Strategy DayOpen Straddle for DAX

• 07/06/2019 at 11:25 PM #102062
  Paul

  Too bad! But perhaps there’s a better way then I coded.

  Will post back soon. In the meantime, did you change the values nopl/nops 2 and 14 or made other modification?

  

  Paul

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  07/07/2019 at 12:10 AM #102063
  Paul

  It’s a problem I experienced earlier, especially when you have the values nopl/nops both low.

  Criteria for long and short can both be true and at the same bar.

  I removed the workaround. Another permanent fix is using “crosses over/under”.

  if tradetime then if time = entertime then dayopen=open endif donopl=dayopen+nopl donops=dayopen-nops if high > donopl and c10 then mclong=1 else mclong=0 endif if low < donops and c10 then mcshort=1 else mcshort=0 endif endif // [ec] extra criteria if extratradecriteria then eclong = high < dhigh(1) ecshort = low > dlow(1) else eclong=1 ecshort=1 endif // long & short entry if not onmarket and tradetime then if pclong and mclong and eclong then if ordertype=1 then buy positionsize contract at market longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=2 then buy positionsize contract at donopl stop longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=3 then buy positionsize contract at donopl limit longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 endif endif if pcshort and mcshort and ecshort then if ordertype=1 then sellshort positionsize contract at market shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=2 then sellshort positionsize contract at donops stop shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=3 then sellshort positionsize contract at donops limit shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif endif

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  if tradetime then if time = entertime then dayopen=open endif   donopl=dayopen+nopl donops=dayopen-nops   if high > donopl and c10 then mclong=1 else mclong=0 endif   if low < donops and c10 then mcshort=1 else mcshort=0 endif endif   // [ec] extra criteria if extratradecriteria then eclong = high < dhigh(1) ecshort = low > dlow(1) else eclong=1 ecshort=1 endif   // long & short entry if not onmarket and tradetime then if pclong and mclong and eclong then if ordertype=1 then buy positionsize contract at market longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=2 then buy positionsize contract at donopl stop longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=3 then buy positionsize contract at donopl limit longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 endif endif if pcshort and mcshort and ecshort then if ordertype=1 then sellshort positionsize contract at market shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=2 then sellshort positionsize contract at donops stop shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 elsif ordertype=3 then sellshort positionsize contract at donops limit shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif endif

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  winnie37

  

  Paul

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  07/07/2019 at 12:22 AM #102064
  Paul

  This code uses trailing stop. I’am working on a bollingerband exits as alternative.

  It’s coming on nicely. This is with a disabled trailing stop on the V2.

  

  Paul

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  07/07/2019 at 11:24 PM #102105
  winnie37

  Nice; could you post it soon?

  

  winnie37

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  07/07/2019 at 11:25 PM #102106
  winnie37

  no, no values changed…

  

  winnie37

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  07/08/2019 at 4:18 AM #102109
  Paul

  sure, it’s about the same concept as in the other strategy.

  normally I use 1% stoploss, but 0.5% worked too.

  goodluck

  bu=bollingerup[20](close) bd=bollingerdown[20](close) br=(bu-bd) pp=(positionperf*100) if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then flag=0 endif if pp>=0.35 and (open>bu or open<bd) then flag=1 endif if longonmarket and (flag=1) and high<bu and (br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4]) then sell at market endif if shortonmarket and (flag=1) and low>bd and (br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4]) then exitshort at market endif

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  bu=bollingerup[20](close) bd=bollingerdown[20](close) br=(bu-bd)   pp=(positionperf*100)   if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then flag=0 endif   if pp>=0.35 and (open>bu or open<bd) then flag=1 endif   if longonmarket and (flag=1) and high<bu and  (br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4]) then sell at market endif   if shortonmarket and (flag=1) and low>bd and  (br<br[1] and br[1]<br[2] and br[2]<br[3] and br[3]<br[4]) then exitshort at market endif

   

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  Paul

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  07/08/2019 at 8:47 AM #102124
  winnie37

  A bit lost in the codes, sorry?. Could you post the entire code with BB? A favorite one for you/compared on 200k? Thanks for your kindness 🙂

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  GraHal

  

  winnie37

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  07/08/2019 at 11:08 AM #102151
  winnie37

  Hi Paul,

  i was wondering if we could add this feature, with “fake orders” under the mean, and if it would be a good way to improve the strategy?

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

  Im’ not strong enough to code it, with our strategy….Would you be able to test iit?

  Another idea, maybe we could avoid losses when the gain is closed under its medium boll? And take news trades only when the opening of a new trade is opened above its medium boll, to follow the trend.

   

  

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  07/08/2019 at 11:47 AM #102158
  Paul

  @winnie37 Thnx for the link.

  Here’s the difference with the code from above.

  Bollinger exit v2 vs trailing stop exit v1.

  I will review the code v2 and post it later. Both exits have their strengths.

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  07/08/2019 at 3:03 PM #102172
  winnie37

  Thanks Paul. What do you think about the idea around the mean of gains, with “fake order”? Very nice on the paper, but no idea if it could really improve our results…

  

  winnie37

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  07/08/2019 at 3:37 PM #102175
  winnie37

  Paul wrote:

  @winnie37 Thnx for the link.

  Here’s the difference with the code from above.

  Bollinger exit v2 vs trailing stop exit v1.

  I will review the code v2 and post it later. Both exits have their strengths.

  I suppose it’s the lastest postion on this morning on the screen you posted. I took it with a large potential gain, which has been strongly reduced at the close. On your v2, it seems not to be the case. Surely, both have their strenghs, avantages and inconvenients…

  

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  07/09/2019 at 12:11 PM #102258
  Paul

  @winnie37

  I tried your link & to insert the code in the strategy. Only focused on PT&SL

  It created an infinite loop and didn’t work. At the moment I will leave it at that, perhaps I will ‘ve a look later on again.

  The strategy is supposed to do only one trade a day.

  About the closing tip, you could try to adjust the bb strategy. Hopefully you find an exit with better results.

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  Paul

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  07/09/2019 at 1:35 PM #102269
  Paul

  v3

  a few changes;

  • slightly changed the way it goes to market
  • expanded holidays
  • exit if position is hold overnight into a holiday
  • add bollingerband exits
  • add trend safety exit flexibility

  note

  • only bb, no ts, potential profit >=0.35 can turn into loss
  • only ts, no bb, potential profit >=0.35 can turn to breakeven

  safest is to combine both.

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  Paul

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  07/09/2019 at 4:28 PM #102283
  winnie37

  Paul wrote:

  @winnie37

  I tried your link & to insert the code in the strategy. Only focused on PT&SL

  It created an infinite loop and didn’t work. At the moment I will leave it at that, perhaps I will ‘ve a look later on again.

  The strategy is supposed to do only one trade a day.

  About the closing tip, you could try to adjust the bb strategy. Hopefully you find an exit with better results.

  @Paul

  thanks for the quick test. The idea of creating ineffective orders below the average of the gains seems to me good to take position only in trend of good average performance. The concept seems good to me. Tell me in the future if you want to work on it, if you have time. Thank you in any case for your precious help!

   

  

  winnie37

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  07/09/2019 at 4:38 PM #102286
  winnie37

  Paul wrote:

  v3

  a few changes;

  • slightly changed the way it goes to market
  • expanded holidays
  • exit if position is hold overnight into a holiday
  • add bollingerband exits
  • add trend safety exit flexibility

  note

  • only bb, no ts, potential profit >=0.35 can turn into loss
  • only ts, no bb, potential profit >=0.35 can turn to breakeven

  safest is to combine both.

  It sounds good! A compared test on 200K?

  

  winnie37

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