skip first x days in a backtest on any TF

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  • Author
    Posts
  • 07/23/2019 at 2:09 PM #103253 quote
    Paul
    Participant
    Master

    Hello,

    I’am trying to see no trades in the first 5 days of a backtest on any timeframe.

    Coded the way below & other ways, but still I see trades.

    if intradaybarindex=0 then
if barindex=0 then
storedate1=date
endif
if date>storedate1 then
storedate2=date
endif
if date>storedate2 then
storedate3=date
endif
if date>storedate3 then
storedate4=date
endif
if date>storedate4 then
storedate5=date
endif
if date>storedate5 then
tradingok=1
else
tradingok=0
endif
endif

    Could some plz advise what is wrong?

    07/23/2019 at 2:35 PM #103256 quote
    robertogozzi
    Moderator
    Master

    Try this (not tested):

    IF barindex = 0 THEN
   TradeON = 0
   Count   = 0
ENDIF
IF OpenDay <> OpenDay[1] THEN
   Count = Count + 1
   IF Count <= 5 THEN
      TradeON = 0
   ELSE
      TradeON = 1
   ENDIF
ENDIF
IF MyConditions AND TradeON THEN
 .
 .
ENDIF
    Paul thanked this post
    07/23/2019 at 4:54 PM #103278 quote
    Paul
    Participant
    Master

    Thanks that does the trick and this code is easier to use!

    07/28/2019 at 1:25 AM #103636 quote
    Paul
    Participant
    Master

    Just for reference;

    Used a code to count the days a position was onmarket and found that between 0 and 1am on Monday it counts (sometimes?) as a day too. So on Monday the counter goes up with 2.

    This code below seems to fix that.

    if (not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket))) then
count=0
endif
if  not ( dayofweek=1 and hour <= 1) then
if onmarket then
IF OpenDay <> OpenDay[1] THEN
count = Count + 1
endif
endif
endif
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skip first x days in a backtest on any TF


ProOrder: Automated Strategies & Backtesting

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Author
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Paul @micky75d Participant
Summary

This topic contains 3 replies,
has 2 voices, and was last updated by Paul
6 years, 7 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 07/23/2019
Status: Active
Attachments: No files
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