Timed exit in auto strategy

December 28th, 2009, 09:12 AM

I know you can set the Session begin and end time in Chart properties - is this a reliable way to limit the time an auto strategy runs?

Also, is there a practical way to code this in the strategy? Say to limit the time the strategy runs for 2 hours or a time variable only?

Nano

December 28th, 2009, 12:37 PM

nanobiotech

I know you can set the Session begin and end time in Chart properties - is this a reliable way to limit the time an auto strategy runs?

Also, is there a practical way to code this in the strategy? Say to limit the time the strategy runs for 2 hours or a time variable only?

Nano

Sure. Here's how the OnBarUpdate() of all of my strats look like

Code

                            
protected override void OnBarUpdate()
{
    if (TimeToTrade)
    {
        if (InPosition)
            ManageTrade();
    
        if (!InPosition)
            LookForTrade();
    }
    else
    {
        if (InPosition)
            FlattenPosition();
    }
}

.........


private bool TimeToTrade
{
    get
    {
        if (_tradeTimeBegin == 0 || _tradeTimeEnd == 0)
            return true;
        else
        {
            if (_tradeTimeBegin > _tradeTimeEnd)    // sessions that begin previous day and end next day
              return ToTime(Time[0]) >= _tradeTimeBegin || ToTime(Time[0]) <= _tradeTimeEnd;
            else
              return ToTime(Time[0]) >= _tradeTimeBegin && ToTime(Time[0]) <= _tradeTimeEnd;
        }
    }
}    

...............

private int _tradeTimeBegin = 0; // Default setting for TTB
[Description("Beginning trading time")]
[Category("Parameters")]
public int TTB
{
    get { return _tradeTimeBegin; }
    set { _tradeTimeBegin = Math.Max(0, value); }
}

private int _tradeTimeEnd = 0; // Default setting for TT
[Description("Ending trading time")]
[Category("Parameters")]
public int TTE
{
    get { return _tradeTimeEnd; }
    set { _tradeTimeEnd = Math.Max(0, value); }
}

So when I run/backtest the strat I set the TTB and TTE to the times I want trading to begin/end, regardless of the session time as defined by Ninja because often you have indicators that rely on previous bars of data that are outside of your trading range.

December 28th, 2009, 07:57 PM

Thanks Shodson, I appreciate your help. I'll give this a go.
Nano

Timed exit in auto strategy

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Timed exit in auto strategy