FractalHigh — Fractal High

Williams’ five-bar fractal: a high with two lower highs on each side. Confirmed two bars late by construction — the same honest lag as PivotHigh, at a fixed width.

Signature

FractalHigh(window, on=<source>)

Argument	Type	Required	Notes
window	int Param	Yes	Pinned at 5 — a Williams fractal is five bars by definition. Bounds 5–5.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads the high.

Formula

The third bar of five is strictly higher than the two before and the two after.

Warmup

5 bars; 0 until then.

Reading the value

fh.value
fh > 0

The flag refers to the bar two bars ago.

Example

class FractalBreak(Strategy):
    """Enter above a confirmed fractal high."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        fh = FractalHigh(5, on=self.trade)
        dh = DonchianHighTrue(10, on=self.trade)
        if fh.value > 0 and self.trade.close >= dh.value_at(1) and self.trade.is_flat:
            self.buy(self.trade, reason="Fractal high broken")
        if self.trade.close < dh.value * 0.95 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Stop")

Notes

• Bill Williams, Trading Chaos (1995). The window parameter exists only so the Series capacity can reference a Param; five is the definition.
• Identical to PivotHigh(5); both ship because members search for both names.
• Proven by an assert-via-trade run on SPY daily (agreed with the independent pivot reference on every bar; zero alarm trades).