Overnight Spread Increase – BackTest

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05/12/2016 at 11:08 AM #6863 quote

GraHal
Participant

Master

Hello Each

What is the easiest way to allow for an increase in spread during overnight periods when back testing a Auto-System.

Previously I have input an average spread (between day rate and night rate). However, a back-test may show a System to be unprofitable (24 hours per day) whereas the same System would be profitable if it only trades 8 hours during the day / lower spread time.

It would be so much easier if PRT had 2 setting on the spread box (see attachment) … one for daytime and one for nightime … is there a more effective method to propose this to PRT / IT-Finance than me emailing them direct?

In the meantime what is the easiest way to hard code an ‘overnight spread increase’ into my Systems … I think I will use this for all my Systems from now on.

Thanks

GraHal

Spread.jpg Spread-1.jpg

05/12/2016 at 11:56 AM #6871 quote

Nicolas
Keymaster

Master

Hi GraHal, for ovenight fees I used to add order fee in money. But you are right, this is not very accurate and precise!

Maybe another method would be to change the way of placing orders by incrementing or decrementing the opened price. Instead of using orders at market, use stop orders at close+spread, but only if you are in widen spread condition of course.

It’s just an idea, didn’t test it 🙂

05/14/2016 at 10:14 AM #7053 quote

GraHal
Participant

Master

Thank you Nicolas, I forgot to mention I spreadbet with IG and the spread on some markets can vary enormously at night … e.g. GBP/MXN sparead can be 120 in the day and up to 500 at night! Profit can be made at 120 spread, but then it can all be lost by the morning by the Stategy buying back at 500 points spread and even sell / buy process again. I know I can be flat before 080000 and flat after 170000 but often big moves occur during the ‘500 spread’ period. I have decided to not trade GBP/MXN and GBP / NOK any more (it was Demo anyway) but in order to close this query in my mind … is it possible to code ‘spread’ into a System?
I tried as a condition …

If spread < 200 and Condition 1 then

Buy 1 perpoint

Endif

but the statement above was rejected.
Spread doesn’t appear to be an acceptable Term in any form … is that correct?? I’m sure ‘spread’ is coded into one of the Strategies on this Site? Thanks So Much GraHal

05/14/2016 at 10:29 AM #7054 quote
Adolfo
Participant

Senior
Hi Grahal! This for backtest only but could be work:
```
BuyPrice = X
SellPrice = Y
DaySpread = 120*PipSize
Night Spread = 500*PipSize

IF Time>=090000 AND Time<220000 THEN
Spread = DaySpread
ELSE
Spread = NightSpread
ENDIF

IF myConditionsLong THEN
BUY 1 CONTRACT AT BuyPrice+Spread STOP
ENDIF

IF myConditionsShort THEN
SELLSHORT 1 CONTRACT AT SellPrice-Spread STOP
ENDIF
```
Cheers!
Nicolas thanked this post
05/14/2016 at 12:48 PM #7061 quote

GraHal
Participant

Master

Hey Adolfo, big thanks … I’ll try that and let you know how I get on! Cheers

11/28/2016 at 6:47 AM #17338 quote

BC
Participant

Master

Hi Grahal Adolfo idea work?

11/28/2016 at 11:45 AM #17353 quote

GraHal
Participant

Master

Hi Bin I’m glad you asked as it has reminded me! There’s so much interesting stuff to try on here that it’s easy to forget. I’m sure it will work, but would need the times and ‘pip multiplier’ adjusted to suit each instrument / market traded. Cheers GraHal

11/29/2016 at 12:27 AM #17441 quote

BC
Participant

Master

Thanks GraHal, I will try this weekend and share the result here later.

12/28/2016 at 1:27 PM #19241 quote

random45689
Member

New

Hi Thanks for this/also looking for a way to include spread variation into backtesting Adolfo – Where would X and Y come from/be defined? Also I think the STOP order is creating a pending order to execute the trade when MARKET = (BuyPrice+Spread) not actually placing the trade immediately and including the spread…? GraHal/Bin any success?

12/01/2019 at 3:20 PM #113997 quote

Mike
Participant

Junior

Hi GraHal Hope you are well? Did you ever resolve this query? I almost got stung with a 4H TF trade which opened on DJI with a guaranteed stop of 550, instead of 37. I now have time parameters set so that such trades won’t open but a safer way would be, per market, to not open trades if the spread was above “the norm”. Using DJI as an example I can live with 2.4 but 9.8 is too high. I could extend the time parameters but this would not account for IG reacting to, eg, an upcoming FOMC announcement, hence the wish to use spread. Any thoughts?

12/01/2019 at 4:03 PM #113999 quote

robertogozzi
Moderator

Master

@Mike Please do not double post the same question. Thank you 🙂

12/01/2019 at 4:59 PM #114004 quote

Mike
Participant

Junior

Hi Roberto did I submit this twice, or is it because I’ve “jumped in” in the middle of a thread? or something else? 🙂 Cheers Mike

12/01/2019 at 5:04 PM #114005 quote

robertogozzi
Moderator

Master

Because I read it twice in two different threads.

12/01/2019 at 5:16 PM #114006 quote

Mike
Participant

Junior

Hi Roberto Is this the other thread? It’s the only one I can think of… If “yes” then do we just make the same point once so that the forum does not fill up with duplicates? Thanks again Mike
When does spread actually change?
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