Include time limit in backtesting strategy?

[blindsquirrel]

The documentation on time and date functions in thinkscript is pretty thin.

What I need is to limit my strategies trades to Mon-Fri, 8:30 - 3:00 pm (future's market day session).

• No trades should open before 8:30.
• All positions should flatten at 5 min before 3:00.

Looking at example scripts that use time, I attempted implementing some code:

# Flatten is true if we're 5 min or less from end of futures trading
def startTime = 0830;;
def lastFiveMinuteBar = 1455;
def endOfTradingTime = 1500;

def flatten = (GetTime() >= lastFiveMinuteBar AND GetTime() < endOfTradingTime);

But, it doesn't seem to be working.

Is there a way to get human readable time formatting from the GetTime() function?

Any help is appreciated.

 

[qinking127]

def highVol = volume > (2 * volume[1]) and volume == highest(volume, 5);
plot isHighVol = if highVol then volume else double.NaN;
isHighVol.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_up);
isHighVol.SetDefaultColor(Color.white);
isHighVol.SetLineWeight(3);

this study I wrote also works for after hours. Is there a way to only show it for regular trading hours (9:30 - 4:00)?

 

[BenTen]

@qinking127 Put a time limit in place or turn off extended hours from your chart settings.

 

[qinking127]

@qinking127 Put a time limit in place or turn off extended hours from your chart settings.

Thank you. I need to see extended hours on my chart, cannot turn it off. Put a time limit is my only choice, but not sure how to write code for it.

 

[generic]

@qinking127 If you haven't figure it out then you can copy the code from post #8 and change your plot conditions.

plot isHighVol = if highVol and RTH then volume else double.NaN;

 

[qinking127]

@qinking127 If you haven't figure it out then you can copy the code from post #8 and change your plot conditions.

plot isHighVol = if highVol and RTH then volume else double.NaN;

Really appreciate your help. got it working now.

 

[nickolaustort]

I tried to insert a time limit code into me study, no result.
I want to limit signals to day only (from 9-30 till 15-25).
What is wrong or shall I add something?

def price = close;
def X=2;
def N=5;
def iAvg = Average(volume[1],5);

def MarketOpenTime = 0930;
input TimeToStopSignal = 1525;
def TradeTimeFilter = SecondsFromTime(TimeToStopSignal);

plot signaldown = close[1]>close[2] and Volume<Volume[1] and volume[1]>iAvg;
plot signalup = close[1]<close[2] and Volume[1]>Volume[2] and volume[1]>iAvg;

signaldown.SetPaintingStrategy(paintingStrategy = PaintingStrategy.BOOLEAN_ARROW_DOWN);
signalup.SetPaintingStrategy(paintingStrategy = PaintingStrategy.BOOLEAN_ARROW_UP);
signaldown.SetDefaultColor(color = Color.YELLOW);
signalup.SetDefaultColor(color = Color.CYAN);
signalup.SetLineWeight(5);
signaldown.SetLineWeight(5);

 

[Slippage]

@nickolaustort I think this is what you want.

def isValidTime = GetTime() > RegularTradingStart(GetYYYYMMDD()) and SecondsTillTime(1525) > 0;

Then add isValidTime in your signal checks with the other conditions.

 

[nickolaustort]

@nickolaustort I think this is what you want.

def isValidTime = GetTime() > RegularTradingStart(GetYYYYMMDD()) and SecondsTillTime(1525) > 0;

Then add isValidTime in your signal checks with the other conditions.

Thank you, what is the code to have signals from Europe open till US close?

 

[Slippage]

Thank you, what is the code to have signals from Europe open till US close?

def isValidTime = SecondsFromTime(0300) > 0 and SecondsTillTime(1525) > 0;

 

[nickolaustort]

def isValidTime = SecondsFromTime(0300) > 0 and SecondsTillTime(1525) > 0;

Thanks.

 

[TNTOutburst]

I am wanting to show how much a strategy would have made if it was used on a stock during a trading day. It would find where the first time the buy order condition is true, then find the next time the sell order condition is true, and it would divide the sell close by the buy close to find the percent gained. Then I guess take the sum of each order's percents to find the total percent made. I want to put this on a scanner column so I can see which stocks a strategy would have done best on.

And using code like this to only get the trades which are during the trading day.

input start_time = 0930;
input endtime = 1600;
def Active = if GetLastDay() == GetDay() and SecondsFromTime(start_time) >= 0 and SecondsFromTime(endtime) <
0 then 1 else 0;

I use day:2min
I don't know what kind of code would be able to do this, like if you have to use fold loops or something.

 

[TNTOutburst]

I don't even know if there's much point posting this code since it's very personalized to the strategy I'm using, but I did for the most part solve how to get the trading day's total percent profit from a strategy.
I had to put a loop in a loop to get the buy and sell orders together. The order values were a tiny bit off, but I got them as close as possible.
This is the segment of code I worked into my strategy

input start_time = 0930;
input endtime = 1540;
def Active = if GetLastDay() == GetDay() and SecondsFromTime(start_time) >= 0 and SecondsFromTime(endtime) <
0 then 1 else 0;

def cond1 = MainAM > SignalAM and MainAM - SignalAM > 0 and MainAM[1] - SignalAM[1] < 0;
def cond2 =  MainAM < SignalAM and MainAM - SignalAM < 0 and MainAM[1] - SignalAM[1] > 0;
def var1 = if cond1 then (open*.8+close*.2) else 0;
def var2 = if cond2 then (open*.8+close*.2) else 0;
def openings = if Active and !Active[1] then (if cond1 then var1 else 1) else if Active then (if cond1 then var1 else openings[1]) else 0;
def closings = if Active and !Active[1] then 0 else if Active then closings[1] + (if openings==1 then 0 else var2/openings) else if !Active and Active[1] then closings[1] + (if MainAM[1] > SignalAM[1] then (open[1]*.8+close[1]*.2)/openings[1] else 0) else closings[1];

def orders = if Active and !Active[1] then cond1 else if Active then orders[1] + cond1 else (if isNaN(orders[1]) then 0 else orders[1]);

plot result = closings-orders;

