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simple rolling feature including only data days / skipping non data days
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simple rolling feature including only data days / skipping non data days

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Trading Experience: Advanced
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simple rolling feature including only data days / skipping non data days

Hello, we've debated about it on another thread.

Sometimes, the goal to avoid non data days, i.e. skipping, holidays, weekends and market closed days can be bothersome.

Here is a simple solution code snippet :

if(CurrentBar<1) return;
            if (CurrentBar==1) j0=ToDay(Time[0]);
            if (ToDay(Time[0])>j0)
                if (Bars.FirstBarOfSession)
                    if (j[1]<5) j.Set(j[1]+1);
                    else j.Set(1);
                else j.Set(j[1]);
            else j.Set(0);    
This is aimed for intraday and simply detects (in this case), a rolling week of 5 session days marked 1 to 5 and evolving one after the other continuously.

This way you can assign specfic instructions to each 5 days with DataSeries and then work them together (sum them on specific day, compare them, etc)


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