Tuesday Turnaround – strategy for INDEXES-1h

• 10/26/2020 at 10:23 AM #148290
  TempusFugit

  This is a simple idea I read about in internet. It seems to get moderate good results in most of indexes. It entries only long on tuesday if monday has been negative. I added the posibility to entry wednesday with both monday and tuesday negatives.

  Please take into consideration:

  • *****VERY IMPORTANT****: It goes WITHOUT STOPLOSS, you can define it with the variable STOPPERCENT that probably dependes of each index. As the system exit always at the end of day so it´s not so dangerous but still….
  • Without defined spread as it depends also of the index
  • The position size is determined by the varible “Capital”, that is the amount you want in each operation. This PositionSize can be modified by other parameters.
  • My timezone is UTC+0 so it can be differences with my results depending of yor TZ

  I think this system benefits from the last years index uptrends and maybe this is not so good moment to operate but anyway I think is interesting to consider

  // ***********PARAMETROS SISTEMA*************** DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 // ***************VARIABLES******************* CAPITAL = 10000 //Valor en euros de cada operación STOPPERCENT = 999999 PROFITPERCENT = 4 TRAILINGPERCENT = 4 //***********TAMAÑO POSICION******************* Rate = 1 //Cambio de 1€ en la moneda del activo. En Forex es la segunda divisa PositionSize = (Capital*Rate*pointsize)/(close*pointvalue) POSITIONSIZE2 = POSITIONSIZE ////PASARLO A REDUCCION? XPREVDAY1 = 1.4 XPREVDAY2 = 1.2 XBOLL1 = 1.2 XBOLL2 = 1.1 IF DCLOSE(1)-DOPEN(1)<-1*CLOSE/100 THEN POSITIONSIZE = POSITIONSIZE*XPREVDAY1 POSITIONSIZE2 = POSITIONSIZE2*XPREVDAY2 ELSIF DCLOSE(1)-DOPEN(1)<-0.5*CLOSE/100 THEN POSITIONSIZE = POSITIONSIZE*XPREVDAY2 ENDIF IF BollingerBandWidth[20](close)>0.024 THEN POSITIONSIZE = POSITIONSIZE*XBOLL1 POSITIONSIZE2 = POSITIONSIZE2*XBOLL1 ELSIF BollingerBandWidth[20](close)>0.012 THEN POSITIONSIZE = POSITIONSIZE*XBOLL2 POSITIONSIZE2 = POSITIONSIZE2*XBOLL2 ENDIF //************ENTRADAS Y SALIDAS*************** LONGENTRY = DAYOFWEEK=2 LONGENTRY = LONGENTRY AND HOUR=1 LONGENTRY = LONGENTRY AND DCLOSE(1)-DOPEN(1)<-0.1*CLOSE/100// AND DCLOSE(2)-DOPEN(2)<0 //LONGENTRY = LONGENTRY AND BARINDEX-TRADEINDEX>20 LONGENTRY2 = DAYOFWEEK=3 LONGENTRY2 = LONGENTRY2 AND HOUR=1 LONGENTRY2 = LONGENTRY2 AND DCLOSE(1)-DOPEN(1)<-0.5*CLOSE/100 AND DCLOSE(2)-DOPEN(2)<-0.1*CLOSE/100 //LONGENTRY = LONGENTRY AND BARINDEX-TRADEINDEX>20 IF LONGENTRY THEN BUY PositionSize CONTRACTS AT MARKET ELSIF LONGENTRY2 THEN BUY PositionSize2 CONTRACTS AT MARKET ENDIF IF ONMARKET AND HOUR>=20 THEN SELL AT MARKET ENDIF SET STOP %LOSS STOPPERCENT SET TARGET %PROFIT PROFITPERCENT ////*****************TRAILING STOP FUNCTION************************** trailingstartLONG = TRAILINGPERCENT*CLOSE/100//Si se ponen puntos poner *pointsize //When the trailing stop starts and the distance the stop keeps from the last higher/lower close //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstartLONG THEN newSL = tradeprice(1) ELSIF newSL>0 AND close-newSL>=trailingstartLONG THEN newSL = close-trailingstartLONG ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP ENDIF ////************************************************************************

