Sunday bars

• 03/28/2017 at 9:21 PM #30183
  dvdrovers

  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.

  

  dvdrovers

  Participant

  Topics: 2

  Replies: 1

  Been thanked: 0 times
  03/29/2017 at 3:40 PM #30218
  Nicolas

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

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  03/30/2017 at 9:03 AM #30266
  dvdrovers

  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.

  

  dvdrovers

  Participant

  Topics: 2

  Replies: 1

  Been thanked: 0 times
  03/31/2017 at 9:32 AM #30471
  Nicolas

  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

  1 2 3 4 5

  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.

   

  1 user thanked author for this post.

  robertogozzi

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  04/27/2017 at 5:11 AM #33615
  C Y Koh

  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

   

  

  C Y Koh

  Participant

  Topics: 0

  Replies: 2

  Been thanked: 0 times
  04/27/2017 at 10:47 AM #33665
  Nicolas

  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.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  04/29/2017 at 9:20 AM #33937
  C Y Koh

  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

  

  C Y Koh

  Participant

  Topics: 0

  Replies: 2

  Been thanked: 0 times
  09/30/2017 at 12:04 PM #47865
  stefou102

  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???

  

  stefou102

  Participant

  Topics: 22

  Replies: 171

  Been thanked: 71 times
  11/14/2017 at 8:22 AM #52658
  alvestjo

  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

  

  alvestjo

  Participant

  Topics: 1

  Replies: 1

  Been thanked: 0 times
• Author
  Posts