Backtesting trading hours

OMXet · 2023-07-04T14:17:37+00:00

Hello I’m sure someone here can help me ;>) I want to backtest if I run the script certain hours, e.i. trading hours 03.00-23.00. More specific I’m interested to know when it is optimal to close all trades between 22.00-2300 and start script 02.00-05.00 in 10 minutes intervals.

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07/04/2023 at 3:17 PM #217266 quote

OMXet
Participant

Junior

Hello

I’m sure someone here can help me ;>)

I want to backtest if I run the script certain hours, e.i. trading hours 03.00-23.00.

More specific I’m interested to know when it is optimal to close all trades between 22.00-2300 and start script 02.00-05.00 in 10 minutes intervals.

07/04/2023 at 4:37 PM #217270 quote

GraHal
Participant

Master

OMXet wrote:

when it is optimal

Use the optimiser on Time … min 000000 max 2350000 step 001000.

I mostly find optimal for Hour to be Hour > 9 and Hour < 21.

If you want to avoid overnight charges then close all trades before 9pm uk time.

07/11/2023 at 11:50 PM #217549 quote
ProRealAlgos
Participant

Junior
I have found the ProRealTime optimizer to be quite buggy on FLATAFTER time aswell as genereal time conditions. Also, when optimizing a variable e.g. time from 220000 to 230000 with a step size of 1000, ProRealTime will also test time values that don’t exist e.g. 226000, 227000, 228000, and so on which will take unnecessary execution time.

I prefer actually writing it as a long IF-statement. Takes more time to write the code, but seems more reliable.
See example below where you optimize the variable a with a stepsize of 1.
```
if a = 1 and time = 220000 then
sell at market
elsif a = 2 and time = 221000 then
sell at market
elsif a = 3 and time = 222000 then
sell at market
elsif... 
.... and so on 
endif
```
07/12/2023 at 5:33 AM #217554 quote
PeterSt
Participant

Master
```
if a = 1 and time = 220000 then
```
I would not do it like that, because it is not said that your code will be called when nothing happened in the previous bar (no ticks). For 21:59:59 (Amsterdam) that would be unlikely but with 22:10 …
So I would code it as > … and < …
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