Trading in Different Time Zones

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  • 10/08/2021 at 7:28 AM #179216 quote
    pdrh
    Participant
    Average

    I have two strategies activated , AUS200 Cash($1) and FTSE100Cash($1) . As these both trade on the Futures-CFDA Exchange , do I need to stop the strategy that is “out of hours”

    10/08/2021 at 9:35 AM #179222 quote
    GraHal
    Participant
    Master

    There is not one correct answer, here are a few things to consider to help you make the decision …

    • Does your broker make a market 24 hours 5 days per week?
    • Does your Algo generally lose money out of hours?
    • What not include and optimise a Time Condition so your Algo automatically does not trade out of hours / during hours when it generally loses money?
    • Do you sleep better when your Algo does not trade while you are asleep?
    pdrh thanked this post
    10/08/2021 at 10:40 AM #179224 quote
    nonetheless
    Participant
    Master

    Good advice from Grahal, as always. The other thing you seriously need to consider is the spread – often overlooked, but actually one of the major factors in whether an algo will make money or not.

    The spread on Aus200 and FTSE100 is already very poor in open hours, out of hours it’s disastrous.

    The best value indices across the full 24 hour period are the DJI, US500 and US100 Tech, all approx 0.0125%

    The DAX is next best at approx 0.018%

    By comparison, the FTSE and Aus200 are both around 0.032%, 2.5 x more expensive. This is a killer.

    So on that basis alone, I personally wouldn’t go near either of those indices, but if I did I certainly wouldn’t have them entering trades out of hours.

    Even with the better value indices (based on endless testing and bitter experience), I find it’s rarely a good idea. I only enter trades during open hours, then let them run 24/7

    You can easily run your own tests  with a code such as

    Tradetime = time >=h1 and time <h2

    Add Tradetime to your entry conditions and optimize h1 and h2 in steps of 10000

    pdrh and GraHal thanked this post
    10/08/2021 at 11:06 AM #179225 quote
    pdrh
    Participant
    Average

    I have set ” No entry before time ” and “no entry after Time” to match the trading hours of the of the respective markets . If I leave both Algos active , does that mean that FTSE trades will only occur 8:00 to 16:30 London time and trades on the ASX only during 10:00 to 16:00 AEST ? I am trading through the IG Markets Platform .

    10/08/2021 at 11:26 AM #179226 quote
    GraHal
    Participant
    Master

    You would need to start the FTSE Algo on UK Time and the ASX Algo on AEST time … see attached at red arrowhead.

    After doing above you can change / run your Platform on your chosen timezone and the Algos running in ProOrder will continue on the timezones you set them running on (UK and AEST).

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Trading in Different Time Zones


ProOrder: Automated Strategies & Backtesting

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pdrh @pdrh Participant
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This topic contains 4 replies,
has 3 voices, and was last updated by GraHal
4 years, 4 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 10/08/2021
Status: Active
Attachments: 1 files
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