Strategy DayOpen Straddle for DAX

• 11/08/2018 at 7:31 PM #84444
  ullle73

  GraHal wrote:

  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.

  or can you explain in plain english what a buy signal for this system is?

  

  ullle73

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  11/08/2018 at 8:06 PM #84445
  Paul

  min1 = MIN(dhigh(0),dhigh(1)) min2 = MIN(dhigh(1),dhigh(2))

  1 2	min1 = MIN(dhigh(0),dhigh(1)) min2 = MIN(dhigh(1),dhigh(2))

  This code above finds the lowest value from the daily high’s, today, yesterday and day before

  tcxLong = high < MIN(min1,min2)

  1	tcxLong = high < MIN(min1,min2)

  This code above checks that the high of the i.e. 10min bar is lower than the lowest value from first code.

  My reasoning  for this long criteria, is that a previous daily high’s are a selling level, a resistance.

  So, if the current high is below that, it has generally speaking a bit of room to increase and therefore also has more chances to make a profit.

  

  Paul

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  11/08/2018 at 8:35 PM #84446
  ullle73

  Paul wrote:

  min1 = MIN(dhigh(0),dhigh(1))<br /> min2 = MIN(dhigh(1),dhigh(2))

  1 2	min1 = MIN(dhigh(0),dhigh(1)) min2 = MIN(dhigh(1),dhigh(2))

  This code above finds the lowest value from the daily high’s, today, yesterday and day before

  tcxLong = high < MIN(min1,min2)

  1	tcxLong = high < MIN(min1,min2)

  This code above checks that the high of the i.e. 10min bar is lower than the lowest value from first code.

  My reasoning for this long criteria, is that a previous daily high’s are a selling level, a resistance.

  So, if the current high is below that, it has generally speaking a bit of room to increase and therefore also has more chances to make a profit.

  could you explain in the most simple english what a buy signal for this system is? if i would like to try it manually

  

  ullle73

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  11/09/2018 at 10:25 PM #84514
  volpiemanuele

  Hi, It make some optimisation with time frame 3 minute and 10 minute with the combine william & trailing and the result are very good. In your opinini which time frame is the best ? Thanks

  3 minute time frame best result

  sl = 0.94 // % Stoploss pt = 1.41 // % Profit Target ts = 0.35 // % MFETrailing // indicator settigns NOP=15 //number of points

  1 2 3 4 5 6

  sl = 0.94  // % Stoploss pt = 1.41 // % Profit Target ts = 0.35  // % MFETrailing   // indicator settigns NOP=15 //number of points

  best parameters for 10 minutes time frame

  sl = 1.15 // % Stoploss pt = 1.5 // % Profit Target ts = 0.35 // % MFETrailing // indicator settigns NOP=24 //number of points

  1 2 3 4 5 6

  sl = 1.15  // % Stoploss pt = 1.5 // % Profit Target ts = 0.35  // % MFETrailing   // indicator settigns NOP=24 //number of points

   

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  11/10/2018 at 6:19 PM #84549
  Paul

  Good results!

  You can optimise each timeframe to to smallest details. However I like to compare it with the same basic parameters.

  SL 1.0, PT 1.5 and MFE 0.35

  Also important. take 200k bars for the 3minute and set the same startdate to the 10 minute timeframe.

  Now you compare the same periode, with the same basic parameters.

  That’s means only the NOP is left. (number of points difference to dayopen at 9u)

  In testing it seemed that the NOP for long can be a bit lower then NOP for short. So you can split them and have better results.

  for 3 min. NOP long at 12, NOP short at 15 (i use 3 points incremental)

  for 10 min NOP long at 18, NOP short at 21 or 24

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  Paul

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  11/10/2018 at 8:40 PM #84553
  Inertia

  Thank you Paul for your strategy.

  Probabiliste looks interesting. I was even close to go live but i left them on “incubation” for couple of trades. Will see.

