Simple scalping with Williams Fractals

Is this after slippage and commission? 

This also assumes a $0 fee model.  Very cool model, though :-)

I'm really new to this, but how would you attach fee's to this? 

Hi, Hector,

Marcus set zero fees with code line #18:

 You can attach fees in three ways:

1. Remove that line and get the default fee model;
2. Define your own custom fee model. Click here for an example.
3. Use ConstantFeeModel with a different fee (e.g. $1):Securities[symbol].FeeModel = new ConstantFeeModel(1.0m);

    

I was able to add the fee's. Thank you.

Is there a way to add foxre commission per trade?

@Hector, you can use the FxcmFeeModel to use real commissions applied by FXCM with this line:

Awesome! Thank you so much! 

So i tried implementing this strategy into my risk control and volatility framework to see how it perfoms. I used two types of exit signals, First was the one which was originally implemented in the post and the second is the profit target exit signal with a target ratio of about 0.125 with a risk per trade of $40. Also I am using a portfolio of about 4 symbols rather than just one.

The only problem I think with this strategy is that it trades a lot which really amps up the fees a lot. If we could find a way for this strategy to trade "less frequently" then we can definitely make this strategy profitable. Currently I am using a constant fee model of $0.04 just so we have some kind of a fee applied inorder to see how the risk control model work with this.

I am attaching both the results below with the two exit signals.

First is the one with the profit target exit signal.

I would love to know what the others think about it. :)

can you explain the trading rules to enter and exit the trades? a 5 bar high fractal is nothing more than a swing high with 2 lower highs to the right and left of the swing high, as is the 5 bar low fractal, a swing low, with 2 higher lows to the right and left of the swing low. NOW HOW DO YOU ENTER A TRADE, WHAT LOGIC DETERMINES THE ENTRY, AND THE EXIT. ???

no you are not missing anything, but if you can can you explain the entry and exit logic for the system. Can the developer at least help me in that regard?

LIz,

The logic is simple and straightforward.  Look back and make the bar 3 bars back (as defined, or the middle bar) is the lowest or highest.  It is looking for a reversal within two bars.  I just don't understand how the order is executed on the price of the current bar.

e.g., you have a swing high with a strength of 2, (rename it a 5 bar fractal high), that is, a high with 2 lower highs to the right and left, when you complete the pattern, am I assuming you then enter short at the current bars close? converse for a long.

therefore you have a reversal system, long short long etc.  Does the code verify this? and what interval is being tested, daily, intraday?

I believe it's doing daily per minute.