Exclude weekend data from strategy
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Since PRT do not allow to exclude a time/day range, over one year ago I coded these MA’s based on a Time Range https://www.prorealcode.com/prorealtime-indicators/time-range-moving-averages-simple-exponential-weighted-trsma-trema-trwma/. They can be easily changed to apply to a day range in order to exclude weekend data.
Since trading days are numbered 1 to 5 (Monday through Friday), this is the first one (TRSMA, renamed DRSMA) changed to meet your requirements:
// DRSMA // // Day Range Simple Moving Average // DEFPARAM CalculateOnLastBars = 1000 //Periods = 100 Periods = max(1,min(999,Periods)) // i = 0 DRSMA = 0 FOR j = 0 TO 1000 IF OpenDayOfWeek[j] >= 1 AND OpenDayOfWeek[j] <= 5 THEN DRSMA = DRSMA + close[j] i = i + 1 IF i = Periods THEN BREAK ENDIF ENDIF NEXT DRSMA = (DRSMA / Periods) IF DRSMA = 0 THEN DRSMA = close ENDIF Return DRSMA AS "DRSMA"if you do not import the attached file, but prefer Copying & Pasting the code, uncomment line 6.
The attached pic shows the built-in 100-period SMA (Red) and the above 100-period DRSMA (Blue), applied to GbpUsd, 30-minute TF. When periods are not affected by weekend data, the two MA’s overlap (you only see the Blue one), otherwise they differ.
If you look at the differences between the codes of TRSMA and DRSMA, you will be able to apply them to the other two and maybe to other indicators.
This is an indicator, but you can apply that code to any strategy, as well.
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 08/15/2020 |
| Status: | Active |
| Attachments: | 2 files |
