Fractal Corridors Backtest
Fractal Corridors is a strategy developed a used by Vladimir Poltoratskiy. You can learn about this in his books from the series Trading Code Is Open which I recommend reading.
The strategy allegedly works best in a high-liquidity environment with little to no impactful events. The author likes to trade EURUSD, Copper, and USDCAD, I think, was another pair.
Logic is based on his 3-bar fractals and their fractures as they come. Basically, if the fractal level gets broken by a certain number of ticks (usually 6 - 14% Average Daily Range), a corridor is built and stop-market entry will be filled.
There are other rules you will find in the book. Most importantly - avoid trading during events and extremely choppy symbols which seem to follow no logic.
Lastly, the script includes 5 different definitions of Fractal Corridor. I think Mode 5 is the correct one but I was unable to confirm that exactly as it gets a little tricky. I am willing to disclose this part of the code to other Pinecoders, but it will not be available for everyone, because that could discourage people from getting the book.
Thanks to @mincho1010 for help with testing different versions as I worked on the script.
Have a good day!
The strategy allegedly works best in a high-liquidity environment with little to no impactful events. The author likes to trade EURUSD, Copper, and USDCAD, I think, was another pair.
Logic is based on his 3-bar fractals and their fractures as they come. Basically, if the fractal level gets broken by a certain number of ticks (usually 6 - 14% Average Daily Range), a corridor is built and stop-market entry will be filled.
There are other rules you will find in the book. Most importantly - avoid trading during events and extremely choppy symbols which seem to follow no logic.
Lastly, the script includes 5 different definitions of Fractal Corridor. I think Mode 5 is the correct one but I was unable to confirm that exactly as it gets a little tricky. I am willing to disclose this part of the code to other Pinecoders, but it will not be available for everyone, because that could discourage people from getting the book.
Thanks to @mincho1010 for help with testing different versions as I worked on the script.
Have a good day!
版本注释:
An option to add start and end date added by @MarcoJarquin
版本注释:
Hotfix