I want to call yesterday’s hourly ATR for IG’s EURUSD contract during European futures opening hours. My trading platform is set to CET, Central European Time. If I do this in backtest I can use the following code snippet to store the average true range in the variable ATR:
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TIMEFRAME(Hourly)
IFTIME=220000THEN
ATR=AverageTrueRange[14](close)
ENDIF
I can then call ATR during the following day.
Backtest will treat Sunday data as Monday. However, I am uncertain how Sunday data is treated in live algos. Will the IF-clause run on DayOfWeek=1 give me Sunday data or will it give me Friday’s data?
Any time the code is run on a candle with a closing time of 2200 it will store the ATR based on that candle and the previous 13. If there is a Sunday 2200 candle then it will change the value. If you want to avoid those candles then just do this:
Thanks @Vonasi for you tidying of my original post and for your suggestion! That effectively eradicates this problem (which is “invisible” in backtests).