Strategy DayOpen Straddle for DAX

• 11/19/2018 at 10:22 PM #85228
  GraHal

  ullle73 wrote:

  BUT when i backtest it today, it enters long,

  I backtested your code and it enters Short for today (top curve).

  My version (lower curve) also enters Short on both Backtest and Forward Test

  

  GraHal

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  11/19/2018 at 10:28 PM #85230
  ullle73

  GraHal wrote:

  ullle73 wrote:

  BUT when i backtest it today, it enters long,

  I backtested your code and it enters Short for today (top curve).

  My version (lower curve) also enters Short on both Backtest and Forward Test

  yes, but as you can see in my picture, live took short, and backtest went long, it was on FRIDAY the 16th on “sverige30 cash” (sweden30 cash).

  

  ullle73

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  11/19/2018 at 10:36 PM #85231
  GraHal

  ullle73 wrote:

  it was on FRIDAY the 16th on “sverige30 cash” (sweden30 cash).

  Apologies … just shows how wrong one (me) can be! 🙂

  Out of interest I just changed my  TF to 5 mins (as I noticed your pics show 5 min TF) anyway on my version the short trade on Friday changed to a long trade!

  

  GraHal

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  11/19/2018 at 10:38 PM #85233
  ullle73

  usa500

  //------------------------------------------------------------------------- // Main code : Open SP500 10 NY //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main Code : Straddle Dayopen V2.0 //------------------------------------------------------------------------- // Test On DAX 30 Cash 10 Minute Timeframe 200k bars or from 1/1/2015 // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000 // On/off Extratradecriteria = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before. Usepercentage = 0 // The Minimum Difference In Percentage [[1] From Dayopen Or In Points [0] From Dayopen Mfetrailing = 1 // Mfe Trailing Stop Wtrailing = 1 // Williams 3 Bar Trailing Stop Breakevenstop = 1 // Breakevenstop, Move Stoploss When Position Is In Profit. Excludefirsttwoweeks = 1 // Exclude The First 2 Weeks Of Every Year (Weeknumber 1 And 2) // Settings Positionsize = 1 SL = 0.4 // % Stoploss PT = 0.7 // % Profit Target MFETS = 0.35 // % Mfe Trailing Stop BES = 0.35 // % Break Even Stop BESMP = 0.05 // % Break Even Stop Minimum Profit WTSMP = 0.50 // % Williams Trailing Stop Minimum Profit If Mfe Trailing Stop Is Not Used ETD = 0 // Exclude a Trade Day; Sunday = 0 If Usepercentage Then Nopl=((Dayopen*0.15)/100)/pointsize Nops=((Dayopen*0.15)/100)/pointsize Else Nopl=4 //number of points long Nops=4 //number of points short Endif // Day & Time Once Entertime = 153000 Once Lasttime = 160000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=220000 If Excludefirsttwoweeks=1 Then If Year=2015 And Month=1 And (Day>=1 And Day<=18) Then Notrading = 1 Elsif Year=2016 And Month=1 And (Day>=1 And Day<=24) Then Notrading = 1 Elsif Year=2017 And Month=1 And (Day>=1 And Day<=22) Then Notrading = 1 Elsif Year=2018 And Month=1 And (Day>=1 And Day<=21) Then Notrading = 1 Elsif Year=2019 And Month=1 And (Day>=1 And Day<=20) Then Notrading = 1 Else Notrading = 0 Endif Endif Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 and Notrading = 0 And Dayofweek <> ETD // Reset At Start If Intradaybarindex = 0 Then Longtradecounter = 0 Shorttradecounter = 0 Tradecounter = 0 Mclong = 0 Mcshort = 0 Endif // [pc] Position Criteria Pclong = Countoflongshares < 1 And Longtradecounter < 1 And Tradecounter < 1 Pcshort = Countofshortshares < 1 And Shorttradecounter < 1 And Tradecounter < 1 // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2)) Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2)) Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif // Long & Short Entry If Tradetime Then If Pclong and Mclong And Eclong Then Buy Positionsize Contract At Market Longtradecounter=longtradecounter + 1 Tradecounter=tradecounter+1 Endif If Pcshort and Mcshort And Ecshort Then Sellshort Positionsize Contract At Market Shorttradecounter=shorttradecounter + 1 Tradecounter=tradecounter+1 Endif Endif // Break Even Stop If Breakevenstop Then If Not Onmarket Then Newsl=0 Endif If Longonmarket And close-tradeprice(1)>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)+((Tradeprice/100)*BESMP)*pipsize Endif If Shortonmarket And Tradeprice(1)-close>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)-((Tradeprice/100)*BESMP)*pipsize Endif If Newsl>0 Then Sell At Newsl Stop Exitshort At Newsl Stop Endif Endif // Exit Mfe Trailing Stop If Mfetrailing Then Trailingstop = (Tradeprice/100)*MFETS 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 Williams Trailing Stop If Wtrailing 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 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 Mfetrailing=0 And Positionperf>WTSMP Then If Low[1]>ref And High<ref Then Sell At Market Endif If High[1]<ref And Low>ref Then Exitshort At Market Endif Endif If Onmarket And Mfetrailing=1 And Priceexit>0 Then If High<ref Then Sell At Market Endif If Low>ref Then Exitshort At Market Endif Endif Endif // Exit At Closetime If Onmarket Then If Time >= Closetime Then Sell At Market Exitshort At Market Endif Endif // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefr) Then Sell At Market Exitshort At Market Endif Endif // Build-in Exit Set Stop %loss SL Set Target %profit PT //graph 0 Coloured(300,0,0) As "Zeroline" //graph (Positionperf*100)coloured(0,0,0,255) As "Positionperformance"

