First Fractal Breakout Strategy with ATR Stops and Risk-Based Sizing

Summary

This article develops an intraday breakout system that uses the first confirmed Bill Williams fractal high and low after a session opens as entry boundaries. It explains the confirmation delay and uses five-minute bars to avoid treating very short-term opening noise as meaningful structure. The rules allow one long and one short attempt per session, set stop distances as a fraction of daily ATR, size positions by percentage risk, target a fixed reward-to-risk multiple, and close positions at session end.

The article presents an Expert Advisor implementation and reports backtests using high-quality tick data, including an out-of-sample test on another instrument. It describes broadly similar trade frequency and selected performance measures across samples as evidence of parameter stability. These results remain historical and do not establish live profitability; execution frictions and regime changes remain concerns. The author recommends further live testing and walk-forward analysis, and warns against optimizing too many parameters because that can encourage overfitting.

Key ideas

• The first confirmed intraday fractal high and low define the session’s breakout levels.
• Fractal confirmation requires waiting for subsequent bars, and the example uses five-minute data.
• The rules cap entries at one trade in each direction and close open positions at the session end.
• Daily ATR sets a volatility-sensitive stop distance, while percentage risk determines trade size.
• Reported backtests include out-of-sample comparisons, but further validation is needed before live use.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.