SImple DAX Strategy ?

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09/13/2018 at 5:14 PM #80405 quote
JR1976
Participant

Veteran
SImple strategy , but low backtest only 100kbar

What do tou think ?
```
//   Work with TF a5min , 15 e 30 min


defparam cumulateorders = false
defparam flatbefore  = 163000
defparam flatafter  = 090000

//if currentdayofweek <> 0 then
if time = 163000 then
buy 1 contract at high+1 stop
endif

//endif
//set target pprofit 100
//set stop ploss 100
```
DAX30-min-13-sett.png
09/13/2018 at 6:09 PM #80407 quote

robertogozzi
Moderator

Master

Profit, if any, is determined only by FLATAFTER.

There are no conditions to enter, safe reaching that price level… did you run it in demo?

Did you add spread?

09/13/2018 at 6:26 PM #80411 quote

JR1976
Participant

Veteran

spread 2 point

09/13/2018 at 6:47 PM #80412 quote

Nicolas
Keymaster

Master

Overnights and weekends fees?

09/13/2018 at 10:04 PM #80417 quote

verygrubby
Participant

Master

The spread should be 5 overnight, right?

09/13/2018 at 10:20 PM #80419 quote

Vonasi
Moderator

Master

verygrubby wrote:

The spread should be 5 overnight, right?

We have to guess that the trades are on Italian time so the pending order lasts for one bar at 1630 which is 1430 GMT and the sell happens at 0900 which is 0700 GMT. At those times the spreads are 1 and 2 respectively.

[attachment file=80420]

Anyhow it is still a lovely piece of data mining over a short time frame!

Screenshot_3-1.png

09/14/2018 at 8:28 AM #80430 quote

Nicolas
Keymaster

Master

Is it one of the Andrea Unger strategy? It reminds me this topic: https://www.prorealcode.com/topic/tomorrow-cash-strategie-basiert-auf-einer-idee-von-dr-andrea-unger/

09/14/2018 at 8:53 AM #80445 quote

JR1976
Participant

Veteran

It’s similar Unger strategy , but if I remember correctly your strategy is on FTSE MIB b( Italy index)

The spread is 2 point because is effective when ask or bid contract .. therefore 16.30 and 9 o’ clock

Could be there is other fee as to maintain the position in overnight or weekends fees as Nicolas said …. and yes too many fees influece all the strategy

High risk , but I think is important about statistic topics and curiously to imrove it , isnt’it?

09/14/2018 at 9:56 AM #80462 quote

Nicolas
Keymaster

Master

Overnight funding at IG

More accurate equity curve with overnight fees deducted

Overnight fees calculation for ProOrder strategies

Brokers overnight interest rate

and surely many other useful links around here 🙂
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