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  //------------------------------------------------------------------------- // Main code : Open SP500 10 NY //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main Code : Straddle Dayopen V2.0 //------------------------------------------------------------------------- // Test On DAX 30 Cash 10 Minute Timeframe 200k bars or from 1/1/2015   // Common Rules Defparam Cumulateorders = False Defparam Preloadbars = 1000   // On/off Extratradecriteria   = 1 // I.e. Long; Only Enters When The Current Bar High Is Lower Then The Lowest Daily High From Today, Yesterday And Day Before. Usepercentage        = 0 // The Minimum Difference In Percentage [[1] From Dayopen Or In Points [0] From Dayopen Mfetrailing          = 1 // Mfe Trailing Stop Wtrailing            = 1 // Williams 3 Bar Trailing Stop Breakevenstop        = 1 // Breakevenstop, Move Stoploss When Position Is In Profit. Excludefirsttwoweeks = 1 // Exclude The First 2 Weeks Of Every Year (Weeknumber 1 And 2)   // Settings Positionsize = 1 SL    = 0.4 // % Stoploss PT    = 0.7 // % Profit Target MFETS = 0.35 // % Mfe Trailing Stop BES   = 0.35 // % Break Even Stop BESMP = 0.05 // % Break Even Stop Minimum Profit WTSMP = 0.50 // % Williams Trailing Stop Minimum Profit If Mfe Trailing Stop Is Not Used ETD   = 0    //   Exclude a Trade Day; Sunday = 0 If Usepercentage Then Nopl=((Dayopen*0.15)/100)/pointsize Nops=((Dayopen*0.15)/100)/pointsize Else Nopl=4 //number of points long Nops=4 //number of points short Endif   // Day & Time Once Entertime = 153000 Once Lasttime  = 160000 Once Closetime = 240000 // Greater Then 23.59 Means It Continues Position Overnight Once Closetimefr=220000   If Excludefirsttwoweeks=1 Then If Year=2015 And Month=1 And (Day>=1 And Day<=18) Then Notrading = 1 Elsif Year=2016 And Month=1 And (Day>=1 And Day<=24) Then Notrading = 1 Elsif Year=2017 And Month=1 And (Day>=1 And Day<=22) Then Notrading = 1 Elsif Year=2018 And Month=1 And (Day>=1 And Day<=21) Then Notrading = 1 Elsif Year=2019 And Month=1 And (Day>=1 And Day<=20) Then Notrading = 1 Else Notrading = 0 Endif Endif   Tt1 = Time >= Entertime Tt2 = Time <= Lasttime Tradetime = Tt1 And Tt2 and Notrading = 0 And Dayofweek <> ETD   // Reset At Start If Intradaybarindex = 0 Then Longtradecounter = 0 Shorttradecounter = 0 Tradecounter = 0 Mclong = 0 Mcshort = 0 Endif   // [pc] Position Criteria Pclong  = Countoflongshares < 1 And Longtradecounter < 1 And Tradecounter < 1 Pcshort = Countofshortshares < 1 And Shorttradecounter < 1 And Tradecounter < 1   // [mc] Main Criteria If Time = Entertime Then Dayopen=open Endif   If High > Dayopen+nopl Then Mclong=1 Else Mclong=0 Endif   If Low < Dayopen-nops Then Mcshort=1 Else Mcshort=0 Endif   // [ec] Extra Criteria If Extratradecriteria Then Min1 = Min(Dhigh(0),dhigh(1)) Min2 = Min(Dhigh(1),dhigh(2))   Max1 = Max(Dlow(0),dlow(1)) Max2 = Max(Dlow(1),dlow(2))   Eclong = High < Min(Min1,min2) Ecshort = Low > Max(Max1,max2) else Eclong=1 Ecshort=1 Endif   // Long & Short Entry If Tradetime Then If Pclong and Mclong And Eclong Then Buy Positionsize Contract At Market Longtradecounter=longtradecounter + 1 Tradecounter=tradecounter+1 Endif If Pcshort and Mcshort And Ecshort Then Sellshort Positionsize Contract At Market Shorttradecounter=shorttradecounter + 1 Tradecounter=tradecounter+1 Endif Endif   // Break Even Stop If Breakevenstop Then If Not Onmarket Then Newsl=0 Endif If Longonmarket And close-tradeprice(1)>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)+((Tradeprice/100)*BESMP)*pipsize Endif If Shortonmarket And Tradeprice(1)-close>=((Tradeprice/100)*BES)*pipsize Then Newsl = Tradeprice(1)-((Tradeprice/100)*BESMP)*pipsize Endif If Newsl>0 Then Sell At Newsl Stop Exitshort At Newsl Stop Endif Endif   // Exit Mfe Trailing Stop If Mfetrailing Then Trailingstop = (Tradeprice/100)*MFETS 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 Williams Trailing Stop If Wtrailing 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 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 Mfetrailing=0 And Positionperf>WTSMP Then If Low[1]>ref And High<ref Then Sell At Market Endif If High[1]<ref And Low>ref Then Exitshort At Market Endif Endif   If Onmarket And Mfetrailing=1 And Priceexit>0 Then If High<ref Then Sell At Market Endif If Low>ref Then Exitshort At Market Endif Endif Endif   // Exit At Closetime If Onmarket Then If Time >= Closetime Then Sell At Market Exitshort At Market Endif Endif   // Exit At Closetime Friday If Onmarket Then If (Currentdayofweek=5 And Time>=closetimefr) Then Sell At Market Exitshort At Market Endif Endif   // Build-in Exit Set Stop %loss SL Set Target %profit PT   //graph 0 Coloured(300,0,0) As "Zeroline" //graph (Positionperf*100)coloured(0,0,0,255) As "Positionperformance"

