seasonals on FTSE mib

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  • 05/13/2017 at 11:09 AM #35402 quote
    Francesco78
    Participant
    Master

    Hi all,

    not sure if it can somehow translate into a real strategy but I had a bit of fun this morning checking what happens if we go long/short only in specific days and specifics months of the year.

    For Ftse mib the results are attached, what is nice is that the strategy would have outperformed the index massively, something that is not happening for SP, ftse 100 and dax, although we can find the same qualitative results.

    Enjoy

    Francesco

    GraHal thanked this post
    goodandbaddays.png goodandbaddays.png bestdayandmonthFTSEMIB_1d.itf
    05/29/2017 at 5:22 PM #36953 quote
    l c
    Participant
    Junior

    Hi Francesco,

    I was testing the same strategy on multicharts, entry based on statistical performance Daily / week / month.

    Also with some Ita stocks.

     

    Ciao Francesco, stavo provando la stessa strategia con multichart su alcuni titoli italiani.

    Sul ftse mib non ho ancora provato, sono in test con prorealtime, ma non ho le tue performance (indicate nell’immagine).

    il file allegato è ottimizzato per il dax se non erro.

    sul ftse mib il solo giorno statisticamente valido per il long mi pare il mercoledì.

    e sarebbe interessante introdurre anche l’opzione (non so assolutamente come si fa) di ingresso c-c1. cioè andare short sulla barra del venerd’ (ad esempio) alle 17.25 (ita) e chiudere l’operazione lunedì 17,25 (ita) ma vedo che sulla mia versione (demo) di prorealtime, qualcosa non va con le ore/giorni

    ciao e grazie!

    05/29/2017 at 6:02 PM #36958 quote
    Nicolas
    Keymaster
    Master
    @l c

    >> Please update your country flag in your profile. Thank you 🙂 <<

    and please speak English in english forums 😉
    05/29/2017 at 6:32 PM #36967 quote
    l c
    Participant
    Junior
    @Nicolas Really sorry about that Sir.   Hi Francesco, I was trying the same strategy multichart and some Italian stocks. On ftse mib I have not tried yet, now i’m testing prorealtime, and with your code I do not have your performances (shown in the picture). I think the attached file is optimized for dax . On ftse mib the only day statistically valid for long entry seems to me on Wednesday. And it would be interesting to introduce the option (I do not know exactly how it is done) of input c-c1. That is, go short on the bar on Friday (for example) at 17.25 (ITA) and close the operation on Monday 17.25 (ITA) … but I see that on my prorealtime version (demo for now) something does not go with the hours / days best and thanks!
    05/30/2017 at 12:21 PM #37032 quote
    Francesco78
    Participant
    Master
    Hello Ic, the attached file is optimized for FTSE Mib. In order to open and close position at 17.25 you need to make sure you work on a time fram <= 5 mins otherwise you will get zero trades. Hope that helps Francesco
    01/08/2018 at 12:34 PM #57701 quote
    l c
    Participant
    Junior
    Hi Francesco, i’m starting with prt programming and i’m studing your code. may you explain these function? IF shortonmarket and BarIndex – TradeIndex =0 Then exitshort at Market EndIF position = Round(1000/Averagetruerange[14]) //c1 = open < low[1] //c2 = open > high[1] big thanks
    01/08/2018 at 12:59 PM #57704 quote
    robertogozzi
    Moderator
    Master
    l c wrote:
    Hi Francesco, i’m starting with prt programming and i’m studing your code. may you explain these function? IF shortonmarket and BarIndex – TradeIndex =0 Then exitshort at Market EndIF position = Round(1000/Averagetruerange[14]) //c1 = open < low[1] //c2 = open > high[1] big thanks
    To write code, please use the <> “insert PRT code” button, to make code more readable, as follows: 
    IF shortonmarket and BarIndex – TradeIndex =0 Then
exitshort at Market
EndIF

position = Round(1000/Averagetruerange[14])
//c1 = open < low[1]
//c2 = open > high[1]
    Thank you. Roberto
    01/08/2018 at 1:58 PM #57718 quote
    Francesco78
    Participant
    Master
    IF shortonmarket and BarIndex – TradeIndex =0 Then
    exitshort at Market
    EndIF
    means that you exit the position at the end of the day if you are short
    Hope this help
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seasonals on FTSE mib


ProOrder: Automated Strategies & Backtesting

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Francesco78 @francesco78 Participant
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This topic contains 7 replies,
has 4 voices, and was last updated by Francesco78
8 years, 2 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 05/13/2017
Status: Active
Attachments: 2 files
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