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

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Updated July 15, 2010

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

July 15th, 2010, 12:22 PM

#1 (permalink)

SARdynamite

Belgium

Elite Member

Experience: Advanced

Platform: SaxoTrader

Broker: SaxoBank

Trading: ESTX

Posts: 289 since Dec 2009

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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 :

Code

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)

Cheers