Strategy DayOpen Straddle for DAX

Viewing 15 posts - 91 through 105 (of 242 total)
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  • #85447 quote
    pippo999
    Participant
    Junior

    Oh great, thanks for the feedback.

    #85495 quote
    ullle73
    Participant
    Senior

    please, can someone try to explain why this happens, i really dont get it !

     

    When i backtest the strategy it goes SHORT but automatic trading took a LONG today….

    dax.jpg dax.jpg
    #86172 quote
    eugenio
    Participant
    Junior

    buongiorno paolo volevo mostrarti alcune modifiche sul tuo lavoro , io sono neofita ho appena iniziato a capirci qualcosa ,

    quindi mi scuserai se mostro cavolate , ho fatto anche il djons a 10 minuti e funziona bene , i dati che ti mostro sono non più di un anno ma li ho testi anche sui 2 anni e funzionano bene .

    ho escluso il Trailing stop da tutti perché funziona meglio e da risultati migliori .

    domani inizio a metterli sul reale con piccola size , cosa ne pensi  ?

    grazie ancora x il lavoro che hai svolto

    eugenio

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    #86177 quote
    eugenio
    Participant
    Junior

    scusa dimenticavo ho fatto tutti i conti e la resa dei mesi del 2018 e ho notato che il mese di agosto non è da tradare ,

    ho escluso gennaio che non rende

    guarda i risultati e dimmi cosa ne pensi

    grazie

    eugenio

    Schermata-2018-12-02-alle-10.51.55.png Schermata-2018-12-02-alle-10.51.55.png
    #86179 quote
    eugenio
    Participant
    Junior

    chiaramente mi piacerebbe un opinione anche da tutti ,

    sempre ne valga la pena

    grazie

    eugenio

    #86180 quote
    robertogozzi
    Moderator
    Master

    @eugenio

    sul forum inglese scrivi in inglese. Grazie.

    #86182 quote
    eugenio
    Participant
    Junior

    I apologize again in English

    hello paolo I wanted to show you some changes on your work, I’m neophyte I just started to understand something,

    so you will excuse me if I show stupid things, I have also done the djons 10 minutes and it works well, the data I show you are not more than a year but I have them even on 2 years and they work well.

    I have excluded the Trailing stop from everyone because it works better and results better.

    Tomorrow I start to put them on the real with a small size, what do you think?

    I made all the accounts and the yield of the months of 2018 and I noticed that the month of August is not to be traded,

    I excluded January that does not make

    thanks again for the work you have done
    clearly I would like an opinion from everyone,

    eugenio

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    #86187 quote
    volpiemanuele
    Participant
    Veteran

    Hi,

    can you share the strategy version for SP500 ?


    @eugenio
    : It could be a solution, but I preferred to do an optimization to keep high percentage of positive trade minimizing the DD. So I kept the trailing.

    thanks

    #86188 quote
    eugenio
    Participant
    Junior
    //-------------------------------------------------------------------------
    // Main code : Open SP500 3 minuti  NY
    //------------------------------------------------------------------------
    
    // 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 = 10
    SL = 0.5 // % Stoploss
    PT = 1.30 // % Profit Target
    MFETS = 2// % Mfe Trailing Stop
    BES = 2 // % Break Even Stop
    BESMP = 2 // % Break Even Stop Minimum Profit
    WTSMP = 2 // % 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=5//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
    #86193 quote
    Vonasi
    Moderator
    Master

    eugenio – Please use the ‘Insert PRT Code’ button when putting code in your posts as it makes it far easier for others to read. I have tidied up your post for you. 🙂

    Attaching an exported ITF file can also be a useful alternative when the code is quite large.

    #86197 quote
    eugenio
    Participant
    Junior

    good morning ,
    I did not know, you tell me where I find ‘Insert PRT Code’ button?
    thanks for the instruction, unfortunately I’m new on this forum
    eugenio

    #86198 quote
    Paul
    Participant
    Master

    @eugenio

    Thanks for posting!

    I like to keep the mfe trailing stop and the breakeven.

    It may look that the total results are better with trailing stop disabled, but are you ready to see a gain nearing a profit target go back to your stoploss level?

    A SL too small may get you out quickly.

    a correction in the code

    // Long & Short Entry
    If not onmarket and Tradetime Then
    #86200 quote
    eugenio
    Participant
    Junior

    true what you say Paul, but the results speak clearly, the trailing too many times affect the overall gain, if I know, as from the test that the total and greater gain I prefer lose,

    clearly this consideration is very personal, so I fully share your expression, you did well to put the trailing stop, then it’s up to everyone to do what they think.
    however, the fact remains that your work is fantastic.
    Have you already used it in real?
    I start tomorrow
    Thanks again
    eugenio

    #86201 quote
    Vonasi
    Moderator
    Master

    eugenio – This is where you find the ‘Insert PRT Code’ button.

    [attachment file=86202]

    Screenshot_2.png Screenshot_2.png
    #86205 quote
    Paul
    Participant
    Master

    Yes, i’am running it live and the results are similar to the backtest!

    A trailing stop, especially the small one, can get you out quickly.

     

    If you prefer to disable the trailing stop, you can still use the breakeven.

    i.e. when a position is in profit for 0.35% it moves the breakeven stop from -1.00 to -.0.50%

    At a quick glance, it improves the results.

    edit; tested the sp500 3min

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Strategy DayOpen Straddle for DAX


ProOrder: Automated Strategies & Backtesting

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Paul @micky75d Participant
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This topic contains 241 replies,
has 39 voices, and was last updated by Monobrow
5 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/04/2018
Status: Active
Attachments: 100 files
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