Hello,
What do you think of a strategy that would take a long and short position in the last minutes of trading on Friday with guaranteed stop as close as possible and closing these positions on Monday at the opening.
No gain (spread loss) if there is no gap, but big gains in case of gap.
Strategy very simple to code, but I can not.
Someone to test it?
Thank you
No gain (spread loss) if there is no gap
Spread (as you say) plus 3 nights overnight interest charges.
Plus the guaranteed SL premium if / when it triggers.
Worth trying though! 🙂 Would this backtest okay??
We won’t know until we have the code?
Interesting idea
IF DAYOFWEEK=5 AND HOUR=20 THEN
BUY AT MARKET
ENDIF
IF ONMARKET AND DAYOFWEEK<5 THEN
SELL AT MARKET
ENDIF
This is it? The question is how much to put in the spread for the backtest
I don´t know how to code the guaranteed stop, but maybe sustracting from the result he loosess beyond that stop will do the trick
What market are we talking about here?
The DJI trades until 9:30 on Friday? And opens at 23:00 on Sunday?
hello,
hard to do a backtest this kind of strategy but at the election of trump, i have do a similar manual strategy and the result was very good.
sorry for my bad english
sorry for my bad english
If you hadn’t said I wouldn’t have thought anything at all … you’re english is fine, no problem!
Don’t need to code the guaranteed stop, all orders automatically have it.
You would need two strategies – one long and one short as it is not possible to be both long and short at the same time in a strategy. Then you have the issue that price is not static between the close of a market and the opening the next day. The broker will make their own market and so if your stop losses are close there is a very good chance that they will both be hit. If they are wide then you need a big gap to ever be profitable. Also spread increases when markets are closed so your SL levels need to be wider than this at minimum.
