Trend Breakout

// ============================================================
// Trend Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 4 hours
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
fractalBars = 4           // bars the centre of the 5-bar fractal must beat, keep at 4
breakoutBars = 2          // bars for the breakout high / low
atrPeriod = 7             // ATR length for the entry buffer
atrMultiplier = 0.3       // entry buffer beyond the breakout level, in ATRs
bandPeriod = 34           // length of the log-price exponential bands
seedPeriod = 3            // SMA used to seed the bands on early bars
bandWidth = 1.618         // band width in standard deviations
rsiPeriod = 2             // RSI length for the exit
overboughtLevel = 85      // long exit needs RSI at or above this
oversoldLevel = 15        // short exit needs RSI at or below this
lookbackPeriod = 100      // window for the prior swing high / low

// State, seeded so every value is defined on the first bar.
ONCE fractalHighCount = 0
ONCE fractalLowCount = 0
ONCE trendBreak = 0
ONCE bearSetup = 0
ONCE bullSetup = 0
ONCE fractalHigh = 0
ONCE fractalLow = 0
ONCE fractalBar = 0
ONCE trendHeight = 0
ONCE closeHeight = 0
ONCE maxAngle = 0
ONCE logEma = 0
ONCE logVariance = 0
ONCE longExitArmed = 0
ONCE shortExitArmed = 0

// --- Indicators ---
// Count how many of the last five bars the bar two back beats.
FOR i = 0 TO fractalBars DO
  IF high[2] > high[i] THEN
    fractalHighCount = fractalHighCount + 1
  ENDIF
  IF low[2] < low[i] THEN
    fractalLowCount = fractalLowCount + 1
  ENDIF
NEXT

// A fractal high starts a bearish trend line, a fractal low a bullish one.
IF fractalHighCount = fractalBars THEN
  IF bearSetup = 0 AND bullSetup = 0 THEN
    bearSetup = 1
  ENDIF
  fractalHigh = high[2]
  fractalBar = BarIndex - 2
ENDIF
IF fractalLowCount = fractalBars THEN
  IF bearSetup = 0 AND bullSetup = 0 THEN
    bullSetup = 1
  ENDIF
  fractalLow = low[2]
  fractalBar = BarIndex - 2
ENDIF
fractalHighCount = 0
fractalLowCount = 0

IF bearSetup = 1 THEN
  trendHeight = fractalHigh - high
  closeHeight = fractalHigh - close
ELSIF bullSetup = 1 THEN
  trendHeight = low - fractalLow
  closeHeight = close - fractalLow
ENDIF

// Track the steepest angle of the trend line from the fractal, then detect
// a two-step break of that line (trendBreak 1, then 2).
IF BarIndex - 2 = fractalBar THEN
  maxAngle = Tan(2 / trendHeight)
ENDIF
IF BarIndex - 2 > fractalBar THEN
  IF bearSetup = 1 THEN
    IF Tan((BarIndex - fractalBar) / trendHeight) > maxAngle AND (close < open OR close < close[1]) THEN
      maxAngle = Tan((BarIndex - fractalBar) / trendHeight)
      trendBreak = 0
    ENDIF
    IF trendBreak = 0 AND Tan((BarIndex - fractalBar) / closeHeight) > maxAngle AND close > open THEN
      trendBreak = 1
    ELSIF trendBreak = 1 AND Tan(((BarIndex - 1) - fractalBar) / closeHeight) > maxAngle AND close > close[1] THEN
      trendBreak = 2
    ENDIF
  ELSIF bullSetup = 1 THEN
    IF Tan((BarIndex - fractalBar) / trendHeight) > maxAngle AND (close > open OR close > close[1]) THEN
      maxAngle = Tan((BarIndex - fractalBar) / trendHeight)
      trendBreak = 0
    ENDIF
    IF trendBreak = 0 AND Tan((BarIndex - fractalBar) / closeHeight) > maxAngle AND close < open THEN
      trendBreak = 1
    ELSIF trendBreak = 1 AND Tan(((BarIndex - 1) - fractalBar) / closeHeight) > maxAngle AND close < close[1] THEN
      trendBreak = 2
    ENDIF
  ENDIF
ENDIF

atrValue = AverageTrueRange[atrPeriod](close)