Hello everyone.

I have coded for PRT this strategy that is based on the publicly available informations on Andrea Unger idea which exploits the fact that the FTSE Mib goes up mainly during night hours.

The idea is simple: buy the index at 5.30 PM and sell it at 9.30 AM.

In the code I added some filters that were discussed in a webinar by Andrea Unger, basically you buy the index at 5.30PM if the open price at 09.30 is < of the previous close and if the closing price at 5.30 pm is lower than the 2 previous daily lowest.

Results and code is attached.

Let me know what you think!

Many thanks

Francesco

// Definition of code parameters
DEFPARAM CumulateOrders = False // Cumulating positions deactivated
timenter = time = 173000
timexit = time = 093000

timeobsopen = time = 093000
if timeobsopen Then
 priceopen = open
endif

timeobsclose = time = 173000
if timeobsclose then
 priceclose = open
endif

c1 = priceopen < DClose(1)
min1 = Dlow(1)
min2 = Dlow(2)
//min3 = Dlow(3)
result = Min(min1,min2)
//minimo = Min(result,min3)

c2 = (priceclose <= result)
size = 5

c3 = c1 and c2

IF c3 AND timenter  THEN
 BUY size PERPOINT AT MARKET
ENDIF

if timexit then
 sell at market
endif