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Is there any tool available that can block out times around news events (esp High) when backtesting (replay or strategy analyzer)? How are folks doing that now?
I just uploaded an economic news indicator that I wrote for Ninjatrader 8 to the Elite downloads section. If you have been looking for one, head over to to download it. Attached to this post you will also find an installation and configuration …
I don't know if these timestamps / priorities are outputted to the data box, but if so it could be used as a signal filter.
I'll chime in a bit:
- Use a reliable calendar source you can parse
- Think about time zones and make sure to account
- Save in a file and load array once per strategy and refresh at midnight (if you keep your live strategies running weeks or months) -- file is easy to share across strategies
- Don't use these to over optimize and curve fit
Decide your rules -- are you flat 1 hour before and 1 hour after? Etc
Extremely easy to curve fit so you want common sense rules that you don't keep changing.
Your suggestions are good for the future but i think he wants to know if there is a tool that tracks and maintain a database of previous news events so that his strategies could take this info into account when backtesting. I am not aware of such a tool that's why i think this is a manual process as suggested eariler in the thread.
You could try using different or modified trading hours to cut out the period when most data releases are announced, ie 1 hour before US Cash Open.
Maybe just use the trading hours for RTH.
or
Make your own Trading Hours template to stop data, say 5 min before announcement time. In my time zone, RTH is 14.30. Data releases are mostly 13.30pm. So stop the data at 13.25, and restart at, say, 13.45.
There will be gaps which ever way you do it. It would mean those minutes would be cut out every day.
Most market moving data releases are 1 hour before Cash Open.
