Adaptive Fibonacci Pullback System -FibonacciFlux

5 Apr

Adaptive Fibonacci Pullback System (AFPS) - FibonacciFlux

This work is licensed under a Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0). Original concepts by FibonacciFlux.

Abstract

The Adaptive Fibonacci Pullback System (AFPS) presents a sophisticated, institutional-grade algorithmic strategy engineered for high-probability trend pullback entries. Developed by FibonacciFlux, AFPS uniquely integrates [1] a proprietary Multi-Fibonacci Supertrend engine (0.618, 1.618, 2.618 ratios) for harmonic volatility assessment, [2] an Adaptive Moving Average (AMA) Channel providing dynamic market context, and [3] a synergistic Multi-Timeframe (MTF) filter suite (RSI, MACD, Volume). This strategy transcends simple indicator combinations through its strict, multi-stage confluence validation logic. Historical simulations suggest that specific MTF filter configurations can yield exceptional performance metrics, potentially achieving Profit Factors exceeding 2.6, indicative of institutional-level potential, while maintaining controlled risk under realistic trading parameters (managed equity risk, commission, slippage).


4 hourly MTF filtering

1. Introduction: Elevating Pullback Trading with Adaptive Confluence

Traditional pullback strategies often struggle with noise, false signals, and adapting to changing market dynamics. AFPS addresses these challenges by introducing a novel framework grounded in Fibonacci principles and adaptive logic. Instead of relying on static levels or single confirmations, AFPS seeks high-probability pullback entries within established trends by validating signals through a rigorous confluence of:

1. Harmonic Volatility Context: Understanding the trend's stability and potential turning points using the unique Multi-Fibonacci Supertrend.
   
2. Adaptive Market Structure: Assessing the prevailing trend regime via the AMA Channel.
   
3. Multi-Dimensional Confirmation: Filtering signals with lower-timeframe Momentum (RSI), Trend Alignment (MACD), and Market Conviction (Volume) using the MTF suite.
   

The objective is to achieve superior signal quality and adaptability, moving beyond conventional pullback methodologies.

2. Core Methodology: Synergistic Integration

AFPS's effectiveness stems from the engineered synergy between its core components:

2.1. Multi-Fibonacci Supertrend Engine: Utilizes specific Fibonacci ratios (0.618, 1.618, 2.618) applied to ATR, creating a multi-layered volatility envelope potentially resonant with market harmonics. The averaged and EMA-smoothed result (`smoothed_supertrend`) provides a robust, dynamic trend baseline and context filter.

// Key Components: Multi-Fibonacci Supertrend & Smoothing
    average_supertrend = (supertrend1 + supertrend2 + supertrend3) / 3
    smoothed_supertrend = ta.ema(average_supertrend, st_smooth_length)

2.2. Adaptive Moving Average (AMA) Channel: Provides dynamic market context. The `ama_midline` serves as a key filter in the entry logic, confirming the broader trend bias relative to adaptive price action. Extended Fibonacci levels derived from the channel width offer potential dynamic S/R zones.

// Key Component: AMA Midline
    ama_midline = (ama_high_band + ama_low_band) / 2

2.3. Multi-Timeframe (MTF) Filter Suite: An optional but powerful validation layer (RSI, MACD, Volume) assessed on a lower timeframe. Acts as a **validation cascade** – signals must pass all enabled filters simultaneously.

2.4. High-Confluence Entry Logic: The core innovation. A pullback entry requires a specific sequence and validation:

• Price interaction with `average_supertrend` and recovery above/below `smoothed_supertrend`.
  
• Price confirmation relative to the `ama_midline`.
  
• Simultaneous validation by all enabled MTF filters.
  

// Simplified Long Entry Logic Example (incorporates key elements)
    long_entry_condition = enable_long_positions and
                         (low < average_supertrend and close > smoothed_supertrend) and // Pullback & Recovery
                         (close[1] > ama_midline and close > ama_midline) and          // AMA Confirmation
                         (rsi_filter_long_ok and macd_filter_long_ok and volume_filter_ok) // MTF Validation

This strict, multi-stage confluence significantly elevates signal quality compared to simpler pullback approaches.



1hourly filtering

3. Realistic Implementation and Performance Potential

AFPS is designed for practical application, incorporating realistic defaults and highlighting performance potential with crucial context:

3.1. Realistic Default Strategy Settings:
The script includes responsible default parameters:

strategy('Adaptive Fibonacci Pullback System - FibonacciFlux', shorttitle = "AFPS", ...,
             initial_capital = 10000,                  // Accessible capital
             default_qty_type = strategy.percent_of_equity, // Equity-based risk
             default_qty_value = 4,                   // Default 4% equity risk per initial trade
             commission_type = strategy.commission.percent,
             commission_value = 0.03,                  // Realistic commission
             slippage = 2,                              // Realistic slippage
             pyramiding = 2                             // Limited pyramiding allowed
            )

Note: The default 4% risk (`default_qty_value = 4`) requires careful user assessment and adjustment based on individual risk tolerance.

3.2. Historical Performance Insights & Institutional Potential:
Backtesting provides insights into historical behavior under specific conditions (always specify Asset/Timeframe/Dates when sharing results):

• Default Performance Example: With defaults, historical tests might show characteristics like Overall PF ~1.38, Max DD ~1.16%, with potential Long/Short performance variance (e.g., Long PF 1.6+, Short PF < 1).
  
• Optimized MTF Filter Performance: Crucially, historical simulations demonstrate that meticulous configuration of the MTF filters (particularly RSI and potentially others depending on market) can significantly enhance performance. Under specific, optimized MTF filter settings combined with appropriate risk management (e.g., 7.5% risk), historical tests have indicated the potential to achieve **Profit Factors exceeding 2.6**, alongside controlled drawdowns (e.g., ~1.32%). This level of performance, if consistently achievable (which requires ongoing adaptation), aligns with metrics often sought in institutional trading environments.
  

Disclaimer Reminder: These results are strictly historical simulations. Past performance does not guarantee future results. Achieving high performance requires careful parameter tuning, adaptation to changing markets, and robust risk management.

3.3. Emphasizing Risk Management:
Effective use of AFPS mandates active risk management. Utilize the built-in Stop Loss, Take Profit, and Trailing Stop features. The `pyramiding = 2` setting requires particularly diligent oversight. Do not rely solely on default settings.

4. Conclusion: Advancing Trend Pullback Strategies

The Adaptive Fibonacci Pullback System (AFPS) offers a sophisticated, theoretically grounded, and highly adaptable framework for identifying and executing high-probability trend pullback trades. Its unique blend of Fibonacci resonance, adaptive context, and multi-dimensional MTF filtering represents a significant advancement over conventional methods. While requiring thoughtful implementation and risk management, AFPS provides discerning traders with a powerful tool potentially capable of achieving institutional-level performance characteristics under optimized conditions.

Acknowledgments

Developed by FibonacciFlux. Inspired by principles of Fibonacci analysis, adaptive averaging, and multi-timeframe confirmation techniques explored within the trading community.

Disclaimer

Trading involves substantial risk. AFPS is an analytical tool, not a guarantee of profit. Past performance is not indicative of future results. Market conditions change. Users are solely responsible for their decisions and risk management. Thorough testing is essential. Deploy at your own considered risk.

5 Apr

Nota Keluaran

Converted to latest version6

5 Apr

Nota Keluaran

Some fixed about MTF and variables