Strategy DayOpen Straddle for DAX

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This topic contains 63 replies, has 11 voices, and was last updated by avatar Paul 8 hours, 3 minutes ago.

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  • #84123

    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

    Attachments:
    1. Straddle-DayOpen.itf
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    #84135

    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.

    Attachments:
    #84198

    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.

     

    #84210

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

    MFETrailing=1

    WTrailing=1

     

     

    #84211

    Thank you Paul for sharing your latest good ideas!

    i’am curious which variables you used.

    Re my results posted above …

    For v1.0 – variable values I used

    For v1.1 – variable values I used

    My TimeOpen is set at 080000 because I am in the UK … 1 hour behind you in the Netherlands.

     

    #84224

    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.

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    1 user thanked author for this post.
    #84244

    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!!!

    #84300

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

    Thanks

    #84302

    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

     

     

    1 user thanked author for this post.
    #84334

    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.

     

     

    #84340

    You can do something like this to convert YYYYMMDD to MMDD and then make decisions based on that.

     

    1 user thanked author for this post.
    #84353

    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.

     

    #84372

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

    #84374

    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? 🙂

    #84414

    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.

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