Strategy DayOpen Straddle for DAX

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11/04/2018 at 2:17 PM #84123 quote

Paul
Participant

Master

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

GraHal, Nicolas, Balmora74 and capgros thanked this post

Screenshot-2018-11-04-at-14.04.55-min.jpg Straddle-DayOpen.itf

11/04/2018 at 10:28 PM #84135 quote

GraHal
Participant

Master

This seems a very versatile strategy, I played with 2 variables and got results attached over 100k bars on the 1 min timeframe.

I’ve set them going on Demo Forward Test, I’ll let you know how they go.

Paul-2.jpg Paul-1.jpg

11/05/2018 at 6:47 PM #84198 quote

Paul
Participant

Master

Interesting results GraHal! Ofcourse i’am curious which variables you used.

Meantime I coded that holidays where excluded, with the day before and after the holiday.

Only focussed on the holidays which repeat every year.

If you can exclude them, it’s easy swap around and only display the holidays which are traded.

It isn’t worth it to include this code. Since results are slightly above 50 % winchance and with marginal profit.

11/05/2018 at 9:11 PM #84210 quote
Paul
Participant

Master
the code to combine Williams 3 bar trailing stop with MFE trailing stop

MFETrailing=1

WTrailing=1
```
// MFETrailing
if MFETrailing then
trailingstop = (tradeprice/100)*ts
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 larry williams
If WTrailing and MFETrailing 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
//inside bar
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 priceexit>0 then
if   high<ref then
sell at market
endif
If  low>ref then
exitshort at market
endif
endif
endif
```
11/05/2018 at 9:32 PM #84211 quote
GraHal
Participant

Master
Thank you Paul for sharing your latest good ideas!

Paul wrote:

i’am curious which variables you used.

Re my results posted above …

For v1.0 – variable values I used
```
sl = 0.9  // % Stoploss
pt = 0.40  // % Profit Target
ts = 0.35  // % MFETrailing

// indicator settigns
NOP=9 //15//number of points
TimeOpen=080000
```
For v1.1 – variable values I used
```
sl = 0.9  // % Stoploss
pt = 0.40  // % Profit Target
ts = 0.35  // % MFETrailing

// indicator settigns
NOP=36 //15//number of points
TimeOpen=080000
```
My TimeOpen is set at 080000 because I am in the UK … 1 hour behind you in the Netherlands.
11/06/2018 at 3:45 AM #84224 quote

Paul
Participant

Master

I too found that the stoploss 0f 0.6 is too small and set it to 1%. A profit target at 1.5%.

Also tested lower timesframes but in the end settled on 10min. because of the number trades, about 400 trades in 4 years.

Now it include the MFE with williams 3 bar trailing stop and a break even stop.

Compared new code left to original code right with same parameters. Still working on it.

GraHal thanked this post

Screenshot-2018-11-06-at-03.31.53-min.jpg

11/06/2018 at 4:41 PM #84244 quote

xpiga
Participant

Junior

Hi Paul. Great system!

Could you copy here the complete code with all the new improvements? And, if passible, the new results in 200k bars?

Thank you so much!!!

11/07/2018 at 9:59 AM #84300 quote

volpiemanuele
Participant

Veteran

Can I have the latest version of the strategy in order to improve it ?

Thanks

11/07/2018 at 10:16 AM #84302 quote

GraHal
Participant

Master

Paul wrote:

This strategy is the DAX-open straddle which is posted in the library as DayOpen Straddle for DAX 3-minute timeframe.

@xpiga and @volpiemanuele

Latest full working System is in the Library, but please also help Paul with improvements … for example, he has posted a Trailing Stop idea to be added in, tested and improved (maybe?) in the post below

Paul wrote:

the code to combine Williams 3 bar trailing stop with MFE trailing stop

Paul and NA thanked this post

11/07/2018 at 3:27 PM #84334 quote
Paul
Participant

Master
Still working on it.. A problem though,

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

Does PRT support week-numbers perhaps?

I want to make it optional to exclude those days.

How should I code this most efficiently?

If you add the code below, and add trading=0 to the buy criteria, it doesn’t work.
```
//skip first two weeks of the year (weeknumber 1 and 2)
IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=10) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
IF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=16) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
IF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=14) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
IF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=13) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
IF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=12) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
```
11/07/2018 at 4:18 PM #84340 quote
Vonasi
Moderator

Master
You can do something like this to convert YYYYMMDD to MMDD and then make decisions based on that.
```
mmdd = date - (round(date /10000) * 10000)

if mmdd >= 0101 and mmdd <=0114 then
tradeok = 0
else
tradeok = 1
endif
```
Paul and TempusFugit thanked this post
11/07/2018 at 7:18 PM #84353 quote
Paul
Participant

Master
That worked great Vonasi.

Because the beginning of several years had bad trades, with this code it was easy to optimise and skip the first x days of the year.

Also found wrong with my code.
```
IF SkipFirstTwoWeeks=1 then
IF YEAR=2015 AND MONTH=1 AND (DAY>=1 AND DAY<=18) THEN
TRADING = 1
ELSIF YEAR=2016 AND MONTH=1 AND (DAY>=1 AND DAY<=24) THEN
TRADING = 1
ELSIF YEAR=2017 AND MONTH=1 AND (DAY>=1 AND DAY<=22) THEN
TRADING = 1
ELSIF YEAR=2018 AND MONTH=1 AND (DAY>=1 AND DAY<=21) THEN
TRADING = 1
ELSIF YEAR=2019 AND MONTH=1 AND (DAY>=1 AND DAY<=20) THEN
TRADING = 1
ELSE
TRADING = 0
ENDIF
ENDIF
```
11/07/2018 at 11:20 PM #84372 quote

volpiemanuele
Participant

Veteran

Please can you post the complete strategy with the william three bar trailing ? Thanks

11/08/2018 at 12:19 AM #84374 quote

ullle73
Participant

Senior

does not look like this is correct : “i.e. For a long position, the (current bar) high has to be lower than the lowest daily high up to 2 days back.” ? could you explain one more time? 🙂

11/08/2018 at 11:59 AM #84414 quote

GraHal
Participant

Master

Jonas Rydqvist wrote:

does not look like this is correct

Make it easier for us … please post the snippet of code you are referring to and a link to the post in which that snippet appears.

winnie37 thanked this post
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