Strategy DayOpen Straddle for DAX
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Your 100% correct.
The code displayed here is old. Here’s the current one I ‘ve been testing with.
You can run this code on 200k bars 1 minute but it’s slow. No favorite!
When set to 3 minute 200k bars it shows it doesn’t work in a downtrend.
no, this code is only tried on the dax.
Al parts have had a lot of detail and work nicely.
Not everything is used, like days to exclude or include or exclude lunchtime trading. But it’s a nice template for other strategies.
Here I focussed on the Midlevel day indicator in an effort to try not to trade in low or flat ranging markets.
Still the short side can have improvements, but I ran out of ideas.
Anyway, maybe it’s nice to try on i.e. eurusd and take the same concept?
winnie37 thanked this postI started out with NOP (number of points) the same for long & short and later divided it up to improve performance in backtesting. Over-optimising.
But if you run anchored WF test most of the times the values 2 for long and 14 for short (1min TF) were the ones for each OOS period.
Maybe 2 minutes can have a nice performance too if you wf.
In the end I found that 1 minute works best, but maybe that’s changed.
@winnie37 Tried on eurusd, but didn’t get interesting results
The thing I don’t like with this code, it has to run a 1% (or close to 1%) stoploss to get results.
Also trailing-stop makes things slow to test so as alternative I experiment with this, in part of that of my other strategy,
See equity-curve & detailed rapport to compare (new= on the right with other exit strategy and no trailing stop)
winnie37 thanked this posta bit of info about days optimising. Maybe someone find it useful.
Set workday to 1 in top of the code.
if workday then if dayofweek = 0 then // 0 to trade; 1 to exclude monday weekday = 0 elsif dayofweek = 0 then // 0 to trade; 2 to exclude tuesday weekday = 0 elsif dayofweek = 0 then // 0 to trade; 3 to exclude wednesday weekday = 0 elsif dayofweek = 0 then // 0 to trade; 4 to exclude thursday weekday = 0 elsif dayofweek = 0 then // 0 to trade; 5 to exclude friday weekday = 0 else weekday = 1 endif endifchange that to below
if workday then if dayofweek = a then // 0 to trade; 1 to exclude monday weekday = 0 elsif dayofweek = b then // 0 to trade; 2 to exclude tuesday weekday = 0 elsif dayofweek = c then // 0 to trade; 3 to exclude wednesday weekday = 0 elsif dayofweek = d then // 0 to trade; 4 to exclude thursday weekday = 0 elsif dayofweek = e then // 0 to trade; 5 to exclude friday weekday = 0 else weekday = 1 endif endifthen optimise as in pic attached. (32 combinations)
if kolom a to e has a number higher then 0, all days are excluded en the gain =0 & trades=0
if kolom a to e are all 0 and on top when sorted by gain then the highest payout is when all days are traded.
- Wednesday is the best day to trade (winratio 90% & €40,59 avg/gain)
- Friday is the worst day (winratio 75,47% & €6,76 avg/gain), followed by monday
Not meant to over-optimising, but nice to understand if there are potential weak days where the risk is higher & gain lower.
Easy to use in every strategy.
the uptrend continues
on 4 of july markets in US where closed and resulted in a flat market on the dax. Trading would’ve resulted in a small loss.
same for 18 feb, presidents day
At the moment it is performing better than expected but for how long
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/04/2018 |
| Status: | Active |
| Attachments: | 100 files |