  However, instead of Nop in pts, i replaced it by:

  // indicator settigns
  NOP= (close*0.0022)/pointsize

  It seems more adaptative (IMO).

  

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  11/10/2018 at 10:36 PM #84559
  Paul

  Thnx for your input.

  At the moment the code has an option to use a percentage.

  If Usepercentage Then Nopl=(Dayopen/100)*0.15 Nops=(Dayopen/100)*0.15 Else Nopl=27 Nops=25 Endif

  1 2 3 4 5 6 7

  If Usepercentage Then Nopl=(Dayopen/100)*0.15 Nops=(Dayopen/100)*0.15 Else Nopl=27 Nops=25 Endif

  I changed that now so it uses also pointsize.

  If Usepercentage Then Nopl=((Dayopen*0.27)/100)/pointsize Nops=((Dayopen*0.25)/100)/pointsize Else Nopl=27 Nops=25 Endif

  1 2 3 4 5 6 7

  If Usepercentage Then Nopl=((Dayopen*0.27)/100)/pointsize Nops=((Dayopen*0.25)/100)/pointsize Else Nopl=27 Nops=25 Endif

  

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  11/10/2018 at 10:56 PM #84560
  Paul

  Here’s an update of the code. If anyone find improvements or other markets plz post!

  Attached screenshot of 3 min bar 200k and same period for 10 minutes.

   

  //------------------------------------------------------------------------- // Main Code : Straddle Dayopen V2.0 //------------------------------------------------------------------------- // Test On DAX 30 Cash 10 Minute Timeframe 200k bars or from 1/1/2015 // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000 // On/off Extratradecriteria = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before. Usepercentage = 0 // The Minimum Difference In Percentage [[1] From Dayopen Or In Points [0] From Dayopen Mfetrailing = 1 // Mfe Trailing Stop Wtrailing = 1 // Williams 3 Bar Trailing Stop Breakevenstop = 1 // Breakevenstop, Move Stoploss When Position Is In Profit. Excludefirsttwoweeks = 1 // Exclude The First 2 Weeks Of Every Year (Weeknumber 1 And 2) // Settings Positionsize = 1 SL = 1.00 // % Stoploss PT = 1.50 // % Profit Target MFETS = 0.35 // % Mfe Trailing Stop BES = 0.35 // % Break Even Stop BESMP = 0.05 // % Break Even Stop Minimum Profit WTSMP = 0.50 // % Williams Trailing Stop Minimum Profit If Mfe Trailing Stop Is Not Used ETD = 0 // Exclude a Trade Day; Sunday = 0 If Usepercentage Then Nopl=((Dayopen*0.15)/100)/pointsize Nops=((Dayopen*0.15)/100)/pointsize Else Nopl=24 //number of points long Nops=24 //number of points short Endif // Day & Time Once Entertime = 090000 Once Lasttime = 100000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=173000 If Excludefirsttwoweeks=1 Then If Year=2015 And Month=1 And (Day>=1 And Day<=18) Then Notrading = 1 Elsif Year=2016 And Month=1 And (Day>=1 And Day<=24) Then Notrading = 1 Elsif Year=2017 And Month=1 And (Day>=1 And Day<=22) Then Notrading = 1 Elsif Year=2018 And Month=1 And (Day>=1 And Day<=21) Then Notrading = 1 Elsif Year=2019 And Month=1 And (Day>=1 And Day<=20) Then Notrading = 1 Else Notrading = 0 Endif Endif Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 and Notrading = 0 And Dayofweek <> ETD // Reset At Start If Intradaybarindex = 0 Then Longtradecounter = 0 Shorttradecounter = 0 Tradecounter = 0 Mclong = 0 Mcshort = 0 Endif // [pc] Position Criteria Pclong = Countoflongshares < 1 And Longtradecounter < 1 And Tradecounter < 1 Pcshort = Countofshortshares < 1 And Shorttradecounter < 1 And Tradecounter < 1 // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2)) Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2)) Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif // Long & Short Entry If Tradetime Then If Pclong and Mclong And Eclong Then Buy Positionsize Contract At Market Longtradecounter=longtradecounter + 1 Tradecounter=tradecounter+1 Endif If Pcshort and Mcshort And Ecshort Then Sellshort Positionsize Contract At Market Shorttradecounter=shorttradecounter + 1 Tradecounter=tradecounter+1 Endif Endif // Break Even Stop If Breakevenstop Then If Not Onmarket Then Newsl=0 Endif If Longonmarket And close-tradeprice(1)>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)+((Tradeprice/100)*BESMP)*pipsize Endif If Shortonmarket And Tradeprice(1)-close>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)-((Tradeprice/100)*BESMP)*pipsize Endif If Newsl>0 Then Sell At Newsl Stop Exitshort At Newsl Stop Endif Endif // Exit Mfe Trailing Stop If Mfetrailing Then Trailingstop = (Tradeprice/100)*MFETS 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 Williams Trailing Stop If Wtrailing 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 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 Mfetrailing=0 And Positionperf>WTSMP Then If Low[1]>ref And High<ref Then Sell At Market Endif If High[1]<ref And Low>ref Then Exitshort At Market Endif Endif If Onmarket And Mfetrailing=1 And Priceexit>0 Then If High<ref Then Sell At Market Endif If Low>ref Then Exitshort At Market Endif Endif Endif // Exit At Closetime If Onmarket Then If Time >= Closetime Then Sell At Market Exitshort At Market Endif Endif // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefr) Then Sell At Market Exitshort At Market Endif Endif // Build-in Exit Set Stop %loss SL Set Target %profit PT //graph 0 Coloured(300,0,0) As "Zeroline" //graph (Positionperf*100)coloured(0,0,0,255) As "Positionperformance"

