Strategy DayOpen Straddle for DAX

Paul · Sun, 04 Nov 2018 13:17:32 +0000

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

This topic has 241 replies, 39 voices, and was last updated 3 years ago by Monobrow.

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07/22/2019 at 11:03 PM #103172

AE

Hi Paul,

I was testing what you said and it works really good but I checked this version in others TF like 5mins, 10mins or 15 mins and looks horrible. Do you know why? With previous version in others TF works fine.

Thanks

AE
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07/23/2019 at 1:22 AM #103175

Paul

Hi, yes it’s because of the extracriteria. It filters on a higher TF and makes the result better. For 1 min it doesn’t add anything though. Thanks for the post. I will leave it in.

Paul
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07/23/2019 at 9:01 AM #103200

volpiemanuele

hi,

v3 today no trade. it’s correct? Thanks

volpiemanuele
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07/23/2019 at 9:48 AM #103205

winnie37

Yes, that’s right. No trades

winnie37
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07/23/2019 at 10:12 AM #103212

Paul

depends, if you used the setting I posted a few posts earlier.

Paul
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07/23/2019 at 10:13 AM #103213

AE

Exactly Paul,

With your recomendation, yesterday and today trade in green.

Regards

AE
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07/24/2019 at 10:43 AM #103321

xpiga

Hi Paul.

Could you please attach the whole code with all the new modificatios updated?

Thank you so much for sharing a great strategy!

xpiga
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07/24/2019 at 11:09 AM #103323

Gregg

Yep, I tried the recommandation like AE did but I don’t have trades for the past few days. Only one this morning.

Gregg
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07/24/2019 at 11:48 AM #103326

winnie37

i’ve this morning too

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Gregg

winnie37
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07/24/2019 at 2:47 PM #103359

Paul

Maximum position performance was in the backtest 0.35032 at 13:12

It got me out at a profit, but that would be depended on the fill because it’s so close.

You guys are out too at 13:36 or still long?

Paul
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07/24/2019 at 3:14 PM #103371

Gregg

Yes the maximum was at 13h12 for me as well. But still long.
Bit as I said before, I’m not sure to have the same latest version as you and AE.

Gregg
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07/24/2019 at 3:49 PM #103382

winnie37

always in too. Could you poste your current version, Paul?

winnie37
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07/24/2019 at 4:04 PM #103385

AE

Hi Folks,

I attach my version (with the Paul’s recomendations). Today it trade a long position but, I DON’T KNOW WHY, the position was closed at 13:36 pm (Madrid Time). I don’t know why was closed because on backtesting it still open.

This version is running in other live accounts of my friends and one of them was closed too but the rest of the accounts still trading the same position opened.

How is possible what with the same version of the strategy we have different closes?

Thanks

AE
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07/24/2019 at 5:00 PM #103394

AE

Hi again,

I just check it and the problem is the Bollinguer Bands. I did some test and with this new version, the BB doesn’t optimice really much but I don’t have 200k to check it better.

in addition, with the StopLoss activate, It seems that the Trailling Stop it’s not working. For that, I check to deactivate it and the results are incredible!

Who can test this three versions with 200k??

Thanks

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soad41, armin5, Stefanb

AE
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07/24/2019 at 5:15 PM #103402

Gregg

Thanks @AE! Here are your backtest with 200K…

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Stefanb, winnie37, AE

Gregg
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Strategy DayOpen Straddle for DAX

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