Strategy DayOpen Straddle for DAX
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Oddly enough I was looking at this strategy last night, it only works well for long positions
//------------------------------------------------------------------------- // Main code : DailyOpen Straddle DAX 3minMM //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : Straddle DayOpen //------------------------------------------------------------------------- // common rules DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 // optional ExtraTradeCriteria=1 once multiplier=1 once fraction=72 once newlevel=72 once oldlevel=72 once startpositionsize=1 once positionsize=startpositionsize if strategyprofit>newlevel then multiplier=multiplier+0.05 oldlevel=newlevel newlevel=strategyprofit+multiplier*fraction positionsize=multiplier*startpositionsize elsif strategyprofit<oldlevel and multiplier>=1 then newlevel=strategyprofit oldlevel=strategyprofit-multiplier*fraction multiplier=multiplier-0.05 positionsize=multiplier*startpositionsize endif // positionsize and stops sl = 1 // % Stoploss 0.6 pt = 0.8 // % Profit Target 0.4 ts = 7 // % MFETrailing // indicator settigns NOP=15 //number of points TimeOpen=080000 // day & time rules ONCE entertime = TimeOpen ONCE lasttime = 100000 ONCE closetime = 240000 // greater then 23.59 means it continues position overnight ONCE closetimeFriday=173000 tt1 = time >= entertime tt2 = time <= lasttime tradetime = tt1 and tt2 DayForbidden = 0 // 0=sunday df = dayofweek <> dayforbidden // setup number of trades intraday if IntradayBarIndex = 0 then longtradecounter = 0 Shorttradecounter = 0 Tradecounter=0 endif // general criteria GeneralCriteria = tradetime and df // trade criteria tcLong = countoflongshares < 1 and longtradecounter < 1 and tradecounter <1 tcShort = countofshortshares < 1 and shorttradecounter < 1 and tradecounter <1 // indicator criteria If time = TimeOpen then DayOpen=open endif if IntradayBarIndex = 0 then lx=0 sx=0 endif if high > DayOpen+NOP then lx=1 else lx=0 endif if low < DayOpen-NOP then sx=1 else sx=0 endif // trade criteria extra min1 = MIN(dhigh(0),dhigh(1)) min2 = MIN(dhigh(1),dhigh(2)) max1 = MAX(dlow(0),dlow(1)) max2 = MAX(dlow(1),dlow(2)) If ExtraTradeCriteria then tcxLong = high < MIN(min1,min2) tcxShort = low > MAX(max1,max2) else tcxLong = high tcxShort = low endif // long entry If GeneralCriteria then if lx and tcLong and tcxLong then buy positionsize contract at market longtradecounter=longtradecounter + 1 tradecounter=tradecounter+1 endif endif // short entry If GeneralCriteria then if sx and tcShort and tcxShort then sellshort 0 contract at market shorttradecounter=shorttradecounter + 1 tradecounter=tradecounter+1 endif endif // MFETrailing 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 priceexit>0 then sell at market exitshort at market endif // exit at closetime If onmarket then if time >= closetime then sell at market exitshort at market endif endif // exit friday at set closetime if onmarket then if (CurrentDayOfWeek=5 and time>=closetimefriday) then sell at market exitshort at market endif endif // build-in exit SET TARGET %PROFIT pt SET STOP %LOSS slI took the above code live last night, tested over 100k bars with 1 point spread
@RoboFuturesTrader
Tested on 200k on 3min and 1min timeframe, does not look good as the last paul’s version
Please ignore the first 2 screenshots I hadn’t changed the opening time
The systems side by side at 3 mins over 100k bars are shown in images 5 & 6 and I have turned off the money management so that we are both using one point per pip
I chose the parameters that allowed for a smoother curve so you can see that my system has taken around 1/3 of the trades of Pauls system
Mine is based from Pauls original posting so I am keen to test the new code and new time frames
They are really two versions of the same system and when I looked down the optimisation report I preferred this version of the system, I have around 20 systems running now so I prefer to have fewer trades with a higher Gain/Loss ratio to help with management of capital
More great work from @Paul for the community
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/04/2018 |
| Status: | Active |
| Attachments: | 100 files |
