Sunday bars

dvdrovers · 2017-03-28T20:21:41+00:00

Hi all, Just finding my feet with this system so have a simple question. Is there anyway to ignore the sunday bar when backtesting? I know I can remove it from the charts however it appears that when i write a rule and backtest it still takes it into account. Thanks for your help.

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03/28/2017 at 9:21 PM #30183 quote

dvdrovers
Participant

New

Hi all,

Just finding my feet with this system so have a simple question. Is there anyway to ignore the sunday bar when backtesting? I know I can remove it from the charts however it appears that when i write a rule and backtest it still takes it into account. Thanks for your help.

03/29/2017 at 3:40 PM #30218 quote

Nicolas
Keymaster

Legend

Do you want the Sunday bar to be ignored by indicators calculation? or just avoid Sunday to not launch any order?

03/30/2017 at 9:03 AM #30266 quote

dvdrovers
Participant

New

Hi Nicolas,

My strategy entry is on the previous bars high so i ideally want to be able to backtest without the sunday bar being factored in. Is this possible?? I have worked out how not to trade on the sunday bar. Thanks for the reply.

03/31/2017 at 9:32 AM #30471 quote
Nicolas
Keymaster

Legend
If you are using the previous day High to decide your entry condition, just add a comparison with the day of the week to know you are not using the Sunday bar:
```
if DayOfWeek[1]=7 then 
 myHigh = High[2] //store friday high is yesterday was Sunday
else
 myHigh = High[1] //else we store the previous day high
endif
```
Then use myHigh value in your conditional statement instead of High. Hope it is clear.

robertogozzi thanked this post
04/27/2017 at 5:11 AM #33615 quote

C Y Koh
Participant

New

Hi Nicolas,

I have a similar requirement to ignore Sunday bars.. Ideally My strategy is affected by the Sunday bars as (1) I count the number of preceding bars for re-entry (2) I use daily closes.

Is there a way to backtest without Sunday Bars?

I used DayOfWeek to overcome the situation, but there’s an error. Please look at my screenshot. I “graph DayofWeek”. Thursdays, Fridays and Sundays all return the value of 5.. Is there a bug?

Thanks!

CY

Screen-Shot-2017-04-27-at-12.04.38-PM.png

04/27/2017 at 10:47 AM #33665 quote

Nicolas
Keymaster

Legend

Are you in a Weekly timeframe?

Also, a quick tip to get the day of the week when the bar has opened, is to use OpenDayOfWeek instead.

04/29/2017 at 9:20 AM #33937 quote

C Y Koh
Participant

New

Hi Nicolas,

Thanks for the info!

I’m using Daily bars.

I’ve swapped OpenDayofWeek for DayofWeek. It works better now, with Monday = 1, Tues = 2.. But both Fridays and Sundays have the value of 5.. My code is:

IF not LongOnMarket AND Count = 3 and OpenDayofWeek <> 5 THEN
StopLoss = close – 2 * AverageTrueRange[40](close)
BUY PositionSize shares at market

Endif

That basically also rules out entering the market on Fridays too..

Any suggestions?

Thanks!

CY

09/30/2017 at 12:04 PM #47865 quote

stefou102
Participant

Veteran

same problem for me on the 1H time frame. I have tried opendayofweek, currentdayofweek, dayofweek, all three returned 5 for a Sunday bar. So impossible currently to identify a sunday bar???

11/14/2017 at 8:22 AM #52658 quote

alvestjo
Participant

Junior

Hi,

I have the same problem. Dayofweek is not 7 for sundays in daily graphs. It must be a bug.

However I did find a trick to identify if a bar is a sunday. The costant “Hour” is 23 when the script is run on a sunday and 1 (i think) on normal weekdays.

//Jonas
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