Optimising Trading times

• 04/27/2017 at 7:52 PM #33754
  kg6450

  Hi all, I am currently backtesting a strategy to see between which hours of the day are the best to run it. At the moment all I can do is test it manually for different time intervals using DEFPARAM FLATBEFORE and DEFPARAM FLATAFTER but this is taking extremely long to go through everything.

  Does anyone know of a way to optimise for different hours of the day?

  Thanks in advance!

  

  kg6450

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  04/27/2017 at 7:59 PM #33761
  Eric

  https://www.prorealcode.com/documentation/intradaybarindex/

  

  Eric

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  04/27/2017 at 8:14 PM #33768
  StantonR

  Have you tried setting variables for the timeframes not even sure if it works would have to test it out.

  DEFPARAM FLATBEFORE = a

  DEFPARAM FLATAFTER = b

  starting point a 08000  end point a 23000  interval 1000

  do same with b.

  Not even sure this works just a theory

  

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  04/27/2017 at 9:15 PM #33773
  Maz

  @StantonR Yes, that works, I do that – t not using flatbefore and flatafter but by using:

  tradingTime = time > startTime and time < endTime if tradingTime then ... else ... endif

  1 2 3 4 5 6 7

  tradingTime = time > startTime and time < endTime   if tradingTime then   ... else ... endif

   

  

  Maz

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  04/28/2017 at 3:18 PM #33889
  kg6450

  Thanks for the response, Yeah I was thinking that too, the only issue is is optimising within those hours, since there are only 60 minutes within an  hour but the optimisation will iterate through until the next thousand

  

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  04/29/2017 at 7:11 PM #33984
  GraHal

  Ive done it before using, for example, 080000 to 130000 with interval 001500 (15 mins) but ignore results for those times that don’t make sense, e.g. 0975000.

  Hope that makes sense 🙂

  GraHal

  

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