 

[nightowl]

I was hoping to find a study that plots RTH pivots (woodies, standard, fibonacci) without having to manually disable extended hours in TOS. Thanks in advance

 

[nightowl]

I was hoping to find a study that plots RTH pivots (woodies, standard, fibonacci) without having to manually disable extended hours in TOS. Thanks in advance

not sure why my post was moved into this thread im simply looking for a RTH pivot indicator.

 

[rad14733]

not sure why my post was moved into this thread im simply looking for a RTH pivot indicator.

This topic explains to you how to code it to do what you are asking... Look at the topic title as it's fairly self-explanatory...

 

[minime]

Hi,
I'm looking for a code that only trigger alert from 10am-16pm.
My setup is simple, for day trading using 1-minute chart, get the average per min volume for 1st 30 mins, a baseline to compare to the rest of the day.
If the vol is higher than the baseline, then trigger the alert for a potential breakout to enter, works well for consolidation in the afternoon.
For example, FSR 3/1/2021, 2:30pm

My problem is from 9:30-10am, the vol still accumulating thus the per min vol still low, the alert get trigger too often.
How to only trigger after 10am? Any help is greatly appreciated.

Right now the code is the following

input startTime = 0930;
input endTime = 1000;

def curVolume = volume;
def Active = SecondsFromTime(startTime) >= 0 and SecondsTillTime(endTime) >= 0;
def Vol30Mins = if Active and !Active[1] then volume
                else if Active then Vol30Mins[1] + volume
                else Vol30Mins[1];

Alert(curVolume >= Round(Vol30Mins/30,0), Sound.Ring);

 

[Slippage]

How to only trigger after 10am? Any help is greatly appreciated.

input startTime = 0930;
input endTime = 1000;

def curVolume = volume;
def Active = SecondsFromTime(startTime) >= 0 and SecondsTillTime(endTime) >= 0;
def Vol30Mins = if Active and !Active[1] then volume
                else if Active then Vol30Mins[1] + volume
                else Vol30Mins[1];

Alert(curVolume >= Round(Vol30Mins/30,0), Sound.Ring);

I usually just give the answer instead of pushing the requestor to figure it out but this one is so easy I'm pretty sure you didn't try. You already have all the pieces in your script. Let's see if you can do it. I'll even give you some hints that should make it ridiculously obvious.

1. This code has an example of using SecondsFromTime() to do something only after the specified time.
2. This code already has a variable that represents 10am.
3. The line at the bottom uses Alert(). I bet we need to change something there.
4. We can see the word and used in multiple places in this code to require multiple conditions are true before doing something.

 

[minime]

I usually just give the answer instead of pushing the requestor to figure it out but this one is so easy I'm pretty sure you didn't try. You already have all the pieces in your script. Let's see if you can do it. I'll even give you some hints that should make it ridiculously obvious.

1. This code has an example of using SecondsFromTime() to do something only after the specified time.
2. This code already has a variable that represents 10am.
3. The line at the bottom uses Alert(). I bet we need to change something there.
4. We can see the word and used in multiple places in this code to require multiple conditions are true before doing something.

Thanks for the hint, I tried to put time limt as 2nd condition like this but Vol30Mins become incompatible and marked red. In other words, volume condition becomes invalid.
Alert(SecondsFromTime(1000) >= 0 and SecondsTillTime(1800) >= 0, curVolume >= Round(Vol30Mins / 30, 0), Sound.Ring);

------------------------------------------------------------
OK, I changed comma to and, the error goes away. I didn't know the "and" is condition separator, I thought it's the comma.
The code is like this now. Let me see if works properly.
Alert(SecondsFromTime(1000) >= 0 and SecondsTillTime(1800) >= 0 and curVolume >= Round(Vol30Mins / 30, 0), Sound.Ring);

 

[Slippage]

Thanks for the hint, I tried to put time limt as 2nd condition like this but Vol30Mins become incompatible and marked red. In other words, volume condition becomes invalid.
Alert(SecondsFromTime(1000) >= 0 and SecondsTillTime(1800) >= 0, curVolume >= Round(Vol30Mins / 30, 0), Sound.Ring);

------------------------------------------------------------
OK, I changed comma to and, the error goes away. I didn't know the "and" is condition separator, I thought it's the comma.
The code is like this now. Let me see if works properly.
Alert(SecondsFromTime(1000) >= 0 and SecondsTillTime(1800) >= 0 and curVolume >= Round(Vol30Mins / 30, 0), Sound.Ring);

Looks good to me.

 

[minime]

Looks good to me.

Yes, it works as intended.

One more question, how to get the average first 30 minutes vol for the last 30 days?
I've been trying to modify the following code but to no avail. It seems I can't define the period.

def volLast30DayAvg = (volume(period = "DAY")[1] + volume(period = "DAY")[2] +....volume(period = "DAY")[30]) / 30;

Can you help me out? Thank you.