About trading times

• 10/21/2019 at 8:40 AM #110687
  seatrout

  Hi,

  I´ve a couple of question about trading times in code.

  1. My code snippet for when I´m not allowed to take a trade is attached. It works fine. Now I want to add one more time span. It´s not possible to use “less than” and “greater than” because they interfer with each other.  I want to use a command like “between start time and stop time”. Any ideas how to code that?
  2. When I do backtesting and there are time spans involved it takes more time than necessary to backtest. For example time span 090000-120000 – it test also numeric value 097000 and 098000 which are no real times. Is there a way to work around that to save time?

  Greatful for som help here!

  /Bengt

   

  

  seatrout

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  10/21/2019 at 9:35 AM #110689
  GraHal

  A1.

  Why not use NoEntryStart2 and NoEntryStop2 as the second set of time constraints?

  A2.

  No way round it as I have found unless you can limit your time constraints to < 1 hour and use 1 min in range 1 to 60 etc

  What I do is use a coarse step first … 001500 or even 003000 or even 010000 … then narrow in as necessary.

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  seatrout

  

  GraHal

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  10/21/2019 at 10:21 AM #110693
  Vonasi

  seatrout – Please use the ‘Insert PRT Code’ button when posting code rather than attaching an image of it.

   

  

  Vonasi

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  10/21/2019 at 10:25 AM #110694
  Vonasi

  Just use OR:

  starttime1 = 100000 endtime1 = 120000 starttime2 = 160000 endtime3 = 190000 if (time >= starttime1 and time <= endtime1) or (time >= starttime2 and time <= endtime2) then

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  starttime1 = 100000 endtime1 = 120000   starttime2 = 160000 endtime3 = 190000   if (time >= starttime1 and time <= endtime1) or (time >= starttime2 and time <= endtime2) then

   

   

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  Vonasi

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  10/21/2019 at 10:33 AM #110695
  Vonasi

  When back testing you can speed it up by ignoring the main code or quitting in tests that don’t involve use-able times. I would use two variables. For example when testing every hour – one variable is starttime (000000 to 230000) and the other is addedhours (010000 to 240000). You can code something along similar lines when dealing with minutes or seconds. Here is the hourly example.

  endtime = starttime + addedhours if endtime > 240000 then quit endif if endtime = 240000 then endtime = 000000 endif

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  endtime = starttime + addedhours   if endtime > 240000 then quit endif   if endtime = 240000 then endtime = 000000 endif

   

   

  

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  10/23/2019 at 4:00 AM #110918
  seatrout

  Sorry – I don´t understand how to use it. So I don´t know how to code it for minutes either… Vonasi, can you please clarify!

  

  seatrout

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  10/23/2019 at 9:29 AM #110925
  Vonasi

  Here is an example of the theory applied to a simple strategy to show how it works. To test every 15 minutes set up four optimised variables.

  • StartTime from 0 to 23 step 1
  • AddedHours from 1 to 24 step 1
  • AddedEndMinutes from 0 to 45 step 15
  • AddedStartMinutes from 0 to 45 step 15

   

  This will then test every possible start time at 15 minute intervals and every possible end time at 15 minute intervals and ignore and quit any test that has an end time that is not a possible end time to speed up the back test. This obviously gives 9216 possible optimisations which does not leave much capacity for optimising other variables!

  I would always advise against optimising time unless there are very sound reasons to such as market hours because optimising time will often turn out to be pure data mining.

  once starttime = starttime * 10000 once addedhours = addedhours * 10000 once addedendminutes = addedendminutes * 100 once addedstartminutes = addedstartminutes * 100 once starttime = starttime + addedstartminutes once endtime = starttime + addedhours + addedendminutes if endtime > 240000 then quit endif if endtime = 240000 then endtime = 0 endif if time >= starttime and time < endtime then if not onmarket and rsi[14] < 30 then buy 1 contract at market endif endif if onmarket and rsi[14] > 70 then sell at market endif graph starttime graph endtime

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  once starttime = starttime * 10000 once addedhours = addedhours * 10000 once addedendminutes = addedendminutes * 100 once addedstartminutes = addedstartminutes * 100   once starttime = starttime + addedstartminutes   once endtime = starttime + addedhours + addedendminutes   if endtime > 240000 then quit endif   if endtime = 240000 then endtime = 0 endif   if time >= starttime and time < endtime then if not onmarket and rsi[14] < 30 then buy 1 contract at market endif endif   if onmarket and rsi[14] > 70 then sell at market endif   graph starttime graph endtime

   

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  Vonasi

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  10/23/2019 at 9:34 AM #110926
  seatrout

  Thank you very much!

  I gonna adjust it to my needs.

  

  seatrout

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  10/23/2019 at 9:56 AM #110928
  GraHal

  Added as Log 178 to here …

  Snippet Link Library

  

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