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Breakout strategy daily range issue


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Breakout strategy daily range issue

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  #1 (permalink)
soacm
Bucharest, Romania
 
 
Posts: 58 since Mar 2022
Thanks: 36 given, 13 received

I tried to code a strategy based on the Open Range Breakout using the previous daily range as a reference: Buy the Open + 0.50 of the previous daily range.
I noticed that on Mondays, the previous daily range (Friday in this case) is not taken into consideration, and the strategy sometimes executes the trade but not at the predefined 0.50 value.

 
Code
inputs: MyPerc(0.5), StartTime(300), EndTime(600);

vars: MaxSetup(0), MinSetup(0), MyRange(0);

   MyRange =  highd(1) - lowd(1);
   MaxSetup = opend(0) + MyRange*MyPerc;
   MinSetup = opend(0) - MyRange*MyPerc;

// Entries Long only
if
close < MaxSetup                                            and
EntriesToday(date[0]) < 1                                   and 
Time > StartTime                                            and 
Time < EndTime                                              then 

begin 
   Buy next bar at MaxSetup on Stop;
end;

setexitonclose;
Note: I tried to define MyRange with High[1] of Data2 - Low[1] of Data2 since Data2 are daily bars, but the same issue persists, thank you.

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  #2 (permalink)
toucan94506bm
danville ca usa
 
 
Posts: 33 since Aug 2015
Thanks: 8 given, 35 received

are you trading futures... if you are then any reference to yesterday on monday will reference sunday's open where the futures market opens sunday afternoon... so on monday, yesterday is sunday, not friday.

cheers
toucan

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  #3 (permalink)
abev
seattle washington
 
 
Posts: 54 since Feb 2019
Thanks: 10 given, 25 received


Yeah, I agree with toucan, it's the time. Depending upon what you are trading you may find success with StartTime(0930), EndTime(1600).

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Last Updated on June 5, 2022


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