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  // ***********PARAMETROS SISTEMA*************** DEFPARAM CUMULATEORDERS= false DEFPARAM PRELOADBARS = 10000 // ***************VARIABLES******************* CAPITAL         = 10000 //Valor en euros de cada operación STOPPERCENT     = 999999 PROFITPERCENT   = 4 TRAILINGPERCENT = 4 //***********TAMAÑO POSICION******************* Rate = 1 //Cambio de 1€ en la moneda del activo. En Forex es la segunda divisa PositionSize = (Capital*Rate*pointsize)/(close*pointvalue) POSITIONSIZE2 = POSITIONSIZE ////PASARLO A REDUCCION? XPREVDAY1 = 1.4 XPREVDAY2 = 1.2 XBOLL1    = 1.2 XBOLL2    = 1.1   IF DCLOSE(1)-DOPEN(1)<-1*CLOSE/100 THEN POSITIONSIZE = POSITIONSIZE*XPREVDAY1 POSITIONSIZE2 = POSITIONSIZE2*XPREVDAY2 ELSIF DCLOSE(1)-DOPEN(1)<-0.5*CLOSE/100 THEN POSITIONSIZE = POSITIONSIZE*XPREVDAY2 ENDIF   IF BollingerBandWidth[20](close)>0.024 THEN POSITIONSIZE = POSITIONSIZE*XBOLL1 POSITIONSIZE2 = POSITIONSIZE2*XBOLL1 ELSIF BollingerBandWidth[20](close)>0.012 THEN POSITIONSIZE = POSITIONSIZE*XBOLL2 POSITIONSIZE2 = POSITIONSIZE2*XBOLL2 ENDIF   //************ENTRADAS Y SALIDAS*************** LONGENTRY = DAYOFWEEK=2 LONGENTRY = LONGENTRY AND HOUR=1 LONGENTRY = LONGENTRY AND DCLOSE(1)-DOPEN(1)<-0.1*CLOSE/100// AND DCLOSE(2)-DOPEN(2)<0 //LONGENTRY = LONGENTRY AND BARINDEX-TRADEINDEX>20   LONGENTRY2 = DAYOFWEEK=3 LONGENTRY2 = LONGENTRY2 AND HOUR=1 LONGENTRY2 = LONGENTRY2 AND DCLOSE(1)-DOPEN(1)<-0.5*CLOSE/100 AND DCLOSE(2)-DOPEN(2)<-0.1*CLOSE/100 //LONGENTRY = LONGENTRY AND BARINDEX-TRADEINDEX>20   IF LONGENTRY  THEN BUY PositionSize CONTRACTS AT MARKET ELSIF LONGENTRY2 THEN BUY PositionSize2 CONTRACTS AT MARKET ENDIF   IF ONMARKET AND HOUR>=20 THEN SELL AT MARKET ENDIF   SET STOP %LOSS STOPPERCENT SET TARGET %PROFIT PROFITPERCENT   ////*****************TRAILING STOP FUNCTION************************** trailingstartLONG = TRAILINGPERCENT*CLOSE/100//Si se ponen puntos poner *pointsize //When the trailing stop starts and the distance the stop keeps from the last higher/lower close //reset the stoploss value IF NOT ONMARKET THEN newSL=0 ENDIF //manage long positions IF LONGONMARKET THEN //first move (breakeven) IF newSL=0 AND close-tradeprice(1)>=trailingstartLONG THEN newSL = tradeprice(1) ELSIF newSL>0 AND close-newSL>=trailingstartLONG THEN newSL = close-trailingstartLONG ENDIF ENDIF //stop order to exit the positions IF newSL>0 THEN SELL AT newSL STOP ENDIF ////************************************************************************

   

  

  TempusFugit

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  10/26/2020 at 8:59 PM #148584
  nonetheless

  good week to test your idea – big Monday losses!

  

  nonetheless

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  10/26/2020 at 9:09 PM #148586
  TempusFugit

  Yes, I thought the same 🙂

  

  TempusFugit

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