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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08/18/2019 at 2:56 PM #104994

Paul

@Jaykay its performance was already questionable in a downtrend. See page 9 and it appeared to be so!

Green bars and a nice equity curve, even with 100+ trades, don’t bear much meaning if the market changes direction.

@Stefanb always nice to see it tested on other markets. You can have surprises!

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Jaykay

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08/18/2019 at 6:03 PM #105013

Magifina

I think the strategy doesn’t perform well in downtrends because of the value of “entertime” and “lasttime” variables. If you chose a different time like 21 o’ clock it will be the opposite. It will perform in downtrends but not in uptrends.

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Paul

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08/18/2019 at 8:11 PM #105027

winnie37

Stefanb wrote:

Modified the code a bit and tested it on USA 500 with timeframe 30 sec and spread 1.6.

You have very little data in 30 sec, but the graph looks interesting.

someone could test with a larger period?

MODERATORS EDIT: Excessive amount of unnecessary quoted code removed. Please avoid quoting large amounts of code in your replies.

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10/21/2019 at 1:48 PM #110704

Gubben

Since running variants of this in both demo and live I’ve had the feeling that the dax daily open has a strong tendency to fool this strategy the first minute about which direction things will go.

I have tested to run ‘once entertime = 090200’ instead of ‘090000’ and since 30 september G/L of this version has been 3.82, (same profitability both long and short) compared to backtest of ‘090000’ version which gives 1.73 G/L and losing on short positions.

I haven’t studied this strategy deeply so maybe I am missing something and how it could impact the strategy performance over time.

Any thoughts?

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10/21/2019 at 7:36 PM #110755

Silvia Brugnolaro

You try with ‘once entertime=090000’ and timeframe=2 minute

Silvia Brugnolaro

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10/21/2019 at 7:52 PM #110758

Gubben

Actually I tried with 1 minute. No change there. Or is that a suggestion?

Gubben

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10/21/2019 at 8:01 PM #110759

Gubben

Silvia Brugnolaro wrote:

You try with ‘once entertime=090000’ and timeframe=2 minute

OK I see what you mean now. It doesn’t quite give the same results since 30 september.

Gubben

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10/22/2019 at 10:24 AM #110809

Silvia Brugnolaro

You have to test a system over a longer period: set up 100,000 units (x units)

MODERATORS EDIT: I have deleted your accidental identical post in the other forum.

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01/02/2020 at 5:03 AM #115725

Paul

an update to this strategy

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01/08/2020 at 7:11 PM #116235

midel

Good evening,
I have backtested your strategy for the last 6 months of 2019: it looks promising!

What were the real results for the first 6 months of 2019 and previous years?

midel

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01/13/2020 at 1:57 PM #116644

funkystuff

Hi guys !

impressive results with this strategy !
Can I have a consideration that may improve the results ?
With my poor 100k of backtest, I have the impression by watching on higher timeframe H1 that we manage to decrease the losses?
Explanation : with each losing trade, i saw (in H1) the 9 o’clock candle closes in the wrong direction of the position. But the reverse works almost all the time.

I’m sorry to ask but I’m bad in programming !
Is it possible to add a position closure if the 9 o’clock candle H1 closes in the wrong direction?

thank you so much and thanks to your jobs 😉

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01/14/2020 at 1:39 AM #116713

Paul

@funkystuff

Thanks for the suggestion!

on top:

defparam cumulateorders = false
defparam preloadbars = 10000

TIMEFRAME (default)

defparam cumulateorders = false

defparam preloadbars = 10000

TIMEFRAME (default)

next above entry

// added suggestion funkystuff
TIMEFRAME (1 hour, updateonclose)

once toggle1=1

if toggle1 then
if intradaybarindex=9 then
if longonmarket then
if close<open then
sell at market
endif
endif
if shortonmarket then
if close>open then
exitshort at market
endif
endif
endif
endif
TIMEFRAME (default)

// added suggestion funkystuff

TIMEFRAME (1 hour, updateonclose)

once toggle1=1

if toggle1 then

if intradaybarindex=9 then

if longonmarket then

if close<open then

sell at market

endif

if shortonmarket then

if close>open then

exitshort at market

endif

TIMEFRAME (default)

Paul

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01/14/2020 at 8:44 AM #116726

funkystuff

Arrfff I was wrong… 🙁
However I was convinced !! Damn it !

Really thanks Paul and sorry to lose your time

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01/14/2020 at 5:39 PM #116795

Francesco

I tried to add a breakeven function at the code on 3 min timeframe, and these are the results of the last month.

Francesco

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01/14/2020 at 6:41 PM #116805

Paul

@funkystuff np! I that’s why I post them, to get new ideas.

@Francesco Petrone Looks nice but it needs more data to test. Can you post the code or adjustments?

Paul

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