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Simple scalping with Williams Fractals

Here's a very simple scalping strategy using the Fractals Indicator by Bill Williams. The Buy fractal is formed by a sequence of at least 5 bars where the lowest low is in the middle. The Sell fractal is formed by a sequence of at least 5 bars where the highest high is in the middle. Williams Fractals take advantage of the fact that many markets spend a majority of their time in ranges.

Update Backtest








nice
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I tried to test it but I get:
"You have exceeded maximum number of orders (10000), for unlimited orders upgrade your account"
So looks that strategy keep opening trades.
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@ Mars,

i think it means: if you didn't upgrade your account to pro you are only allowed to test your strategies with 10 000 Orders max. ..... everything works as expected..... :)

You can see it on the stats below your backtest that it did 10 001 Orders? right?

best regards

 

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Hello Marcus,

I was trying to backtest your algo and it is giving me an unsual error:

"19:29:08: Runtime Error: Could not load file or assembly or one of its dependencies. (Open Stacktrace) "

Do you know what could be wrong?

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It looks like the Accord.Extensions 3.0.1 library (last updated more than a year ago) is not compatible with the latest Accord.NET 3.3.0.
For this algorithm the problem can be solved by removing the dependency on the Accord.Extensions library (including only the two required source files in the project)

 

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Accor.Extensions is Unknown
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just clone this and can't be built properly: how an i solve this?
Build Error: File: FractalChannel.cs Line:1 Column:884 - The type or namespace name 'Extensions' does not exist in the namespace 'Accord'

how do i add the Accord assembly when doing backtest in the ide?
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David Tan Ahmad Lutfi Stefano wrote a new version above which imported the required extensions.

The difference is massive now that we've incorporated spread into the algorithm. Its almost 90% loss!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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