Help catch market opening time breakouts

• 07/10/2020 at 12:22 AM #138890
  boonet

  Apart from requesting help with some code, this post is an amalgamation of thoughts, strategies and codes snippets.

  How do you tackle the insane volatility and volume of DJI/DOW right at the start of market (14:30 BST, -9:30 Eastern Time)

  This is what happened to me today – “I was +200 pounds in profit and the minute NYSE stock market opened in the US, the COVID sentiment brought the DJI value about 600points down” .

  If you had to automate something within my strategy. How would you do it?

  Scenarios to consider:

  • How to make most of opening times breakouts?
  • What should be done with ongoing trades, if in profit?
  • What should be done with ongoing trades, if drawdown?

  Please help me with anything you already do within your strategy. Appreciate your ideas, thoughts and especially code snippets.

  Thanks in advance.

  

  boonet

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  07/10/2020 at 8:43 AM #138896
  Dow Jones

  Just an opinion. I guess it depends on your strategy (speculative, trend, etc…). I have speculative strategy that trade after 9.30 EST only, no trade before that and generally small stop loss. But also have trending strategy that trade all the time, with slightly bigger stop loss. If you play with higher time frame, the effect should be less visible, as you don’t aim or mind the spike of volatility at that moment. If the trend is right, the increasing volatility is an edge. Depends on strategy, I may have exit trigger sometimes depends on the open market sentimental.

  One example I added to the MotherOfDragon strategy is here, (code is for UTC+8, adjust the time accordingly to your time zone)

  // --------- US DAY LIGHT SAVINGS MONTHS ---------------- // mar = month = 3 // MONTH START nov = month = 11 // MONTH END IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN USDLS=010000 ELSE USDLS=0 ENDIF once openStrongLong = 0 once openStrongShort = 0 if (time <= 223000 - USDLS and time >= 050000 - USDLS) then openStrongLong = 0 openStrongShort = 0 endif //detect strong direction for market open once rangeOK = 40 once tradeMin = 1500 IF (time >= 223500 - USDLS) AND (time <= 223500 + tradeMin - USDLS) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF once bollperiod = 20 once bollMAType = 1 once s = 2 bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF //Started real wrong direction once strongTrend = 60 once strongPeriod = 8 once strongTrendGap = 2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF

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  // ---------   US DAY LIGHT SAVINGS MONTHS      ---------------- // mar = month = 3 // MONTH START nov = month = 11 // MONTH END IF (month > 3 AND month < 11) OR (mar AND day>14) OR (mar AND day-dayofweek>7) OR (nov AND day<=dayofweek AND day<7) THEN USDLS=010000 ELSE USDLS=0 ENDIF   once openStrongLong = 0 once openStrongShort = 0 if (time <= 223000 - USDLS and time >= 050000 - USDLS) then openStrongLong = 0 openStrongShort = 0 endif   //detect strong direction for market open once rangeOK = 40 once tradeMin = 1500 IF (time >= 223500 - USDLS) AND (time <= 223500 + tradeMin - USDLS) AND ABS(close - open) > rangeOK THEN IF close > open and close > open[1] THEN openStrongLong = 1 openStrongShort = 0 ENDIF IF close < open and close < open[1] THEN openStrongLong = 0 openStrongShort = 1 ENDIF ENDIF   once bollperiod = 20 once bollMAType = 1 once s = 2   bollMA = average[bollperiod, bollMAType](close) STDDEV = STD[bollperiod] bollUP = bollMA + s * STDDEV bollDOWN = bollMA - s * STDDEV IF bollUP = bollDOWN THEN bollPercent = 50 ELSE bollPercent = 100 * (close - bollDOWN) / (bollUP - bollDOWN) ENDIF   //Started real wrong direction once strongTrend = 60 once strongPeriod = 8 once strongTrendGap = 2 IF shortonmarket and openStrongLong and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent > strongTrend) = strongPeriod - strongTrendGap then exitshort at market ENDIF   IF longonmarket and openStrongShort and barindex - tradeindex < 12 and summation[strongPeriod](bollPercent < 100 - strongTrend) = strongPeriod - strongTrendGap then sell at market ENDIF

   

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  boonet

  

  Dow Jones

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