Strategy DayOpen Straddle for DAX
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I tried all the major indicies and commodities, this was before I had a system for testing so it’s not written down. From memory it worked well on euro50 and MIB but the MIB drawdowns would have been too high for me to run at present, the code I am currently using is:
/------------------------------------------------------------------------- // Main code : DailyOpen Straddle DAX 3min //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : Straddle DayOpen //------------------------------------------------------------------------- // common rules DEFPARAM CUMULATEORDERS = false DEFPARAM PRELOADBARS = 10000 // optional ExtraTradeCriteria=1 // positionsize and stops positionsize = 1 sl = 0.6 // % Stoploss 0.6 pt = 0.4 // % Profit Target 0.4 ts = 0.35 // % 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 positionsize 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 sl I got mixed up and the brent strategy is actually this one https://www.prorealcode.com/prorealtime-trading-strategies/dax30-morning-breakout-order-size-increase/ I modified the code to take out the variable unit sizing, code is: /------------------------------------------------------------------------- // Main code : DAX 1 min mor steigerung flat //------------------------------------------------------------------------- //------------------------------------------------------------------------- // Main code : DAX 1 min mor steigerung //------------------------------------------------------------------------- DEFPARAM FLATBEFORE=090100 // Festlegen der Code-Parameter DEFPARAM CumulateOrders = false // Kumulieren von Positionen deaktiviert // einmalige werte once size = 2 //once profi = 20 once in = 1 once korrek = 1 sl = 40 // Verhindert das Trading an bestimmten Wochentagen daysForbiddenEntry = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0 noEntryAfterTime = 100000 timeEnterAfter = time < noEntryAfterTime // einen trade nur IF (CurrentTime = 010000) then onetrade = 0 ENDIF // Bedingungen zum Einstieg in Long-Positionen IF (CurrentTime = 085900) then high7 = HIGHEST[120](high) low7 = LOWEST[120](low) ENDIF IF (close > high7) AND (CurrentTime >= 090100) then onetrade = 2 ENDIF IF (CurrentTime >= 090100) AND not daysForbiddenEntry AND (onetrade = 0) AND timeEnterAfter THEN BUY size CONTRACT AT high7 STOP ENDIF IF (LONGONMARKET = 1) then onetrade = 2 in = 1 korrek = 0 //l1 = POSITIONPRICE + 0.0008 l2 = POSITIONPRICE - sl //sell at l1 LIMIT sell at l2 stop ENDIF // Bedingungen zum Einstieg in Short-Positionen IF close < low7 AND (CurrentTime >= 090100) then onetrade = 1 ENDIF IF (CurrentTime >= 090100) AND not daysForbiddenEntry AND (onetrade = 0) AND timeEnterAfter THEN SELLSHORT size CONTRACT AT low7 STOP ENDIF IF (SHORTONMARKET = 1) then onetrade = 2 in = 1 korrek = 0 //s1 = POSITIONPRICE - 0.0008 s2 = POSITIONPRICE + sl //EXITSHORT at s1 LIMIT EXITSHORT at s2 STOP ENDIF // korrektur IF (LONGONMARKET < 1) AND (SHORTONMARKET < 1) then in = 0 ENDIF IF in = 0 and korrek = 0 then d1 = POSITIONPERF(1) > 0 d2 = POSITIONPERF(1) < 0 IF d1 and size > 1 then size = size - 1 korrek = 1 ELSIF d2 then size = 2 korrek = 1 ENDIF ENDIF // Stops und Targets SET STOP pLOSS 30 SET TARGET pPROFIT sl //// Performance //IF STRATEGYPROFIT > profi then //size = 1 //profi = profi + 20 //ENDIF
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/04/2018 |
| Status: | Active |
| Attachments: | 100 files |
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