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Try with this trigger. Player.DisplayCaptions is the Storyline built-in variable.

Thanks for the tip. But I have to insert the trigger into each slide. It takes too long.

Is there a parameter I can choose to apply it to all the slides in the module?

Insert the trigger to the Master slide. 

Sorry, what is the master slide?

There is a nice and very detailed explanation on the Articulate community website:
https://community.articulate.com/articles/articulate-storyline-360-user-guide-how-to-use-slide-masters

Slide masters in Storyline 360 are very similar to slide masters in Microsoft PowerPoint. Use them to control the default themes, colors, fonts, text, and objects for slides throughout your course.

To access the Master slide click View tab in the top toolbar then click Slide Master tab. 



Once in the Master slide, insert the trigger:



If you have more master slides (example; one master slide used by 3 slides and another master slide used by 2 slides), then insert the trigger to all master slides currently in use.  

Thank you! I get it.