Strategy DayOpen Straddle for DAX

• 11/04/2018 at 2:17 PM #84123
  Paul

  Hi,

   

  This strategy is the DAX-open straddle which is posted in the library as DayOpen Straddle for DAX 3-minute timeframe.

   

  It’s based on the idea, that while trading is possible 24/7, the big institutions start their day at 9u.

  Here’s more info

  https://en.wikipedia.org/wiki/DAX

   

  That’s why I took 9u am as start and made it a trade only in the first hour.

   

  At 9’ am the strategy defines the open and buys x points above or sellshort x points below, whichever comes first.

  The assumption is, that once it’s opened, there is high probability that it continues at least x points in that direction.

   

  To make it work, there had to be added extra criteria, which are important.

   

  i.e. For a long position, the (current bar) high has to be lower than the lowest daily high up to 2 days back. If that’s the case, the index has room to increase.

  (downside is that when there’s a continues rally, you don’t get in)

   

  While it’s mentioned for the 3min bar, the focus should be on the 10- or 15-min bars.

  In my testing, on both timeframes, I start from 1 January 2015.

   

  I didn’t expect these kinds of results! Have a look and if you have any idea’s how to improve or find other markets please post!

   

  (pictures posted are with 0.6SL, 0.4MFE and no PT) (NOP 30 for 15min, NOP25 for 10min)

   

  Cheers,

  Paul

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  Paul

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  11/04/2018 at 10:28 PM #84135
  GraHal

  This seems a very versatile strategy, I played with 2 variables and got results attached over 100k bars on the 1 min timeframe.

  I’ve set them going on Demo Forward Test, I’ll let you know how they go.

  

  GraHal

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  11/05/2018 at 6:47 PM #84198
  Paul

  Interesting results GraHal! Ofcourse i’am curious which variables you used.

  Meantime I coded that holidays where excluded, with the day before and after the holiday.

  Only focussed on the holidays which repeat every year.

  If you can exclude them, it’s easy swap around and only display the holidays which are traded.

  It isn’t worth it to include this code. Since results are slightly above 50 % winchance and with marginal profit.

   

  

  Paul

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  11/05/2018 at 9:11 PM #84210
  Paul

  the code to combine Williams 3 bar trailing stop with MFE trailing stop

  MFETrailing=1

  WTrailing=1

   

  // MFETrailing if MFETrailing then trailingstop = (tradeprice/100)*ts if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pipsize then priceexit = MAXPRICE-trailingstop*pipsize endif endif if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=trailingstop*pipsize then priceexit = MINPRICE+trailingstop*pipsize endif endif If onmarket and WTrailing=0 and priceexit>0 then sell at market exitshort at market endif endif // exit larry williams If WTrailing and MFETrailing then count=1 i=0 j=i+1 tot=0 while count<4 do tot=tot+1 if (low[j]>=low[i]) and (high[j]<=high[i]) then //inside bar j=j+1 else count=count+1 i=i+1 J=i+1 endif wend basso=lowest[tot](low) alto=highest[tot](high) if close>alto[1] then ref=basso endif if close<basso[1] then ref=alto endif if onmarket and priceexit>0 then if high<ref then sell at market endif If low>ref then exitshort at market endif endif endif

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  // MFETrailing if MFETrailing then trailingstop = (tradeprice/100)*ts if not onmarket then MAXPRICE = 0 MINPRICE = close priceexit = 0 endif if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=trailingstop*pipsize then priceexit = MAXPRICE-trailingstop*pipsize endif endif if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=trailingstop*pipsize then priceexit = MINPRICE+trailingstop*pipsize endif endif If onmarket and WTrailing=0 and priceexit>0 then sell at market exitshort at market endif endif   // exit larry williams If WTrailing and MFETrailing then count=1 i=0 j=i+1 tot=0 while count<4 do tot=tot+1 if (low[j]>=low[i]) and (high[j]<=high[i]) then //inside bar j=j+1 else count=count+1 i=i+1 J=i+1 endif wend   basso=lowest[tot](low) alto=highest[tot](high)   if close>alto[1] then ref=basso endif if close<basso[1] then ref=alto endif   if onmarket and priceexit>0 then if   high<ref then sell at market endif If  low>ref then exitshort at market endif endif endif

   

  

  Paul

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  11/05/2018 at 9:32 PM #84211
  GraHal

  Thank you Paul for sharing your latest good ideas!

  Paul wrote:

  i’am curious which variables you used.