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  //------------------------------------------------------------------------- // Main Code : Straddle Dayopen V2.0 //------------------------------------------------------------------------- // Test On DAX 30 Cash 10 Minute Timeframe 200k bars or from 1/1/2015   // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000   // On/off Extratradecriteria   = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before. Usepercentage        = 0 // The Minimum Difference In Percentage [[1] From Dayopen Or In Points [0] From Dayopen Mfetrailing          = 1 // Mfe Trailing Stop Wtrailing            = 1 // Williams 3 Bar Trailing Stop Breakevenstop        = 1 // Breakevenstop, Move Stoploss When Position Is In Profit. Excludefirsttwoweeks = 1 // Exclude The First 2 Weeks Of Every Year (Weeknumber 1 And 2)   // Settings Positionsize = 1 SL    = 1.00 // % Stoploss PT    = 1.50 // % Profit Target MFETS = 0.35 // % Mfe Trailing Stop BES   = 0.35 // % Break Even Stop BESMP = 0.05 // % Break Even Stop Minimum Profit WTSMP = 0.50 // % Williams Trailing Stop Minimum Profit If Mfe Trailing Stop Is Not Used ETD   = 0    //   Exclude a Trade Day; Sunday = 0 If Usepercentage Then Nopl=((Dayopen*0.15)/100)/pointsize Nops=((Dayopen*0.15)/100)/pointsize Else Nopl=24 //number of points long Nops=24 //number of points short Endif   // Day & Time Once Entertime = 090000 Once Lasttime  = 100000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=173000   If Excludefirsttwoweeks=1 Then If Year=2015 And Month=1 And (Day>=1 And Day<=18) Then Notrading = 1 Elsif Year=2016 And Month=1 And (Day>=1 And Day<=24) Then Notrading = 1 Elsif Year=2017 And Month=1 And (Day>=1 And Day<=22) Then Notrading = 1 Elsif Year=2018 And Month=1 And (Day>=1 And Day<=21) Then Notrading = 1 Elsif Year=2019 And Month=1 And (Day>=1 And Day<=20) Then Notrading = 1 Else Notrading = 0 Endif Endif   Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 and Notrading = 0 And Dayofweek <> ETD   // Reset At Start If Intradaybarindex = 0 Then Longtradecounter = 0 Shorttradecounter = 0 Tradecounter = 0 Mclong = 0 Mcshort = 0 Endif   // [pc] Position Criteria Pclong  = Countoflongshares < 1 And Longtradecounter < 1 And Tradecounter < 1 Pcshort = Countofshortshares < 1 And Shorttradecounter < 1 And Tradecounter < 1   // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif   If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif   If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif   // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2))   Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2))   Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif   // Long & Short Entry If Tradetime Then If Pclong and Mclong And Eclong Then Buy Positionsize Contract At Market Longtradecounter=longtradecounter + 1 Tradecounter=tradecounter+1 Endif If Pcshort and Mcshort And Ecshort Then Sellshort Positionsize Contract At Market Shorttradecounter=shorttradecounter + 1 Tradecounter=tradecounter+1 Endif Endif   // Break Even Stop If Breakevenstop Then If Not Onmarket Then Newsl=0 Endif If Longonmarket And close-tradeprice(1)>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)+((Tradeprice/100)*BESMP)*pipsize Endif If Shortonmarket And Tradeprice(1)-close>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)-((Tradeprice/100)*BESMP)*pipsize Endif If Newsl>0 Then Sell At Newsl Stop Exitshort At Newsl Stop Endif Endif   // Exit Mfe Trailing Stop If Mfetrailing Then Trailingstop = (Tradeprice/100)*MFETS 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 Williams Trailing Stop If Wtrailing 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 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 Mfetrailing=0 And Positionperf>WTSMP Then If Low[1]>ref And High<ref Then Sell At Market Endif If High[1]<ref And Low>ref Then Exitshort At Market Endif Endif   If Onmarket And Mfetrailing=1 And Priceexit>0 Then If High<ref Then Sell At Market Endif If Low>ref Then Exitshort At Market Endif Endif Endif   // Exit At Closetime If Onmarket Then If Time >= Closetime Then Sell At Market Exitshort At Market Endif Endif   // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefr) Then Sell At Market Exitshort At Market Endif Endif   // Build-in Exit Set Stop %loss SL Set Target %profit PT   //graph 0 Coloured(300,0,0) As "Zeroline" //graph (Positionperf*100)coloured(0,0,0,255) As "Positionperformance"

