prevent my system from taking a trade with CurrentDayOfWeek condition

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  • 09/24/2020 at 11:52 AM #145170 quote
    scoot3r83
    Participant
    Average

    Hi,

    I’m trying to prevent my system from taking a trade prior to 8pm Sunday night for a system in the US.. to avoid the ASX open. I have added this code however it does not prevent the trade entry.

    noTradeTimeBlock = NOT (CurrentTime < 160000 AND CurrentTime < 200000 AND CurrentDayOfWeek = 0)

    I have then included ‘noTradeTimeBlock’ in the buy order requirements. I understand this to say to remain false if the time is between 4pm & 8pm of a Sunday. Is there something incorrect here?

    When backtesting the system, a trade is still taken at 19:10 of a Sunday night, which I’m trying to avoid. I do also have the PRT time settings set to New York UTC +04:00.

    09/24/2020 at 12:10 PM #145182 quote
    robertogozzi
    Moderator
    Master

    Do Not use CURRENTTIME, use either TIME (time when a bar closes)  or OPENTIME (time when a bar opens).

    Try this (not tested):

    noTradeTimeBlock = OpenTime < 200000 AND CurrentDayOfWeek = 0
    09/28/2020 at 11:17 AM #145652 quote
    scoot3r83
    Participant
    Average

    Hi @robertogozzi, thanks for the reply. I tried the code you suggested using ‘OpenTime’ or ‘Time’ and it works but begins to fail when I include the ‘CurrentDayOfWeek=0’. I am trying to avoid the opening of a trade in the hours before the markets open in New York time (8pm).

    So, this works to exclude the trade within the time as below

    noTradeTimeBlock = NOT ((Time >= 140000) AND (Time <= 200000))

    but as soon as I add the CurrentDayOfWeek function it begins to fail to remove the trades in the time frame I am trying to avoid.

    noTradeTimeBlock = NOT ((Time >= 140000) AND (Time <= 200000) AND (CurrentDayOfWeek=0))

    So in plain terms, if it is a Sunday and between 2pm and 8pm I want the strategy not to open any trade. So ‘noTradeTimeBlock’ will positive or true only when it is not a Sunday & between 2pm & 8pm.

    I don’t believe the syntax is incorrect but have I then used the ‘CurrentDayOfWeek’ function incorrectly?

    09/28/2020 at 11:27 AM #145655 quote
    robertogozzi
    Moderator
    Master

    Sorry, I incorrectly used CURRENTdayofweek, use OpenDayOfWeek

    o or DayOfWeek, instead.

    09/28/2020 at 3:11 PM #145700 quote
    scoot3r83
    Participant
    Average

    Same results. This really has me puzzled.

    09/28/2020 at 3:46 PM #145710 quote
    robertogozzi
    Moderator
    Master

    TIME or OPENTIME will use your time zone, not NY’s.

    Did you take this into account?

    scoot3r83 thanked this post
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prevent my system from taking a trade with CurrentDayOfWeek condition


ProOrder: Automated Strategies & Backtesting

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scoot3r83 @scoot3r83 Participant
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This topic contains 5 replies,
has 2 voices, and was last updated by robertogozzi
5 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/24/2020
Status: Active
Attachments: No files
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