  Re my results posted above …

  For v1.0 – variable values I used

  sl = 0.9 // % Stoploss pt = 0.40 // % Profit Target ts = 0.35 // % MFETrailing // indicator settigns NOP=9 //15//number of points TimeOpen=080000

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  sl = 0.9  // % Stoploss pt = 0.40  // % Profit Target ts = 0.35  // % MFETrailing   // indicator settigns NOP=9 //15//number of points TimeOpen=080000

  For v1.1 – variable values I used

  sl = 0.9 // % Stoploss pt = 0.40 // % Profit Target ts = 0.35 // % MFETrailing // indicator settigns NOP=36 //15//number of points TimeOpen=080000

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  sl = 0.9  // % Stoploss pt = 0.40  // % Profit Target ts = 0.35  // % MFETrailing   // indicator settigns NOP=36 //15//number of points TimeOpen=080000

  My TimeOpen is set at 080000 because I am in the UK … 1 hour behind you in the Netherlands.

   

  

  GraHal

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  11/06/2018 at 3:45 AM #84224
  Paul

  I too found that the stoploss 0f 0.6 is too small and set it to 1%. A profit target at 1.5%.

  Also tested lower timesframes but in the end settled on 10min. because of the number trades, about 400 trades in 4 years.

  Now it include the MFE with williams 3 bar trailing stop and a break even stop.

  Compared new code left to original code right with same parameters. Still working on it.

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  Paul

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  11/06/2018 at 4:41 PM #84244
  xpiga

  Hi Paul. Great system!

  Could you copy here the complete code with all the new improvements? And, if passible, the new results in 200k bars?

  Thank you so much!!!

  

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  11/07/2018 at 9:59 AM #84300
  volpiemanuele

  Can I have the latest version of the strategy in order to improve it ?

  Thanks

  

  volpiemanuele

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  11/07/2018 at 10:16 AM #84302
  GraHal

  Paul wrote:

  This strategy is the DAX-open straddle which is posted in the library as DayOpen Straddle for DAX 3-minute timeframe.

  @xpiga and @volpiemanuele

  Latest full working System is in the Library, but please also help Paul with improvements … for example, he has posted a Trailing Stop idea to be added in, tested and improved (maybe?) in the post below

  Paul wrote:

  the code to combine Williams 3 bar trailing stop with MFE trailing stop

   

   

  2 users thanked author for this post.

  NA, Paul

  

  GraHal

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  11/07/2018 at 3:27 PM #84334
  Paul

  Still working on it.. A problem though,

  I want to skip the first 2 weeks every year since those two are bad for trading.

  Does PRT support week-numbers perhaps?

   

  I want to make it optional to exclude those days.

  How should I code this most efficiently?

  If you add the code below, and add trading=0 to the buy criteria, it doesn’t work.

  //skip first two weeks of the year (weeknumber 1 and 2) IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=10) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=16) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=14) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=13) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=12) THEN TRADING = 1 ELSE TRADING = 0 ENDIF

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  //skip first two weeks of the year (weeknumber 1 and 2) IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=10) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=16) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=14) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=13) THEN TRADING = 1 ELSE TRADING = 0 ENDIF IF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=12) THEN TRADING = 1 ELSE TRADING = 0 ENDIF

   

   

  

  Paul

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  11/07/2018 at 4:18 PM #84340
  Vonasi

  You can do something like this to convert YYYYMMDD to MMDD and then make decisions based on that.

  mmdd = date - (round(date /10000) * 10000) if mmdd >= 0101 and mmdd <=0114 then tradeok = 0 else tradeok = 1 endif

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  mmdd = date - (round(date /10000) * 10000)   if mmdd >= 0101 and mmdd <=0114 then tradeok = 0 else tradeok = 1 endif

   

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  11/07/2018 at 7:18 PM #84353
  Paul

  That worked great Vonasi.

  Because the beginning of several years had bad trades, with this code it was easy to optimise and skip the first x days of the year.

  Also found wrong with my code.

  IF SkipFirstTwoWeeks=1 then IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=18) THEN TRADING = 1 ELSIF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=24) THEN TRADING = 1 ELSIF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=22) THEN TRADING = 1 ELSIF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=21) THEN TRADING = 1 ELSIF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=20) THEN TRADING = 1 ELSE TRADING = 0 ENDIF ENDIF

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  IF SkipFirstTwoWeeks=1 then IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=18) THEN TRADING = 1 ELSIF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=24) THEN TRADING = 1 ELSIF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=22) THEN TRADING = 1 ELSIF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=21) THEN TRADING = 1 ELSIF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=20) THEN TRADING = 1 ELSE TRADING = 0 ENDIF ENDIF

   

  

  Paul

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  11/07/2018 at 11:20 PM #84372
  volpiemanuele

  Please can you post the complete strategy with the william three bar trailing ? Thanks

  

  volpiemanuele

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  11/08/2018 at 12:19 AM #84374
  ullle73

  does not look like this is correct : “i.e. For a long position, the (current bar) high has to be lower than the lowest daily high up to 2 days back.” ? could you explain one more time? 🙂

  

  ullle73

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  11/08/2018 at 11:59 AM #84414
  GraHal

  Jonas Rydqvist wrote:

  does not look like this is correct

  Make it easier for us … please post the snippet of code you are referring to and a link to the post in which that snippet appears.

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  winnie37

  

  GraHal

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