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Date/Time: Wed, 25 Dec 2024 15:43:43 +0000



[User Discussion] - Formula for buying at market close and selling at market open

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[2015-11-26 19:14:46]
Litz - Posts: 131
I want to test a formula that would buy ES at the 4 pm close and sell pre open using the spreadsheet system for trading. I notice that the futures traders usually, maybe 90% to the time, use the off hours move to the eminis up and seldom down. I wish to back test this observation to see how profitable it would be.

I don't know what the formula would be to buy at close sell at open to input into the spreadsheet.K =(J42)=TIMEVALUE("16:15:00") L =(J42)=TIMEVALUE("09:15:00") ??

Appreciate any help.
Date Time Of Last Edit: 2015-11-26 19:39:08
[2015-11-26 22:05:02]
Sawtooth - Posts: 4143
Use an absolute reference to cell J41, and include a time range, like this:

K3:
=AND($J$41>=TIMEVALUE("16:14:58"),$J$41<TIMEVALUE("16:15:00"))
This is a 2 second window before market close.

L3:
=AND($J$41>=TIMEVALUE("09:15:00"),$J$41<TIMEVALUE("09:15:02"))
This is a 2 second window after 9:15 AM.
[2015-11-26 22:50:56]
Litz - Posts: 131
Thanks Tom. Happy Thanksgiving.

Tried those out but no buy or sell orders generated. Got no TRUE conditions met.
Date Time Of Last Edit: 2015-11-26 23:02:47
[2015-11-26 23:30:34]
Sawtooth - Posts: 4143
In a slow market, there might not be a trade within the 2 second window.

Here's another way to do it, if you are using time based bars of an interval that meets 15 min:

K3:
=AND(A3-INT(A3)>TIMEVALUE("16:14:59"),A3-INT(A3)<TIMEVALUE("16:15:01"))
L3:
=AND(A3-INT(A3)>TIMEVALUE("09:14:59"),A3-INT(A3)<TIMEVALUE("09:15:01"))

These 2 second windows will catch the bar timestamp within the floating point errors.
[2015-11-26 23:55:29]
Litz - Posts: 131
That works. Thanks for you help.

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