Strategy DayOpen Straddle for DAX

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07/09/2019 at 5:22 PM #102291 quote

Paul
Participant

Master

here’s compared only ts, only bb, both

All a bit the same result, but as you see you surrendered potential profit last day, which wouldn’t happen if both were active.

also both with safety active with 0.50; lower average loss, lower drawdown

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ts-active-no-bb.jpg bb-active-ts-active.jpg bbts-active-safety-active-0.50.jpg bb-active-no-ts.jpg

07/14/2019 at 3:57 PM #102557 quote

AE
Participant

Senior

Thanks you Paul, I love this strategy since I saw your first version.

You said this strategy doesn’t work really good in downtrend, but in TF 1 minuto works even downtrend?

Thanks

07/15/2019 at 2:37 PM #102617 quote

Pablo Jimenez
Participant

Average

Thanks for all, this strategy is awesome… Could anybody post the latest version of the code ?? Thanks you

07/15/2019 at 4:44 PM #102625 quote

Gregg
Participant

Average

Thanks Paul for this strategy! I’ve just spend 2 hours to read all the 11 pages of this topic and trying every version on every UT. Great job! Now I have to decide which UT I will choose to begin.

07/15/2019 at 6:45 PM #102627 quote
Gregg
Participant

Average
Hi again guys,

what about overnight? I tried to add this king of code and it doesn’t seem to be more profitable, but maybe safer with some gap.
```
//OVERNIGHT BUY 
IF longonmarket THEN
IF time >= 210000
sellshort at market
ENDIF
ENDIF

//OR OVERWEEK BUY
IF longonmarket THEN
IF time >= 210000 and OpenDayOfWeek = 5 THEN
sellshort at market
ENDIF
ENDIF
```
What do you think about it?

Gregg
07/16/2019 at 12:52 PM #102665 quote

Paul
Participant

Master

@AE as it is right know, long could get triggered fast in a downtrend.

@Pablo Jimenez latest version is already posted

@Gregg the strategy doesn’t hold a position in the weekend, which is preferable I think. It only holds overnight during the week.

Adding that code during the week, it closes a long position at 21h and takes a short one.

Safest is change 240000 to something lower so it closes each day all positions. Perhaps turn of trendsafetyexit.

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07/19/2019 at 8:30 AM #102880 quote
winnie37
Participant

Veteran
I’m running live Dayopen straddle v4.2 with this settings// Money Management// Money Management
```
// Money Management
CONSECNOCYCLE = 1
CONSECSICYCLE = 0
CUMULASICYCLE = 0
traditional   = 0
percentage   =  0
```
A curious almost flat evolution since march 2019. And no trades for 3 days now….Paul, you can confirm?

Gregg thanked this post

Capture-d’écran-2019-07-19-à-09.30.27.png
07/20/2019 at 6:45 AM #103000 quote
Paul
Participant

Master
Yeah the strategy didn’t produce any trades and that is good because otherwise you would’ve lost.

The reason is the main criteria which uses the Mid-Level Day indicator.

To avoid certain markets, lines have to be different from each-other and now they are not so that’s the reason no trades are produced.
```
c1=(mid1day) //green
c3=(mid3day) //blue
c5=(mid5day) //red
```
```
c10=abs(c1-c3) > 0  and abs(c3-c5) > 0
```
I included the indicator below. If that is put on a price-chart and you see the same values for green and blue or blue and red it means no trades that day.

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Mid-Level-Day-indicator.itf
07/21/2019 at 4:17 AM #103041 quote

dar
Participant

Junior

Hi All, Is there a new version of this code available? Im running my Test on version 3.

07/21/2019 at 12:38 PM #103060 quote

Paul
Participant

Master

Yes there’s a new version, still working on a few question marks though.

i.e. mid level day indicator is based on 5 previous days. To make sure that there are no trades in the first 5 days of a backtest, which works on every timeframe and doesn’t influence live trading.

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Screenshot-2019-07-21-at-13.15.44.jpg

07/21/2019 at 5:23 PM #103074 quote

Stefanb
Participant

Senior

Looks really good Paul.

I like the low DD, only 240€.

During which time is it optimized?

07/21/2019 at 6:57 PM #103077 quote

AE
Participant

Senior

Hi Paul,

When did you estimate could you please send us this new version? It looks really good!

Thanks

07/22/2019 at 9:16 AM #103092 quote

dar
Participant

Junior

Thanks Paul for the reply. Thats looks really good. Can’t wait to test it.

07/22/2019 at 11:29 AM #103097 quote

Gregg
Participant

Average

Hi @paul,

I compare the strategy with this Mid Level Day indicator and you’re perfectly right, we understand well why there is no trades with these 3 lines! I’m testing some different values for this parameter but I’m impatient to see yours 🙂

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07/22/2019 at 1:42 PM #103102 quote

Paul
Participant

Master

some info folks.

new version has slightly altered entry. Finally fixed the problem 100% although that doesn’t has great positive impact on results.

Problem was condition for buy could be true and at the same time short could be true.

It mattered if the code had the buy first, or the short first and that influenced results.

The challenge was to make it independed if short or long was first and that the equity-curve was at-least equal or better.

I’ve tested if every criteria is needed. So I compared the main criteria with the extra criteria (latest and first version) and check that with optimised nopl/nops.

As I found out, you can remove the extra criteria completely or just disable it. Run with nopl2 and nops6. Also removed safetyexit, ordertype and lunch.

Version will be published a bit later as I ran into a small issue live.

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