Strategy DayOpen Straddle for DAX

• 11/16/2018 at 9:32 AM #84989
  Harrys

  Havent  thought about using seasonality before so thanks for the info!

  

  Harrys

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  11/17/2018 at 6:35 PM #85112
  ullle73

  how come it takes a short on this trade? Look at my pic, opens up above x points. High of that candle is lower than lowest high of prev 2 daily?

  

  ullle73

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  11/17/2018 at 7:00 PM #85114
  ullle73

  ullle73 wrote:

  how come it takes a short on this trade? Look at my pic, opens up above x points. High of that candle is lower than lowest high of prev 2 daily?

  thah should be a long?

  If High > Dayopen+nopl Then
  Mclong=1

  

  ullle73

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  11/18/2018 at 1:19 AM #85121
  Paul

  @ullle73, could you plz provide the settings you used and modified?

   

  

  Paul

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  11/18/2018 at 11:04 AM #85130
  ullle73

  Paul wrote:

  @ullle73, could you plz provide the settings you used and modified?

  i only modified:

  NOP=2 //number of points

  and stoploss+target

  

  ullle73

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  11/18/2018 at 11:05 AM #85131
  ullle73

  used the original code you did, from dax 3 min

  

  ullle73

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  11/18/2018 at 11:18 AM #85133
  volpiemanuele

  my settings

  L = 0.88 // % Stoploss PT = 1.41 // % 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=13 //number of points long Nops=14 //number of points short Endif

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  L    = 0.88 // % Stoploss PT    = 1.41 // % 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=13 //number of points long Nops=14 //number of points short Endif

  These are my settings for time frame 3 minutes. Best result with optimization and WFA analysis with 7 period.

   

  Nopl and Nops are the point that the system add to Dayopen (Open of candle of 09:00) in order to test for the high for each candles starting from 9:00 until 10:00

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  capgros, Paul, armin, GraHal

  

  volpiemanuele

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  11/18/2018 at 11:19 AM #85134
  volpiemanuele

  With the copy and paste I have made a mistak…replace L with SL…sorry

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  armin, GraHal

  

  volpiemanuele

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  11/18/2018 at 7:34 PM #85153
  Paul

  @ullle73, I can’t duplicate your trade, but here’s a quick indicator code which can be used to understand trades.

  TimeOpen=090000 nopL=2 nopS=2 If time = TimeOpen then BaseLine=open BuyLine=BaseLine+nopL ShortLine=BaseLine-nopS endif RETURN BaseLine COLOURED(0,0,0) as "BaseLine", BuyLine COLOURED(0,128,0) as "BuyLine", ShortLine COLOURED(255,0,0) as "ShortLine"

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  TimeOpen=090000 nopL=2 nopS=2   If time = TimeOpen then BaseLine=open BuyLine=BaseLine+nopL ShortLine=BaseLine-nopS endif   RETURN BaseLine COLOURED(0,0,0) as "BaseLine", BuyLine COLOURED(0,128,0) as "BuyLine", ShortLine COLOURED(255,0,0) as "ShortLine"

  If you add this to the pricechart, you will see that the open is taken 1 bar before 9u am.

  

  Paul

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  11/19/2018 at 7:48 PM #85212
  ullle73

  Paul wrote:

  @ullle73, I can’t duplicate your trade, but here’s a quick indicator code which can be used to understand trades.

  TimeOpen=090000<br /> nopL=2<br /> nopS=2</p> <p>If time = TimeOpen then<br /> BaseLine=open<br /> BuyLine=BaseLine+nopL<br /> ShortLine=BaseLine-nopS<br /> endif</p> <p>RETURN BaseLine COLOURED(0,0,0) as “BaseLine”, BuyLine COLOURED(0,128,0) as “BuyLine”, ShortLine COLOURED(255,0,0) as “ShortLine”

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  TimeOpen=090000 nopL=2 nopS=2 If time = TimeOpen then BaseLine=open BuyLine=BaseLine+nopL ShortLine=BaseLine–nopS endif RETURN BaseLine COLOURED(0,0,0) as “BaseLine”, BuyLine COLOURED(0,128,0) as “BuyLine”, ShortLine COLOURED(255,0,0) as “ShortLine”

  If you add this to the pricechart, you will see that the open is taken 1 bar before 9u am.

  what? no? in my pic it shows the daily on the front pic, and the big  pic behind is 5 min.

   

   

  

  ullle73

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  11/19/2018 at 8:02 PM #85214
  ullle73

  so if it opens down 4 points, and my settings on nopl/nops = 4, it only takes longs? and if it opens up by 4 points, it only takes shorts?

  

  ullle73

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  11/19/2018 at 8:06 PM #85215
  Inertia

  Hi, this picture may help you.

  thx.

  

  Inertia

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  11/19/2018 at 8:17 PM #85217
  ullle73

  Inertia wrote:

  Hi, this picture may help you.

  thx.

  so it decides to long/short based on what line gets hit the first? If price reach green it takes a short? and if it reaches red first, it takes a long?

  

  ullle73

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  11/19/2018 at 8:38 PM #85219
  ullle73

  “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.”

   

  This does not seem correct. Look at my picture, as Paul wrote in the original text, if price goes x points above open, it should be a long? my system takes shorts when that happens

  

  ullle73

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  11/19/2018 at 9:21 PM #85224
  ullle73

  something is really off here. When i look at my code who got in short yesterday, here is the code:

  2 points for omx

  //------------------------------------------------------------------------- // Main code : DailyOpen Straddle OMX NYY //------------------------------------------------------------------------- //------------------------------------------------------------------------- // 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=2 //number of points long Nops=2 //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 : DailyOpen Straddle OMX NYY //------------------------------------------------------------------------- //------------------------------------------------------------------------- // 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=2 //number of points long Nops=2 //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"

  BUT when i backtest it today, it enters long, but on automatic it took a short?! why?

  

  ullle73

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