Fractal Trading System

While there are many definitions for a fractal in securities trading, the definition 
used in these systems is a minor version of the type defined by Bill Williams, Ph.D., 
and his chaos-based trading methods. According to Bill Williams, an "up fractal" is 
defined as a middle bar with two lower highs on each side of it. 
A "down fractal" would be the reverse being a middle bar with two higher 
lows on each side of it. 

This system is based on a very small fraction of Bill Williams’ 
complete trading system.

The system enters a long position when a price crosses
 above the most recent up fractal. The position would 
be exited and a short position entered when the price 
crosses below the most recent down fractal.

----------------------------
Up Level and Down Level Fractals}

F1:=ValueWhen(1,H<Ref(H,-2) AND Ref(H,-1)<Ref(H,-2) AND Ref(H,-3)<Ref(H,-2) AND Ref(H,-4)<Ref(H,-2),Ref(H,-2));

F2:=ValueWhen(1,L>Ref(L,-2) AND Ref(L,-1)>Ref(L,-2) AND Ref(L,-3)>Ref(L,-2) AND Ref(L,-4)>Ref(L,-2),Ref(L,-2));

{Cross Up and Down Level Fractal}

a:= Cross(H,F1);
b:= Cross(F2,L);

state:= BarsSince(a)<BarsSince(b);

{Signal Long and Short}

ShortSignal:= state < Ref(state,-1);
LongSignal:= state > Ref(state,-1);

{Trend Up and Down}

UpTrend:= state>0;
DownTrend:= state<1;

{OpenBuy and CloseBuy}

OpenBuy:= LongSignal and (eventCount('OpenBuy')=eventCount('CloseBuy'));
CloseBuy:= ShortSignal and (eventCount('OpenBuy')>eventCount('CloseBuy'));

{OpenSell and CloseSell}

OpenSell:= ShortSignal and (eventCount('OpenSell')=eventCount('CloseSell'));
CloseSell:= LongSignal and (eventCount('OpenSell')>eventCount('CloseSell'));

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functions :

1.valuwhen


This Accumulation/Distribution formula uses the cum() function (see Cumulate ) to keep a running total of the daily values.
cum( (((C-L) - (H-C)) / (H-L)) * V)


2.Ref


References a previous or subsequent element in a DATA ARRAY.  A positive PERIOD references "n" periods in the future; a negative PERIOD references "n" periods ago.


3. cross

Plots a "+1" on the day that DATA ARRAY 1 crosses above DATA ARRAY 2.  Otherwise, "0" is plotted. If you want to know when DATA ARRAY 1 crosses below DATA ARRAY 2, use the formula "cross( DATA ARRAY 2, DATA ARRAY 1)"