investor behavior
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I am concerned with the question of how investor behaviour behaves.
In a simple code below, I have found with the 4H timebase that Monday morning investor behavior is different than Tuesday morning, compare the attachments.
If I set the time base to 4H, the result is much better.
I have the assumption that on certain weekdays and weekdays people have different investor behaviour at certain times.
I’d like to use that in trading.
So I wanted to ask whether someone here, or someone else, has an indicator or is able to program an indicator that, similar to the seasonal patterns from the Pathfinder system, reflects the timebased patterns during the week in investor behavior.P. S. The main code is the “negative”, i. e. the short version of the “DailyOpenLong”, which lives from the RepulseStop in a way that is not generally recognized.
First : Storm with timebase, german time, gmt +1, Dax 1 Euro 4H
Second (next post): Storm without timebase, german time, gmt +1, Dax 1 Euro 4H
Please check it yourself.
//------------------------------------------------------------------------- // Maincodce STORM ... ShorT On Rising Markets // 4H Short Repulse Timebased //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Haupttode : 4H Short Repulse //------------------------------------------------------------------------- // Dax 1 Euro Mini // TimeFrame 4H // maincode: 4H Short with Repulse-Stop // created by JohnScher // defparam flatafter = 210000 defparam cumulateorders = true Once position = 1 c1 = cci [21] (close) >-95 // to get out some special situations c2 = TR (close) >24 // nice condition c3 = repulse [3] (close) <0.1 // mine t1 = dayofweek = 1 and time = 130000 // timebase t2 = dayofweek = 1 and time = 170000 // timebase t3 = dayofweek = 2 and time = 090000 // timebase t4 = dayofweek = 2 and time = 130000 // timebase t5 = dayofweek = 3 and time = 130000 // timebase t6 = dayofweek = 4 and time = 090000 // timebase t7 = dayofweek = 4 and time = 130000 // timebase t8 = dayofweek = 5 and time = 090000 // timebase TradingTimeShort = t1 or t2 or t3 or t4 or t5 or t6 or t7 or t8 IF TradingTimeShort Then IF c1 and c2 and c3 Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position CONTRACTS AT MARKET Endif Endif Endif If repulse [3] (close) >0.1 then Exitshort at market Endif // not tested // on other major indizes // with Seasonalpatternmultipler from Pathfinder-Systems // with some Re-invest-Stategies // greets JohnScherTranslated with http://www.DeepL.com/Translator
And here without timebase
//------------------------------------------------------------------------- // Maincodce STORM ... ShorT On Rising Markets // 4H Short Repulse Timebased //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Haupttode : 4H Short Repulse //------------------------------------------------------------------------- // Dax 1 Euro Mini // TimeFrame 4H // Haupttode : 4H Short with Repulse-Stop // treated by JohnScher // tested 08.04.2013 - 26.11.17 with PRT 10.3 // 2 Points Spread // won 161 loose 212 // max DrawDown 853 Euro max RunUp 5.035 // winnings total 4,473 Euro defparam flatafter = 210000 defparam cumulateorders = true Once position = 1 c1 = cci [21] (close) >-95 c2 = TR (close) >24 c3 = repulse [3] (close) <0.1 TradingDayShort = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayofweek = 5 TradingTimeShort = time = 090000 or time = 130000 or time = 170000 If TradingDayShort and TradingTimeShort Then IF c1 and c2 and c3 Then IF Exponentialaverage [1] (close) < ExponentialAverage [4] (close) THEN sellshort position CONTRACTS AT MARKET Endif Endif Endif If repulse [3] (close) >0.1 then Exitshort at market Endif // not tested // on other major indizes // with Saisonalpatternmultipler from Pathfinder-Systems // with some Re-invest-Stategies // greets JohnScherHello again.
I wasn’t really interested in the behaviour of the BigBoys and their boredom.
I was more concerned with the fact that investor behaviour on a Monday morning is different than on a Tuesday noon.
Did you notice something like that too?
What I mean is something like this….
Code 1 is intended to effect Monday 090000 Long to Monday 130000.
IF OpenDayofweek = 1 and Time = 090000 then buy 1 contract at market Endif If Time = 130000 Then sell at market EndifResult see attachment
Code 2 is intended to effect Tuesday 130000 Long to Tuesday 170000
IF OpenDayofweek = 2 and Time = 130000 then buy 1 contract at market Endif If Time = 170000 Then sell at market EndifResult see attachment
Amazing or?
If anything, 21:00 is a good time to short the eurusd but that is probably because a lot of traders exit at 21:00 (GMT / UTC +0) so they don’t hold overnight?
I think that Forex is a probably more of a problem when searching for this sort of investor behaviour as it is more of a 50/50 casino IMHO. Indices I feel would be more likely to have some sort of investor behaviour time based bias. Having said that my attempts at using Excel on the DAX to try to find some sort of pattern have just resulted in an over-whelming feeling of randomness. I fear the data sample of 100k bars is too small to be of any use and even if I tested on more I fear the result would be similar.
I used OpenTime rather than Time to make sorting the order more logical and highlighted the top 25% best results. Chart and Excel book attached.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/12/2018 |
| Status: | Active |
| Attachments: | 27 files |
