@fatlung

This has to be the best algo in the library?

Francesco’s algo runs until July 2017.

I only have data from March 2018, but from then to today it has gone as smoothly as in his BT.

The difference is just having used it for 10 min.

In 15 minutes it has gone really well.

Spread=3

oil.jpg

I get the results shown in the first two images for Francesco’s oil hammer negated strategy on 10 minute and 15 minute time frames with a spread of 3.

I tried playing with the bull and bear filters to give them a no trading band by changing them to:

bull = low > av1 and low > av2 and low > av3
bear = high < av1 and high < av2 and high < av3

This change massively improved the 10 minute chart results but not the 15 minute. See second two images.

I also ran a robustness test on my modified 10 minute version. The average gain per trade score is not great but the trade numbers are also very low so it is not a very conclusive test.

My opinion would be that the OOS 10 minute results are a fail for the original strategy. It would be nice to see the 15 minute results prior to what we can currently see on the 100k chart and also for a 10 minute strategy with my bear and bull filter changes. Perhaps someone with 200k might be able to help?

Screenshot_15-1.png Screenshot_16-2.png Screenshot_18-3.png Screenshot_17-3.png Screenshot_19-3.png

The Dayopen Straddle strategy https://www.prorealcode.com/prorealtime-trading-strategies/dayopen-straddle-for-dax-3-minute-timeframe/

This strategy has so many different timeframes and settings in the forum so it is a bit confusing, but I put the 10 minutes settings in demo more than 6 mounths ago and it keeps on making money. I have no idea how the different versions are doing and maybe Im just lucky with this one. Does anyone else have tested this one or do you have any opinion about it?

//-------------------------------------------------------------------------
// Main code : Straddle DayOpen
//-------------------------------------------------------------------------

// common rules
DEFPARAM CUMULATEORDERS = false
DEFPARAM PRELOADBARS = 10000

// optional
ExtraTradeCriteria=1

// positionsize and stops
positionsize = 1
sl = 1 // % Stoploss
pt = 1.5 // % Profit Target
ts = 0.40 // % MFETrailing

// indicator settigns
NOP=25 //number of points
TimeOpen=090000

// 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

GRAPH 0 coloured(300,0,0) AS "zeroline"
GRAPH (positionperf*100)coloured(0,0,0,255) AS "PositionPerformance"

DayOpen-straddle-10min.jpg Straddle-10min.jpg

Hi Fatlung,

I attached pictures of the report from demo. I hope this is what you want to see. It started in February and then I accidently stopped it in August, so the report is no longer than Aug 14th.

Straddle-Demo.jpg Straddle-Demo-2.jpg