A bar that opens above the prior close but then closes under the 40 period EMA triggers a buy, as long as the 30 bar fractal dimension index is below 1.5. The mirror setup sells short. Every trade is closed exactly 4 bars later or at a 60 point stop.
Best run of 2. GBP/USD, 4 hours, spread 1.5, from run sweeps:2026-09-21-GBPUSD-4h-opt.tsv:4.
| Period | Up to 2026-09-21 |
| Instrument | GBP/USD, 4 hours |
| Spread | 1.5 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-21 |
| positionSize Contracts per trade | 1 |
| emaPeriod EMA length for the signal | 40 |
| fdiPeriod Fractal dimension lookback | 30 |
| fdiThreshold Trade only when the fractal dimension is below this | 1.5 |
| maxBarsInTrade Close the trade exactly this many bars after entry | 4 |
| stopLossPoints Protective stop in points | 60 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| GBP/USDBest run | 4 hours | n/a | 906 | 47.35 | 1,375 USD | -1,363 |
| DAX 40 | Daily | n/a | 358 | 31.56 | 2,147 EUR | -1,902 |
Charts
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // Fractal Dimension EMA Reversion // ProRealAlgos Strategy Library | prorealalgos.com // Type: Mean reversion // Direction: Long & short // Timeframe tested: 4 hours // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = false // --- Parameters --- positionSize = 1 // contracts per trade emaPeriod = 40 // EMA length for the signal fdiPeriod = 30 // fractal dimension lookback fdiThreshold = 1.5 // trade only when the fractal dimension is below this maxBarsInTrade = 4 // close the trade exactly this many bars after entry stopLossPoints = 60 // protective stop in points // --- Indicators --- emaValue = ExponentialAverage[emaPeriod](close) // Fractal dimension index: near 1 = trending, near 2 = choppy. // Undefined until enough history, so the filter blocks early trades. ONCE fdiValue = undefined IF BarIndex >= fdiPeriod - 1 THEN pathLength = 0 prevScaled = 0 fdiValue = 0 fdiHigh = Highest[fdiPeriod](close) fdiLow = Lowest[fdiPeriod](close) FOR i = 1 TO fdiPeriod - 1 DO IF (fdiHigh - fdiLow) > 0 THEN scaledPrice = (CustomClose[i] - fdiLow) / (fdiHigh - fdiLow) IF i > 1 THEN pathLength = pathLength + SQRT(SQUARE(scaledPrice - prevScaled) + (1 / SQUARE(fdiPeriod))) ENDIF prevScaled = scaledPrice ENDIF NEXT IF pathLength > 0 THEN fdiValue = 1 + (LOG(pathLength) + LOG(2)) / LOG(2 * fdiPeriod) ELSE fdiValue = 0 ENDIF ENDIF barsInTrade = BarIndex - TradeIndex
26 more lines: the entry and exit rules.
Read this first
Questions
Yes. Entries fill at the next bar open and exits are a 4 bar time stop plus a 60 point stop, all coded.
GBP/USD 4 hours made 1,374.7 USD over 906 trades with a 47.35% win rate. DAX 40 Daily made 2,147.3 EUR over 358 trades.
The worst drawdown on GBP/USD 4 hours was 1,363.2 USD at 1 contract, close to the full profit of the test.
A 4 bar hold on 4 hour bars keeps trades to under a day of market time, which suits a short reversion idea on a currency pair.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
