Trading opening gap

• 02/06/2024 at 7:33 PM #227489
  GraHal

  upupandaway wrote:

  four instances where it is true.

  So were trades opened?

  

  GraHal

  Participant

  Topics: 212

  Replies: 8785

  Been thanked: 2185 times
  02/07/2024 at 11:04 AM #227519
  justisan

  please pay attention with cfd data what exactly prt indicates as day’s close & open (and high and low…). you can “graph” them e.g. on 1 min time frame and you will see for dax that “close” of the “yesterday” is in this case the close of the 1 minute bar which starts at 00:59:00 “today”, and “opening” of “today” is the opening of the bar which starts as right the next one, so at 01:00:00 “today”, e.g. picture attached. so time period between “close yesterday” and “opening today” being just millisecond/seconds there are basically have no gaps or to let’s say they are just fractions of points, in some cases very very few points.

  The four instances on 200k / 1min units backtest you mention – if I did my work correctly – are linked to some special confusion with data after weekends (you will find same/similar cases after other non-trading days like Easter or Christmas): prt treats monday’s data (sometimes also already sunday evenings data) from 00:00:00 till 01:00:00 as a separate “day”. So yep, you have those 4 instances where gap is > 0.002, but condition is true only until 01:00:00 and so not at 09:00:00 anymore (e.g second picture attached), hence system never “trading”.

  long story short: you might yourself define in the code what price at which time of the day you consider as day’s close and open – and then you will have “your” gaps and system triggering trade after trade😃 e.g. as with the code below.

  good luck!

  justisan

  //1 min time frame if time = 220000 then YClose = close endif if time = 090000 then TOpen = close endif Ogap = (TOpen-YClose)/YClose if time = 090000 and Ogap > 0.002 then sellshort 1 lot at market endif if time = 173000 then exitshort at market endif

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

  //1 min time frame   if time = 220000 then YClose = close endif if time = 090000 then TOpen = close endif   Ogap = (TOpen-YClose)/YClose   if time = 090000 and Ogap > 0.002 then sellshort 1 lot at market endif   if time = 173000 then exitshort at market endif

   

  2 users thanked author for this post.

  upupandaway, GraHal

  

  justisan

  Participant

  Topics: 2

  Replies: 83

  Been thanked: 46 times
  03/01/2024 at 2:15 PM #229033
  upupandaway

  Thank you for your reply. I agree with your reasoning about what exact times PRT counts as closing time for the previous day, and for the opening time of current day (see earlier in the thread).

  I think your idea about modifying the code is great, but I was wondering:

  if you tell PRT that ‘YClose = close’ and ‘TOpen = close’, doesn’t that mean that both YClose and TOpen get the same value?

  

  upupandaway

  Participant

  Topics: 3

  Replies: 12

  Been thanked: 2 times
  03/01/2024 at 2:30 PM #229035
  PeterSt

  Allow me :

  Haha, No. This is because YClose will receive the “closing” price as how it was on 22:00 (minus one bar) and TOpen will receive the closing price of how it was on 09:00 (minus one bar).

  🙂

  

  PeterSt

  Participant

  Topics: 73

  Replies: 2504

  Been thanked: 806 times
• Author
  Posts