  Another error, clearly opens down, still goes long?!

  

  ullle73

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  11/19/2018 at 11:10 PM #85237
  Paul

  When the NOP value is too low, it could happen to get a buy and short on the same bar. But that’s not the case here it seems.

  To make it more clear I’ve written 2 histograms. When both are the same colour it’s a buy/short next bar at market.

   

   

   

  

  Paul

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  11/19/2018 at 11:11 PM #85239
  Paul

  //ind_sdo [mc] // day & time Once entertime = entertime Once lasttime = lasttime Tt1 = time >= entertime Tt2 = time <= lasttime Tradetime = tt1 and tt2 // [mc] main criteria Entertime=entertime Nopl=nopl Nops=nops If time = entertime then Dayopen=open Endif If tradetime and high > dayopen + nopl then Mclong=1 Else Mclong=0 Endif If tradetime and low < dayopen - nops then Mcshort=-1 Else Mcshort=0 Endif // fixed lines Fix1=1 Fix2=0 Fix3=-1 Return mclong coloured(50,205,50,255) style(histogram,2) as "Eclong",mcshort coloured(255,0,0,255) style(histogram,2) as "Ecshort",fix1, fix2, fix3

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  //ind_sdo [mc]   // day & time Once entertime  = entertime Once lasttime   = lasttime   Tt1 = time >= entertime Tt2 = time <= lasttime Tradetime = tt1 and tt2   // [mc] main criteria Entertime=entertime Nopl=nopl Nops=nops   If time = entertime then Dayopen=open Endif   If tradetime and high > dayopen + nopl then Mclong=1 Else Mclong=0 Endif   If tradetime and low < dayopen - nops then Mcshort=-1 Else Mcshort=0 Endif   // fixed lines Fix1=1 Fix2=0 Fix3=-1   Return mclong coloured(50,205,50,255) style(histogram,2) as "Eclong",mcshort coloured(255,0,0,255) style(histogram,2) as "Ecshort",fix1, fix2, fix3

