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Following statistics are about the PTZ expect setup.

This setup occurs once a PTZ confirmed as true TZ (after h bars passed) and without having an opposite PTZ already formed.

What is the probability of an opposite PTZ before the TZ gets invalidated by a new PTZ in the same direction?

To answer this question I coded the attached jforex strategy (dukascopy). Feel free to take/adapt/share it…

**H** := the usual h variable (TZ confirms after h bars)

**n **:= n represents the number of bars after which we expect an opposite PTZ, ie. if for example h=30 and n=25 then after 25 bars from last PTZ we expect an opposite PTZ forming.

Please look at the attached image to understand how SL (failure) and TP (success) levels are handled.

I tested it on one entire year of 5min/15min/1H TF data from different pairs. Two years backtest only for EURUSD pair.

Here the results:

Results (2013-12-01 to 2014-11-30)

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EURUSD

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[5min]

13:55:24 Analysis complete: H=30 n=30. Total setups: 564. Successful setups: 388. Failed setups: 176. Success rate 68.79432624113475%

[15min]

12:49:38 Analysis complete: H=8 n=8. Total setups: 1036. Successful setups: 686. Failed setups: 350. Success rate 66.21621621621621%

12:45:14 Analysis complete: H=10 n=10. Total setups: 744. Successful setups: 512. Failed setups: 232. Success rate 68.81720430107528%

12:40:57 Analysis complete: H=12 n=12. Total setups: 620. Successful setups: 415. Failed setups: 205. Success rate 66.93548387096774%

12:36:22 Analysis complete: H=16 n=16. Total setups: 421. Successful setups: 279. Failed setups: 142. Success rate 66.270783847981%

11:58:01 Analysis complete: H=18 n=18. Total setups: 366. Successful setups: 247. Failed setups: 119. Success rate 67.4863387978142%

11:53:51 Analysis complete: H=20 n=20. Total setups: 331. Successful setups: 227. Failed setups: 104. Success rate 68.58006042296071%

11:49:37 Analysis complete: H=24 n=24. Total setups: 255. Successful setups: 172. Failed setups: 83. Success rate 67.45098039215686%

11:45:13 Analysis complete: H=26 n=26. Total setups: 225. Successful setups: 153. Failed setups: 72. Success rate 68.0%

11:40:45 Analysis complete: H=28 n=28. Total setups: 223. Successful setups: 157. Failed setups: 66. Success rate 70.4035874439462%

12:04:20 Analysis complete: H=28 n=25. Total setups: 257. Successful setups: 179. Failed setups: 78. Success rate 69.64980544747081%

10:46:06 Analysis complete: H=30 n=30. Total setups: 214. Successful setups: 150. Failed setups: 64. Success rate 70.09345794392523%

10:50:53 Analysis complete: H=30 n=28. Total setups: 238. Successful setups: 166. Failed setups: 72. Success rate 69.74789915966386%

10:55:12 Analysis complete: H=30 n=26. Total setups: 259. Successful setups: 178. Failed setups: 81. Success rate 68.72586872586872%

11:00:04 Analysis complete: H=30 n=24. Total setups: 293. Successful setups: 196. Failed setups: 97. Success rate 66.89419795221842%

11:04:30 Analysis complete: H=30 n=20. Total setups: 393. Successful setups: 245. Failed setups: 148. Success rate 62.34096692111959%

11:08:55 Analysis complete: H=30 n=15. Total setups: 539. Successful setups: 306. Failed setups: 233. Success rate 56.77179962894249%

11:13:16 Analysis complete: H=35 n=35. Total setups: 197. Successful setups: 129. Failed setups: 68. Success rate 65.48223350253807%

11:17:42 Analysis complete: H=35 n=30. Total setups: 237. Successful setups: 154. Failed setups: 83. Success rate 64.9789029535865%

11:22:24 Analysis complete: H=40 n=40. Total setups: 173. Successful setups: 112. Failed setups: 61. Success rate 64.73988439306359%

11:30:41 Analysis complete: H=45 n=45. Total setups: 164. Successful setups: 104. Failed setups: 60. Success rate 63.41463414634146%

