Hi guys,
here is another DAX trading idea. It is very simple and generates only few trades but it seems very profitable if it happens.
Have fun
Reiner
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// Blue Monday DAX // Code-Parameter DEFPARAM FlatAfter = 095500 // trading window ONCE BuyTime = 85500 ONCE SellTime = 95500 ONCE CloseDiff = 50 ONCE PositionSize = 25 ONCE sl = 50 // Long all in, if it's Monday and the market is 50 points higher IF Not LongOnMarket AND Time = BuyTime AND (CurrentDayOfWeek = 1) THEN Diff = close - DClose(1) IF Diff > CloseDiff THEN BUY PositionSize CONTRACT AT MARKET ENDIF ENDIF // exit position IF LongOnMarket AND Time = SellTime THEN SELL AT MARKET ENDIF // stop SET STOP pLOSS sl |
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I only have 1 trade for this backtest… where is the bug ?
Anyway, thanks for sharing.
Oh, sorry, it works fine !
Few signals, but very performing since 2015.
For end 2013 and 2014, no gain.
It’s an interesting concept.
Very, very interesting and simple strategy. Many times it’s only neccesary see what happened day by day on the markets instead search and search complicated indicators.
Thanks for share.
Andrés.
Hi Reiner,
Thanks for sharing! I have seen this trend quite often on blue Monday as your strategy, and also the next day (Tuesday) on same time very often goes opposite!!!
So, I did some modification based on your code:
Decrease CloseDiff to increase entry %
Shorten the exit time
Add in similar strategy on Tuesday but Sellshort
Results is not bad too
// MonTue DAX 5m
// Code-Parameter
DEFPARAM FlatAfter = 095500
// trading window
ONCE BuyTime = 085500
ONCE SellTime = 093500
ONCE UCloseDiff = 30
ONCE DCloseDiff = 0
ONCE PositionSize = 5
ONCE sl = 50
// Long all in, if it\'s Monday and the market is 30 points higher
IF Not LongOnMarket AND Time = BuyTime AND (CurrentDayOfWeek = 1) THEN
Diff = close - DClose(1)
IF Diff > UCloseDiff THEN
Buy PositionSize CONTRACT AT MARKET
ENDIF
ENDIF
// Short all in, if it\'s Tuesday and the market is 30 points lower
IF Not ShortOnMarket AND Time = BuyTime AND (CurrentDayOfWeek = 2) THEN
Diff = close - DClose(1)
IF Diff < DCloseDiff THEN
Sellshort PositionSize CONTRACT AT MARKET
ENDIF
ENDIF
// exit position
IF LongOnMarket AND Time = SellTime THEN
SELL AT MARKET
ENDIF
IF ShortOnMarket AND Time = SellTime THEN
exitshort AT MARKET
ENDIF
// stop
SET STOP pLOSS sl
Hi CKW,
Thanks for your feedback. I have observed this behavior as well. The best rules are so simple.
regards
Reiner
It seems very good also with cac40, and quite good with ftse100.
Thank you!
Any new updates or news about this strategy?
Hi Kenneth,
Sorry for the late answer.
I have tested this little strategy with 200.000 candles and updated the parameters. I know some crazy guys trading this little beauty and make a lot money last week. Please find the code below:
// Blue Monday DAX
// Code-Parameter
DEFPARAM FlatAfter = 093500
// trading window
ONCE BuyTime = 85500
ONCE SellTime = 93500
ONCE CloseDiff = 50
ONCE PositionSize = 25
ONCE sl = 50
// Long all in, if it\'s Monday and the market is 50 points higher
IF Not LongOnMarket AND Time = BuyTime AND (CurrentDayOfWeek = 1) THEN
Diff = close - DClose(1) // with Sunday quotes
IF Diff > CloseDiff THEN
BUY PositionSize CONTRACT AT MARKET
ENDIF
ENDIF
// exit position
IF LongOnMarket AND Time = SellTime THEN
SELL AT MARKET
ENDIF
// stop
SET STOP pLOSS sl
best, Reiner
Hi,
I only have one trade:
25 contracts @10505,3 on 5th december 2016.
What I am doing wrong?
Regards!
Hi mamio,
Sorry for the late answer.
This strategy provides only few but very profitable trades. To see all trades you have to extend the number of 5M candles to the maximum possible value 100.000 or 200.000 for PRT premium.
Best, Reiner
Bonjour Reiner,
Merci pour la stratégie. Les résultats sont vraiment bons.Pour un compte de 10 000€, la taille de position est de 25. J’imagine que c’est un mini lot donc 25€/pips. Ce n’est pas trop ?Bonne journée
Bonjour morgan89,
You can trade this idea with every size that fit to your account size. This signal isn’t very frequent but when it happens the probability to make money with it is very high. I agree 10k is to small for a full contract.
Best, Reiner
Bonjour,
Je voudrai savoir comment réinvestir les gains avec cette stratégie svp ?
J’ai essayé ONCE PositionSize = 25 + strategyprofit
Mais ca ne fonctionne pas 🙂
Merci de votre aide
// smart position sizing
Capital = 10000
Risk = 0.1
StopCoefficient = 75
equity = Capital + StrategyProfit
maxrisk = round(equity * Risk)
PositionSize = MAX(10, abs(round((maxrisk / StopCoefficient) / PointValue)))
Merci Reiner,Ca fonctionne parfaitement.Je ne comprends pas à quoi correspond StopCoefficient
De même, MAX(10,........
Cela multiplie par 10 la valeur de abs() ?
you’ll find more details here:
https://www.prorealcode.com/blog/learning/money-management-prorealtime-code/
With the MAX-statement you can determine a minimum position size in that example the size is always 10 as long the money management algo delivers a higher value then 10
La formule est légèrement différente.
C’est normal ?
StopLoss = 10 // Could be our variable X
PositionSize = abs(round((maxrisk/StopLoss)/PointValue)*pipsize)
is the Monday strategy based on some kind of trade gap strategy ?
Hi Everybody
Sure.. this strategy works too with CAC40 for example,
Just necessary to adapt time, diff, & days which are specifics for each market..
About this strategy, i’m puzzled because i think there is maybe another possibility to the code concerning the exit position.. i’m currently checking ..