Fractal Breakouts Filtered by Recent Swing Highs and Lows

Summary

This strategy detects swing highs and lows using a configurable fractal period. With the default period, a fractal is identified by comparing a bar's high or low with the surrounding window. It stores the three most recent highs and lows separately, then uses their averages as simple trend reference levels.

A long entry occurs when the closing price crosses above the latest fractal high and is above the average of recent fractal highs. A short entry occurs on a cross below the latest fractal low when price is below the average of recent fractal lows. The script also plots the averages and entry markers and defines matching alert conditions. The document gives the entry logic but no exits beyond opposite strategy entries, position sizing, costs, backtest results, or evidence of profitability. Fractals require bars on both sides of the candidate point, so their confirmation is delayed; the behavior of the signal also depends on how the platform handles the stored initial values.

Key ideas

• Fractal highs and lows are identified from a symmetric window around each candidate bar.
• The strategy stores the three most recent swing highs and lows and averages each set.
• A long signal requires a close crossing above the latest fractal high and above the high average.
• A short signal requires a close crossing below the latest fractal low and below the low average.
• The excerpt provides no performance evidence, costs, or separate risk controls.

Tags

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