Extreme weekend gaps

• 03/08/2021 at 12:25 PM #163433
  Johann

  Hi Nicolas,

  Trying to see if I can figure out what happens on weekend gaps? Battling to define the Friday close and Monday open. Want to use it in a hourly timeframe as a filter to either trade the Monday or not depending on the gap…

  Weekend Gap

  Timeframe(daily,updateonclose) If dayofweek = 5 Then gapclose = close Elsif dayofweek = 1 Then gapopen = open Endif If dayofweek = 1 Then If (gapopen-gapclose)>100 Then gapweekup=1 Else gapweekup=0 Endif Endif Timeframe(default) If gapweekup=1 and Average[5](close) crosses under Average[15](close) Then Sellshort 1 contract at market Endif SET STOP pLOSS 100 SET TARGET pPROFIT 100

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  Timeframe(daily,updateonclose) If dayofweek = 5 Then gapclose = close Elsif dayofweek = 1  Then gapopen = open Endif If dayofweek = 1 Then If (gapopen-gapclose)>100 Then gapweekup=1 Else gapweekup=0 Endif Endif Timeframe(default) If gapweekup=1 and Average[5](close) crosses under Average[15](close) Then Sellshort 1 contract at market Endif SET STOP pLOSS 100 SET TARGET pPROFIT 100

   

  

  Johann

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  03/08/2021 at 12:29 PM #163435
  Vonasi

  Strategy code is run at the close of a candle so with UPDATEONCLOSE your strategy cannot know until the close of a daily candle what the open value was for that candle – so you will need to use a faster time frame or DEFAULT if you want to catch the Monday opening price and place orders based on it at the market open.

  

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  03/08/2021 at 1:04 PM #163439
  Johann

  Thanks Vonasi,

  I tried the following on the hourly tf…but it does not register the Friday close and Monday open correctly any suggestions?

  Weekend Gap

  If dayofweek = 5 and time = 230000 Then gapclose = close Elsif dayofweek = 1 and time = 10000 Then gapopen = open Endif If dayofweek = 1 and time = 10000 Then If (gapopen-gapclose)>100 Then gapweekup=1 Else gapweekup=0 Endif Endif

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  If dayofweek = 5 and time = 230000 Then gapclose = close Elsif dayofweek = 1 and time = 10000 Then gapopen = open Endif If dayofweek = 1 and time = 10000 Then If (gapopen-gapclose)>100 Then gapweekup=1 Else gapweekup=0 Endif Endif

   

  

  Johann

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  03/08/2021 at 1:13 PM #163443
  Johann

  Not to worry figured it out should be 20000…

  

  Johann

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  03/08/2021 at 1:52 PM #163448
  Vonasi

  A candle can be identified by two reference times.

  TIME = the closing time of the candle (which is also the same as the opening time of the following candle).

  OPENTIME = the opening time of the candle (which is also the same as the closing time of the previous candle).

  So the hourly candle that opens at 010000 will close at 020000 and can be referenced as either OPENTIME = 010000 or TIME = 020000

   

  It is similar with OPENDAYOFWEEK and DAYOFWEEK.

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  Johann

  

  Vonasi

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  03/09/2021 at 10:20 AM #163571
  Johann

  Hi Vonasi, thought I had did but I just don’t seem to get it right for the code to take the close on a Friday at 230000 and compare it to the open on the Monday at 10000. Any suggestions either as a indicator or strategy on a hourly timeframe?

  

  Johann

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  03/09/2021 at 4:00 PM #163632
  Vonasi

  If you add this indicator to your chart it can help to clarify things:

  return opendayofweek as "opendayofweek", dayofweek as "dayofweek", time as "time", opentime as "opentime"

  1	return opendayofweek as "opendayofweek", dayofweek as "dayofweek", time as "time", opentime as "opentime"

   

  It would appear that the candle that closes at 010000 is classified as opening at 000000 on Sunday. So you should be looking for dayofweek = 0 and time = 10000.

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  Johann

  

  Vonasi

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