Testing Day of Week, Time of Day MultiCharts, 24 Hour Forex Data

[RangeTrader 10]

Hi, I have an intraday forex system which is always in the market either long or short, average holding period just a few hours. I would like to study performance reports in MultiCharts based on day of the week and time of day (eg Monday 2am-5pm EST, or Tues to Wednesday 5pm - 2am EST etc)

 

I've added time inputs for starting the signals, which works ok

If Time >= Tim1 and Time <=Time2 then begin.

 

what I'm stuck with is the 'exit' and 'no signals after that': 'Exit on Close' makes the system exit at 12AM, I need it to exit before that, at 5PM same day, or 2AM next day (2am to 5pm, or 5pm to 2AM etc), please can anyone tell me how I can specify this in the code?

 

Thanks a lot for any help!

[bobbakerr 10]

Maybe this will help: (And by listing the Variables as Inputs, you can then Optimize them to see which times are best)

 

 

Inputs:  Beg1(0200), Quit1(1700), Exit1(1700),
              Beg2(1700), Quit2(0200), Exit2(0200),
              // {etc.}


If DayOfWeek(Date)=1 {Monday} and Time >= Beg1 and Time < Quit1 then begin
 //    (Code)
end;

If MarketPosition=1 and DayOfWeek(Date)=1 and Time = Exit1 then Sell this bar at Close;
If MarketPosition=-1 and DayOfWeek(Date)=1 and Time = Exit1 then BuyToCover this bar at Close;


If DayOfWeek(Date)=2 {Tuesday} and Time >= Beg2 and Time < Quit2 then begin
 //    (Code)
end;

If MarketPosition=1 and DayOfWeek(Date)=2 and Time = Exit2 then Sell this bar at Close;
If MarketPosition=-1 and DayOfWeek(Date)=2 and Time = Exit2 then BuyToCover this bar at Close;


//    etc., for Wednesday through Friday if using different Entry and Exit times than Monday and Tuesday.

[RangeTrader 10]

Maybe this will help: (And by listing the Variables as Inputs, you can then Optimize them to see which times are best)

 

 

Inputs:  Beg1(0200), Quit1(1700), Exit1(1700),
              Beg2(1700), Quit2(0200), Exit2(0200),
              // {etc.}


If DayOfWeek(Date)=1 {Monday} and Time >= Beg1 and Time < Quit1 then begin
 //    (Code)
end;

If MarketPosition=1 and DayOfWeek(Date)=1 and Time = Exit1 then Sell this bar at Close;
If MarketPosition=-1 and DayOfWeek(Date)=1 and Time = Exit1 then BuyToCover this bar at Close;


If DayOfWeek(Date)=2 {Tuesday} and Time >= Beg2 and Time < Quit2 then begin
 //    (Code)
end;

If MarketPosition=1 and DayOfWeek(Date)=2 and Time = Exit2 then Sell this bar at Close;
If MarketPosition=-1 and DayOfWeek(Date)=2 and Time = Exit2 then BuyToCover this bar at Close;


//    etc., for Wednesday through Friday if using different Entry and Exit times than Monday and Tuesday.

 

Excellent, thank you very much, very much appreciated!!! Wish you good trading.

[onesmith 10]

The code below corrects the use of >=beg1 and <quit1 so they're calibrated to way the database indexes the bars. An easy way to visualize how this works is to think of beg1 as being equal to the time the market opens. The 1st bar of the day session is time stamped later than the open. First bar of the day session on a 5m chart is timestamped different than a 1m or 15m chart. The database stores the time the bars end rather than the time they begin.

if dayofweek(d)=1 and t>beg1 and t<= quit1 then begin

[onesmith 10]

TimeToMinutes converts time to a linear series. In ttm format 0200 or 2 AM becomes 120 minutes past midnight and 1700 becomes 1020 minutes past midnight. There are times this additional complexity is useful.

 

input: beg1(120), quit1(1020);
var: ttm(0);

ttm=timetominutes(t);
if ttm>beg1 then begin

Edited May 9, 2012 by onesmith

[RangeTrader 10]

Thank you very much Onesmith, I'm planning to spend some time on this over the weekend and this is a big help.

 

Good Trading