Backtesting over GMT/BST periods…?

This topic has 3 replies, 3 voices, and was last updated 1 year ago by robertogozzi.

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01/29/2023 at 10:59 PM #208705

Monobrow

So someone just asked me this and i’ve never considered this before.. when you backtest, and the period goes over gmt/bst/any time change period, what happens to the backtest? Does it know to automatically shift +1/-1 or should we stop the back tests at winter/summer breakpoints and run them again with different time settings?

yours confused!

thanks

Monobrow

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01/30/2023 at 9:04 AM #208720

PeterSt

DLS = 0   // 30-10-2022,PS. 0 = Normal. 1 = Autumn. 2 = Spring.

// 05-11-2022,PS, Build in data range limit, so backtesting works after all (but mind the 1M bars where this is NOT made for).

If Date >= 20221031 and Date <= 20221104 then
  DLS = 1   // Autumn. USA is one hour early. 
endif

DLS = 0 // 30-10-2022,PS. 0 = Normal. 1 = Autumn. 2 = Spring.

// 05-11-2022,PS, Build in data range limit, so backtesting works after all (but mind the 1M bars where this is NOT made for).

If Date >= 20221031 and Date <= 20221104 then

DLS = 1 // Autumn. USA is one hour early.

endif

(spring not shown)

Adjust this (for) each year and mind the backtests which span more than one year (see the 1M remark).

Act upon DLS how and where you want …

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Monobrow

PeterSt

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01/30/2023 at 9:15 AM #208721

robertogozzi

Charts are not affected by any time change, i.e. the 9am hourly candle will always be there tagged 09:00.

The same for markets, their opening and closing will be shifted, as well.

It’s the code that will have to account for such time changes, such as DST, if they operate on markets which are non subject to change simultaneously. So when EU will enter DST the last Sunday of March, some countries (and markets thereof) may have already done it before, some may adopt it later and some will never make any change at all. If your code may be affected by those changes, then you will have to take it into account changing the code at the beginning of each year, when dates are already scheduled for changes.