Use stop guaranteed

• 06/16/2019 at 7:36 PM #100818
  rejo007

  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

  

  rejo007

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  06/17/2019 at 5:29 PM #100900
  GraHal

  rejo007 wrote:

  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?

  

  GraHal

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  06/17/2019 at 5:51 PM #100903
  rejo007

  1. You think it’s possible to backtest? Or in backtest it will be a simple stop and not a stop guaranteed ?

  

  rejo007

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  06/17/2019 at 6:09 PM #100904
  TempusFugit

  Interesting idea

  IF DAYOFWEEK=5 AND HOUR=20 THEN BUY AT MARKET ENDIF IF ONMARKET AND DAYOFWEEK<5 THEN SELL AT MARKET ENDIF

  1 2 3 4 5 6 7

  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

  

  TempusFugit

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  06/17/2019 at 6:18 PM #100905
  TempusFugit

  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

  

  TempusFugit

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  06/17/2019 at 7:08 PM #100911
  GraHal

  What market are we talking about here?

  The DJI trades until 9:30 on Friday? And opens at 23:00 on Sunday?

  

  GraHal

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  06/17/2019 at 7:21 PM #100912
  rejo007

  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

  

  rejo007

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  06/17/2019 at 7:27 PM #100913
  GraHal

  rejo007 wrote:

  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!

  

  GraHal

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  06/18/2019 at 3:33 PM #100959
  Nicolas

  Don’t need to code the guaranteed stop, all orders automatically have it.

  

  Nicolas

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  06/18/2019 at 4:14 PM #100962
  Vonasi

  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.

  

  Vonasi

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