Strategy DayOpen Straddle for DAX

• 11/21/2018 at 11:50 PM #85447
  pippo999

  Oh great, thanks for the feedback.

  

  pippo999

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  11/22/2018 at 4:07 PM #85495
  ullle73

  please, can someone try to explain why this happens, i really dont get it !

   

  When i backtest the strategy it goes SHORT but automatic trading took a LONG today….

  

  ullle73

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  12/02/2018 at 10:43 AM #86172
  eugenio

  buongiorno paolo volevo mostrarti alcune modifiche sul tuo lavoro , io sono neofita ho appena iniziato a capirci qualcosa ,

  quindi mi scuserai se mostro cavolate , ho fatto anche il djons a 10 minuti e funziona bene , i dati che ti mostro sono non più di un anno ma li ho testi anche sui 2 anni e funzionano bene .

  ho escluso il Trailing stop da tutti perché funziona meglio e da risultati migliori .

  domani inizio a metterli sul reale con piccola size , cosa ne pensi  ?

  grazie ancora x il lavoro che hai svolto

  eugenio

  

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  12/02/2018 at 10:53 AM #86177
  eugenio

  scusa dimenticavo ho fatto tutti i conti e la resa dei mesi del 2018 e ho notato che il mese di agosto non è da tradare ,

  ho escluso gennaio che non rende

  guarda i risultati e dimmi cosa ne pensi

  grazie

  eugenio

  

  eugenio

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  12/02/2018 at 11:03 AM #86179
  eugenio

  chiaramente mi piacerebbe un opinione anche da tutti ,

  sempre ne valga la pena

  grazie

  eugenio

  

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  12/02/2018 at 11:20 AM #86180
  robertogozzi

  @eugenio

  sul forum inglese scrivi in inglese. Grazie.

  

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  12/02/2018 at 11:35 AM #86182
  eugenio

  I apologize again in English

  hello paolo I wanted to show you some changes on your work, I’m neophyte I just started to understand something,

  so you will excuse me if I show stupid things, I have also done the djons 10 minutes and it works well, the data I show you are not more than a year but I have them even on 2 years and they work well.

  I have excluded the Trailing stop from everyone because it works better and results better.

  Tomorrow I start to put them on the real with a small size, what do you think?

  I made all the accounts and the yield of the months of 2018 and I noticed that the month of August is not to be traded,

  I excluded January that does not make

  thanks again for the work you have done
  clearly I would like an opinion from everyone,

  eugenio

  

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  12/02/2018 at 12:05 PM #86187
  volpiemanuele

  Hi,

  can you share the strategy version for SP500 ?

  
  @eugenio: It could be a solution, but I preferred to do an optimization to keep high percentage of positive trade minimizing the DD. So I kept the trailing.

  thanks

   

  

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  12/02/2018 at 12:08 PM #86188
  eugenio

  //------------------------------------------------------------------------- // Main code : Open SP500 3 minuti  NY //------------------------------------------------------------------------ // 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 = 10 SL = 0.5 // % Stoploss PT = 1.30 // % Profit Target MFETS = 2// % Mfe Trailing Stop BES = 2 // % Break Even Stop BESMP = 2 // % Break Even Stop Minimum Profit WTSMP = 2 // % 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=4 //number of points long Nops=5//number of points short Endif // Day & Time Once Entertime = 153000 Once Lasttime = 160000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=220000 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

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  //------------------------------------------------------------------------- // Main code : Open SP500 3 minuti  NY //------------------------------------------------------------------------   // 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 = 10 SL = 0.5 // % Stoploss PT = 1.30 // % Profit Target MFETS = 2// % Mfe Trailing Stop BES = 2 // % Break Even Stop BESMP = 2 // % Break Even Stop Minimum Profit WTSMP = 2 // % 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=4 //number of points long Nops=5//number of points short Endif   // Day & Time Once Entertime = 153000 Once Lasttime = 160000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=220000   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

   

  

  eugenio

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  12/02/2018 at 1:52 PM #86193
  Vonasi

  eugenio – 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. 🙂

  Attaching an exported ITF file can also be a useful alternative when the code is quite large.

  

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  12/02/2018 at 2:32 PM #86197
  eugenio

  good morning ,
  I did not know, you tell me where I find ‘Insert PRT Code’ button?
  thanks for the instruction, unfortunately I’m new on this forum
  eugenio

  

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  12/02/2018 at 3:20 PM #86198
  Paul

  @eugenio

  Thanks for posting!

  I like to keep the mfe trailing stop and the breakeven.

  It may look that the total results are better with trailing stop disabled, but are you ready to see a gain nearing a profit target go back to your stoploss level?

  A SL too small may get you out quickly.

  a correction in the code

  // Long & Short Entry If not onmarket and Tradetime Then

  1 2	// Long & Short Entry If not onmarket and Tradetime Then

   

  

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  12/02/2018 at 4:21 PM #86200
  eugenio

  true what you say Paul, but the results speak clearly, the trailing too many times affect the overall gain, if I know, as from the test that the total and greater gain I prefer lose,

  clearly this consideration is very personal, so I fully share your expression, you did well to put the trailing stop, then it’s up to everyone to do what they think.
  however, the fact remains that your work is fantastic.
  Have you already used it in real?
  I start tomorrow
  Thanks again
  eugenio

  

  eugenio

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  12/02/2018 at 4:38 PM #86201
  Vonasi

  eugenio – This is where you find the ‘Insert PRT Code’ button.

  

  

  Vonasi

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  12/02/2018 at 5:15 PM #86205
  Paul

  Yes, i’am running it live and the results are similar to the backtest!

  A trailing stop, especially the small one, can get you out quickly.

   

  If you prefer to disable the trailing stop, you can still use the breakeven.

  i.e. when a position is in profit for 0.35% it moves the breakeven stop from -1.00 to -.0.50%

  At a quick glance, it improves the results.

  edit; tested the sp500 3min

  

  Paul

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