  //ind_sdo [ec] // day & time Once entertime = entertime Once lasttime = lasttime Tt1 = time >= entertime Tt2 = time <= lasttime Tradetime = tt1 and tt2 // [ec] extra criteria 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 tradetime and high < min(min1,min2) then Eclong=1 Else Eclong=0 Endif If tradetime and low > max(max1,max2) then Ecshort=-1 Else Ecshort=0 Endif // fixed lines Fix1=1 Fix2=0 Fix3=-1 Return eclong coloured(50,205,50,120) style(histogram,2) as "Eclong",ecshort coloured(255,0,0,120) style(histogram,2) as "Ecshort",fix1, fix2, fix3

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  //ind_sdo [ec]   // day & time Once entertime  = entertime Once lasttime   = lasttime   Tt1 = time >= entertime Tt2 = time <= lasttime Tradetime = tt1 and tt2   // [ec] extra criteria 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 tradetime and high < min(min1,min2) then Eclong=1 Else Eclong=0 Endif If tradetime and low > max(max1,max2) then Ecshort=-1 Else Ecshort=0 Endif   // fixed lines Fix1=1 Fix2=0 Fix3=-1   Return eclong coloured(50,205,50,120) style(histogram,2) as "Eclong",ecshort coloured(255,0,0,120) style(histogram,2) as "Ecshort",fix1, fix2, fix3

   

  

  Paul

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  11/19/2018 at 11:17 PM #85240
  ullle73

  Paul wrote:

  When the NOP value is too low, it could happen to get a buy and short on the same bar. But that’s not the case here it seems.

  To make it more clear I’ve written 2 histograms. When both are the same colour it’s a buy/short next bar at market.

  okay, what could be the case for this one? Backtest gives one signal and live the other?

  

  ullle73

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  11/19/2018 at 11:17 PM #85241
  ullle73

  and the rule is : open up and reaches x points, its ONLY long, opens down and its short?

  

  ullle73

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  11/19/2018 at 11:50 PM #85242
  Paul

  Here an example. NOP value set to 1 for the dax which is too low. But it can happen if you have a big range bar.

  Then all criteria are met, from the Main criteria and the Exra criteria. Any solutions?

   

  

  Paul

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  11/19/2018 at 11:56 PM #85244
  ullle73

  Paul wrote:

  Here an example. NOP value set to 1 for the dax which is too low. But it can happen if you have a big range bar.

  Then all criteria are met, from the Main criteria and the Exra criteria. Any solutions?

  it does not show both long and short.

   

  But do i understand your main concept right? : open up and price goes UP x points, its a LONG. Opens down, and moves DOWN x points, its a SHORT?

  

  ullle73

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  11/20/2018 at 12:23 AM #85245
  ullle73

  might figured it out, can it be that im displaying price on +1 central eurotime, and price when taking pos on automated strategies only goes after 0 timezone?

  

  ullle73

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  11/20/2018 at 12:51 AM #85246
  Paul

  It’s more complicated than that and hard to explain.

  If the extra criteria is disabled and use a cross over/under function in the main criteria it is. Then you can buy at the red and green  lines with a limit order.

  But now only when the main criteria and extra criteria are matched its an enter. Use the histograms which may help a bit.

  About the timezone, I add a pic of my settings.

  

  Paul

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  11/20/2018 at 5:31 PM #85344
  ullle73

  Paul wrote:

  It’s more complicated than that and hard to explain.

  If the extra criteria is disabled and use a cross over/under function in the main criteria it is. Then you can buy at the red and green lines with a limit order.

  But now only when the main criteria and extra criteria are matched its an enter. Use the histograms which may help a bit.

  About the timezone, I add a pic of my settings.

  but then you dont get the gaps on lets say Dax?

  

  ullle73

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  11/21/2018 at 2:22 AM #85375
  pippo999

  Guys, can I run two systems in real account  (nearly the same, few changes regarding take profits and range breakout) on the same Index ?

  

  pippo999

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  11/21/2018 at 9:21 AM #85382
  GraHal

  pippo999 wrote:

  can I run two systems in real account

  Yeah sure you can I do it all the time.
  Why did you think you couldn’t?

  You may get rejections IF both Systems from the same Platform try to take the SAME trade at the same time! The Platform will then send the Order again 1 second later until it gets filled and so then both Orders have been filled.

  1 user thanked author for this post.

  pippo999

  

  GraHal

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