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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11/14/2018 at 2:06 PM #84850

Vonasi

PZonda5 – please use the ‘Insert PRT Code’ button when putting code in your posts as it makes it far easier for others to read.

I have tidied up your post for you. 🙂

Vonasi
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11/14/2018 at 2:26 PM #84855

PZonda5

Yeah, sorry for the messy post.

I just added the ITF files to keep it clean.

PZonda5
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11/14/2018 at 3:18 PM #84863

wp01

Hi PZonda5,

Please find attached the results of your itf. files on 200K bars for 3M, 10M and 15M.

Hope they match with your results.

Kind regards,

wp01
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11/14/2018 at 4:09 PM #84873

Paul

Hi Pzonda5 Interesting idea.

I want to make an extra addition to the code.

if longonmarket and date > date[1] and ecshort then sell at market endif if shortonmarket and date > date[1] and eclong then exitshort at market endif

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if longonmarket and date > date[1] and ecshort then
sell at market
endif
if shortonmarket and date > date[1] and eclong then
exitshort at market
endif

Paul
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11/14/2018 at 9:29 PM #84886

GraHal

Paul wrote:

date > date[1] and ecshort

do you mean tcshort?

I have no ecshort in the code version I am using? 🙂

GraHal
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11/14/2018 at 9:57 PM #84889

wp01

@GraHal,

I just put it in the version of PZonda5. In that version it works. I got the same results Paul posted.

wp01
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11/14/2018 at 10:41 PM #84892

GraHal

wp01 wrote:

I just put it in the version of PZonda5

Did you put it in one of PZonda5 .itf’s?

I checked back and Paul’s version in the post below does contain ecshort and eclong.

Paul wrote:

Here’s an update of the code.

GraHal
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11/14/2018 at 10:57 PM #84894

GraHal

I feel like I’ve lost it!!

I’ve just put Paul’s code and PZonda5’s code (from his 3 min .itf ) on the diff checker site below and the codes are nothing like each other!? 🙂

I’ll try again in the morning.

https://www.diffchecker.com/diff

GraHal
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11/14/2018 at 11:06 PM #84895

pippo999

Dear all, who could help me to put a code in the system.

I want to double a positionsize only after a losing trade. Thanks in advance.

pippo999
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11/14/2018 at 11:16 PM #84896

GraHal

GraHal wrote:

the codes are nothing like each other!?

Sorted! Something got screwed up somehow!

There are about 9 differences and ecshort eclong are in both versions!

GraHal wrote:

do you mean tcshort?

The tcshort I referred to above was part of Paul’s original code in the Library.

So I’m not losing it after all! 🙂

Goodnight All

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Inertia, wp01

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11/15/2018 at 6:23 AM #84899

wp01

pippo999,

I’m not sure if this is the right way to think. Sounds more like a roulette system.

I think it is better to reinvest the profits.

wp01
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11/16/2018 at 6:53 AM #84980

Harrys

Paul wrote:

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

Isn’t that overoptimizing? is your reason just bad performance?

thanks for sharing the strategy though.

Harrys
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11/16/2018 at 7:38 AM #84984

Paul

@Harrys

To me it isn’t over-optimising, for you maybe it is. In my opinion markets tend to behave differently on holidays and maybe even the day before or after because of low volume. Even when the markets in the VS are closed can have some impact.

Skipping first weeks of the year gives the market a bit of time to get back to normal after the holidays. Indeed the performance was not good for couple of years.

In general, I don’t want to trade every trading-day.

Paul
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11/16/2018 at 8:02 AM #84986

Harrys

Paul wrote:

@harrys

To me it isn’t over-optimising, for you maybe it is. In my opinion markets tend to behave differently on holidays and maybe even the day before or after because of low volume. Even when the markets in the VS are closed can have some impact.

Skipping first weeks of the year gives the market a bit of time to get back to normal after the holidays. Indeed the performance was not good for couple of years.

In general, I don’t want to trade every trading-day.

Ok, thanks for you answer and reasoning!

Harrys
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11/16/2018 at 8:11 AM #84987

Vonasi

Harrys wrote:

Isn’t that overoptimizing? is your reason just bad performance?

You might be interested in this topic:

https://www.prorealcode.com/topic/weekly-seasonality-analysis/#post-84420

The images in the first post show all time performance for opening a position in each week of the year and then closing it based on very simple exit criteria in four popular markets. Historically some markets have performed better or worse depending upon the time of year – such as the FTSE Santa rally and the sell and go away in May theories. These results seem to confirm that. Whether the seasonality continues in the future is any ones guess but with the rolling look back indicator that I coded I am trying to test whether only trading in historically good weeks would have given any edge.

Vonasi
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Strategy DayOpen Straddle for DAX

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