Fractal Breakout Entries with Alligator and Normalized ATR Filters

Summary

This long-only trend-following method places a stop entry at the latest qualifying Williams fractal high. A fractal is considered valid when it lies above the Alligator teeth line, calculated from a smoothed price average. The strategy also calculates the percentile rank of ATR and averages it over a configurable period; new entries are allowed only when that average is below a chosen threshold. The stated rationale is to seek breakouts after quieter consolidation rather than following an already large move.

After entry, the stop is set to the higher of a percentage-based level below entry and a validated down-fractal level, allowing the trade to remain open without a fixed profit target. The document reports a backtest over a stated date window, with commission, slippage, capital allocation, and trade statistics, but the supplied excerpt truncates some results. Those figures are specific to the tested market and settings; the document does not establish out-of-sample performance or robustness across instruments and conditions.

Key ideas

• The strategy enters long through a stop order at the latest up-fractal level that qualifies relative to the Alligator teeth line.
• An average of normalized ATR percentile readings filters out periods following elevated volatility.
• The exit stop combines a percentage-based loss limit with a validated down-fractal level.
• There is no fixed profit target, so a position may remain open while the dynamic stop is not reached.
• The reported backtest includes trading costs and slippage, but its results are incomplete in the supplied text.

Tags

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