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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01/18/2021 at 5:11 PM #158333

jmf125

I like to rerun from time to time old strategies that were showing great equity curve in past years, and see what we would get now.

Running any of the Dayopen Straddle for DAX strategies are now showing very poor results.

I guess it just shows that no strategies are forever, or that the strategies at the time were more curve fitting than real strategies.

jmf125
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01/18/2021 at 6:13 PM #158342

Monobrow

Curve-fitting is not great and clearly we’d all love the holy grail of an algo hitting 100% win with 1 indicator…. but I wouldn’t rule something out just because it requires regular (weekly, monhtly, quarterly) optimisation. Sure, if you keep running something blind it will fail but that doesn’t mean its not viable at all.

Monobrow
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