26pm Oct 31, 2016 11:26pm
Namaste!
First I want to say thank you to Abokwaik and the others for the wonderfull service they do for the members of this forum!!!
I have been reading all the posts here and this EA looks interesting. I've tested it on my strategy tester and it shows me only bad results, mabe my setings are wrong.
The ideea behind this is very good indeed but if this is a breakout EA mabe you (I say you because I don't know to code) should make it recognise a range before it brea kout or if this is a trend following EA based on a breakout mabe you should make-it trade only after the trend was already established. This are my sugestions and I don't know if my sugestions are good or not. Someone also said that this may also be used as a directional EA put to trade only in the direction of the trend.

Regards!
  • #330
  • Jan 4, 2017 7:27am Jan 4, 2017 7:27am
Above all
Abokwaik, thanks for sharing your nice work.

Attached: Back test results for the last 3 years, USDJPY M15; (+38769 USD on 10K starting account)
Be careful with the lot size.
Please note - time settings are for GMT broker.

Forward test is ongoing.

With best regards
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 5 M15 StrategyTester.gif Size: 8 KB
Click to Enlarge Name: ABO 6[290].PNG Size: 53 KB
Attached File(s)
File Type: pdf 5 M15 StrategyTester.pdf   944 KB | 951 downloads
  • #331
  • Jan 24, 2017 3:46pm Jan 24, 2017 3:46pm
Hello, I have a question about the close_at_profit EA. I could not find a separate thread about that anywhere.

I am using the version from post #160 in this thread.

There are two options in the Inputs:

Profit to Equity
Profit Amount

Can you explain these two?

Is Profit to Equity a percentage? So is that a percentage that the equity is above the account balance? For example, if the account balance is set to 10,000 and the Profit to Equity is 0.1 then it would close all trades at 11,000?

And, I don't have an assumption of what the Profit Amount would mean.

What I am looking for is an EA that I can say, "At $10,534 please close all open trades". Is that what this EA does?

Thank you very much for your help
  • #332
  • Jan 26, 2017 12:53pm Jan 26, 2017 12:53pm
guys be careful with those backtests. A backtest must have 99.9% to be accuracy with all tick data!
  • #333
  • Jan 28, 2017 3:59pm Jan 28, 2017 3:59pm
ABO_06.ex4
EURUSD, 99% Tick Quality (from Dukascopy), 1H, Default settings, "2016.07.01 - 2017.01.01" six month backtest.

Result is very bad and unstable!!
Attached Image (click to enlarge)
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  • #334
  • Jul 30, 2017 5:29pm Jul 30, 2017 5:29pm
Quoting oguz
ABO_06.ex4 EURUSD, 99% Tick Quality (from Dukascopy), 1H, Default settings, "2016.07.01 - 2017.01.01" six month backtest. Result is very bad and unstable!! {image}
Try UJ... It was profitable
  • #335
  • Feb 22, 2019 9:12pm Feb 22, 2019 9:12pm
Hello Abo. I have downloaded your ea and will be doing testing as well using the crazy settings, wish me luck!!

Thank you for sharing your work with us, much appreciated bro.
  • #336
  • Feb 23, 2019 1:06am Feb 23, 2019 1:06am
Quoting GoldTheHun
{quote} One more important point which could make this EA more robust. The logic of ATR breakout is comparing whether the price has broken the level (for longs) LowestPoint + (ATR * multiplier) When we put some value as multiplier, we are also estimating the number of bars needed to get to this level. Example: When we put a criteria of 3 as a multiplier we are also saying that we require 9 bars, without realizing that this is the end result. I am basing this logic to square root of time rule, which is simply FutureVolatility = current volatility...
Genius, genius I say!!!!!

You have nailed it and this will ultimately decrease dd, increase profit factor and possibly autofilter the trend direction because it will be calculating true true values!
  • #337
  • Aug 2, 2019 6:26am Aug 2, 2019 6:26am
i am using renko charts it is not opening trades 6 months one trade only
  • #338
  • Aug 2, 2019 6:42am Aug 2, 2019 6:42am
abo ya habibi help me to find out the problem i am using renko charts and i attached the 05 R v one it i do not know what to do LOL
  • #339
  • Aug 2, 2019 10:50am Aug 2, 2019 10:50am
Very good days. I speak Spanish and I am using translator.

Reading the original strategy, I guess it's about getting into a big candle.

In RENKO all candles are of equal size, so it is advisable to enter an operation using filters such as MACD or RSI. But the strategy would no longer be the original, but it would be worth doing the test.

The user can determine the size of the candle according to the calculations of the ATR. For a 5 pips candle it would be ATR 5 x 1

I think you have to take into account when changing the ATR, the SL and TP are also modified.

Example of the screenshot for a 10 pips RENKO brick.

Please share the results.
Attached Image (click to enlarge)
Click to Enlarge Name: Captura.PNG Size: 43 KB
IH - B221 Return Today: -0.2%
  • #340
  • Oct 18, 2019 10:54am Oct 18, 2019 10:54am
Hi,

When I run this in the Strategy Tester the results show all trades as 1 lot per trade when I want it to use the 0.25% risk percentage! Does risk % work in the tester?
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot4.png Size: 48 KB


Thanks,

Jaan
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