Stripping out times

• 06/01/2020 at 5:20 PM #134074
  jonp1602

  Hi all,

  I’ve just relatively recently started running a few intraday trend following systems on US equites, generally they are performing ok, however more often than not they are getting whipped in the volatility at the US open, was just wondering if there is an easy way to strip out a period of the day, so the systems square up between say 14:00  – 15:00(BST) . Given I am using flat before/after code already for the close of day/reopen, I thought trying to use that code again is going to get messy. Any help appreciated.

  Cheers,

   

   

  

  jonp1602

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  06/01/2020 at 5:28 PM #134075
  Francesco

  Just add time condition to your entry conditions, for example:

  defparam flatbefore= 090000 defparam flatafter= 220000 // Time Directions t1= time>090000 and time<140000 t2= time>150000 and time<220000 te= time=140000 // Entry if your conditions then if t1 or t2 then buy/sellshort n contract at market endif endif // 14.00 Exit if longonmarket and te then sell at market endif if shortonmarket and te then exitshort at market endif

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  defparam flatbefore= 090000 defparam flatafter= 220000   // Time Directions t1= time>090000 and time<140000 t2= time>150000 and time<220000 te= time=140000   // Entry if your conditions then if t1 or t2 then buy/sellshort n contract at market endif endif   // 14.00 Exit if longonmarket and te then sell at market endif   if shortonmarket and te then exitshort at market endif

  I added a casual flatbefore and flatafter, you have to change it with your favorite time.

  

  Francesco

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  06/02/2020 at 10:00 AM #134163
  jonp1602

  Thanks Francesco, perfect!

  

  jonp1602

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