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Date/Time: Mon, 23 Dec 2024 02:14:07 +0000



[User Discussion] - Spreadsheet Trading Backtest--Trades Carry Over During Holidays

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[2015-01-05 20:15:05]
User13863 - Posts: 10
Dear Support,

Thanks for a great platform.

One thing I've noticed when backtesting from a spreadsheet trading study is that it can be difficult to stop trades entered near the end of a day from carrying over to the next day's session during Holidays.

I understand that it is possible using the various J column cells to restrict auto trading, flatten positions, cancel orders, etc. at the end of the day by monitoring the current bar time values. However, during days where a session ends at an irregular time a backtested trade simply carries over to the next session.

Of course, I could program a custom trading study to ignore those Holiday times or I can go through the trade activity tab afterwards and delete the erroneous trades but both of these methods are cumbersome.

A great program could be made better if an auto end of day close trade feature were implemented.

Cheers;

Date Time Of Last Edit: 2015-01-06 01:44:22
[2015-01-05 21:13:01]
Sawtooth - Posts: 4141
The only way to do this is to create a table of holiday trading times, as in the example spreadsheet attachment.
Then the J28 formula needs to reference it with a lengthy formula, as in the text attachment.

Also, there are things you can do to automatically exit trades after the disable autotrading window:
http://www.sawtoothtrade.com/example-4.html
Date Time Of Last Edit: 2015-08-14 02:16:50
attachmentholiday J28 formula.txt - Attached On 2015-01-05 21:07:06 UTC - Size: 396 B - 555 views
attachmentHolidaysES.scwbf - Attached On 2015-01-05 21:07:45 UTC - Size: 6.02 KB - 536 views
[2015-01-06 01:49:36]
User13863 - Posts: 10
tomgilb,

Thank you for your prompt reply. Happy New Year.
[2015-01-06 08:19:18]
Sierra Chart Engineering - Posts: 104368
An end of day close position feature could easily be done as a study.

Create an ACSIL trading study that uses sc.UpdateAlways and examines the current time or the time of the last bar in case of replay. When there is a nonzero position and the appropriate time is reached, then submit an offsetting order.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

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Date Time Of Last Edit: 2015-01-06 09:35:39

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