   

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  Paul

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  11/11/2018 at 9:24 AM #84575
  volpiemanuele

  @paul

  Hello, in the end we arrived at the same result. After the post I made the comparisons on 200k starting from the same period for 3 minutes and 0 minutes.
  Also I thought of dividing Nops between long and short. The results between 3 minutes and 10 minutes are similar. In your opinion, therefore, is it useful to use time frames 3 minutes or 10 minutes? Thanks

   

  

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  11/11/2018 at 9:59 AM #84583
  pippo999

  @Paul, thanks a lot for sharing.

  Do you use the mentioned code in a real account ?

  

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  11/11/2018 at 11:04 AM #84584
  pippo999

  What is the capital minimum required for this strategy ?

  

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  11/11/2018 at 11:20 AM #84585
  ullle73

  what would be the easiest way to spot an entry manually? Could someone write in simple english the entry rules? Dont understand all the coding…

  

  ullle73

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  11/11/2018 at 11:21 AM #84586
  Paul

  @pippo999, yeah real account. 1 contract minimum is about €600 (dax 30 1€), but to cover initial losses you should’ve €1200 capital to be comfortable.

  
  @volpiemanuele. Both are good and tradable. If you look at the profits, I would say they complement each other.

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  Paul

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  11/11/2018 at 11:22 AM #84587
  Paul

  Sorry can’t help you Jonas, I tried. But maybe someone else can!

  

  Paul

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  11/11/2018 at 6:08 PM #84632
  ullle73

  Paul wrote:

  Sorry can’t help you Jonas, I tried. But maybe someone else can!

  where did you try? have not seen a reply to my comment?

  

  ullle73

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