Strategy - Exclude First Bars Intraday

August 13th, 2015, 09:07 PM

I'm working on a TS EL Strategy the uses, say, 5-, 10-, or 15-minute bars, or any intra-day length for that matter, but I don't want to allow any trades to take place until at least x number of bars after the Open have completed. I would like to backtest and have each day exclude those first x bars.

For example:

if "current_intra_day_bar" > x then begin;

Thanks for any help you can provide.

Steve

Jura · August 14th, 2015, 02:56 AM

Would something like this work for you?

Code

Variables:
	current_intra_day_bar(0);
	
if (current_intra_day_bar > 3) then begin

	// Submit the trades here

end;

// Reset the variable on the first bar of the day
if (Date <> Date[1]) then
	current_intra_day_bar = 0;

// Increment our counter variable on the close
// of each bar to count the bars
if (BarStatus(1) = 2) then 
	current_intra_day_bar = current_intra_day_bar + 1;

Here we add 1 to the variable on the close of each bar (to count the bars) and reset it at the start of trading every day.

August 14th, 2015, 02:50 PM

Thanks, that's a really good idea! I appreciate your help. I'll try to find time over the weekend to write your ideas in.

Steve

Strategy - Exclude First Bars Intraday

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Strategy - Exclude First Bars Intraday