11:36:18 Analysis complete: H=55 n=55. Total setups: 140. Successful setups: 88. Failed setups: 52. Success rate 62.857142857142854%

[1H]

13:12:12 Analysis complete: H=28 n=28. Total setups: 46. Successful setups: 29. Failed setups: 17. Success rate 63.04347826086957%

12:56:25 Analysis complete: H=30 n=30. Total setups: 39. Successful setups: 24. Failed setups: 15. Success rate 61.53846153846154%

13:01:36 Analysis complete: H=30 n=26. Total setups: 64. Successful setups: 41. Failed setups: 23. Success rate 64.0625%

13:06:48 Analysis complete: H=30 n=24. Total setups: 87. Successful setups: 54. Failed setups: 33. Success rate 62.06896551724138%

GBPUSD

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[5min]

17:31:45 Analysis complete: H=30 n=30. Total setups: 571. Successful setups: 368. Failed setups: 203. Success rate 64.44833625218914%

[15min]

17:23:07 Analysis complete: H=30 n=30. Total setups: 206. Successful setups: 144. Failed setups: 62. Success rate 69.90291262135922%

[1H]

17:13:49 Analysis complete: H=30 n=30. Total setups: 41. Successful setups: 27. Failed setups: 14. Success rate 65.85365853658537%

EURGBP

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[5min]

15:30:34 Analysis complete: H=30 n=30. Total setups: 537. Successful setups: 327. Failed setups: 210. Success rate 60.893854748603346%

[15min]

15:44:02 Analysis complete: H=30 n=30. Total setups: 194. Successful setups: 134. Failed setups: 60. Success rate 69.0721649484536%

16:19:51 Analysis complete: H=24 n=24. Total setups: 241. Successful setups: 168. Failed setups: 73. Success rate 69.70954356846472%

[1H]

15:17:27 Analysis complete: H=30 n=30. Total setups: 41. Successful setups: 26. Failed setups: 15. Success rate 63.41463414634146%

AUDUSD

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[5min]

16:05:40 Analysis complete: H=30 n=30. Total setups: 582. Successful setups: 368. Failed setups: 214. Success rate 63.230240549828174%

[15min]

16:12:43 Analysis complete: H=24 n=24. Total setups: 249. Successful setups: 147. Failed setups: 102. Success rate 59.036144578313255%

16:09:05 Analysis complete: H=30 n=30. Total setups: 181. Successful setups: 101. Failed setups: 80. Success rate 55.80110497237569%

[1H]

16:02:02 Analysis complete: H=30 n=30. Total setups: 30. Successful setups: 13. Failed setups: 17. Success rate 43.333333333333336%

AUDNZD

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[5min]

17:00:26 Analysis complete: H=30 n=30. Total setups: 492. Successful setups: 313. Failed setups: 179. Success rate 63.617886178861795%

[15min]

16:50:50 Analysis complete: H=30 n=30. Total setups: 148. Successful setups: 82. Failed setups: 66. Success rate 55.4054054054054%

[1H]

17:09:02 Analysis complete: H=30 n=30. Total setups: 39. Successful setups: 29. Failed setups: 10. Success rate 74.35897435897436%

Results (2012-12-01 to 2013-11-30)

==================================

EURUSD

——

[5min]

14:15:48 Analysis complete: H=30 n=30. Total setups: 562. Successful setups: 400. Failed setups: 162. Success rate 71.17437722419929%

[15min]

14:23:12 Analysis complete: H=30 n=30. Total setups: 223. Successful setups: 156. Failed setups: 67. Success rate 69.95515695067265%

[1H]

14:40:16 Analysis complete: H=24 n=24. Total setups: 64. Successful setups: 41. Failed setups: 23. Success rate 64.0625%

14:29:28 Analysis complete: H=30 n=30. Total setups: 50. Successful setups: 29. Failed setups: 21. Success rate 57.99999999999999%

14:35:26 Analysis complete: H=40 n=40. Total setups: 36. Successful setups: 22. Failed setups: 14. Success rate 61.111111111111114%

So we have an edge for sure, especially on lower time frames.

This setup is powerful on ranges because of the great R:R potential (at least 1:1).

- This reply was modified 3 years, 10 months ago by Jurij.

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