trade strat between intra day time periods

[JoseyWales]

Hello,

I am trying to code a strategy that trades only between 7:30 and 12:30 pst and am not getting the results I want.
Other requirements that are popping up are:

Enter only between 7:30 and 12:30 but take any exit signal up until the EOD
If no exit signal then Close the trade at the end of the day

This is a reversing signal trade so I was using the auto.buy order type but with that, I cant figure out how to separate the entry from exit signals.
If I used buy to open type it would not reverse the trade.

There are lines ####out since I was trying different things.

Thanks for any help you can provide

# Charles Schwab & Co. (c) 2013-2024
#

input price = close;
input fastLength = 5;
input slowLength = 10;
input averageType = AverageType.EXPONENTIAL;
#######################################################

input StartTrading = 0730;
input EndTrading = 1230;
input MinutesTrading = 300;
def Today = if GetDay() == GetLastDay() then 1 else 0;
#def AfterStart = if SecondsFromTime(StartTrading) >= 0 then 1 else 0;
#def BeforeEnd = if SecondstillTime(EndTrading) >= 0 then 1 else 0;
#def OKToTrade = AfterStart and BeforeEnd;

def OKToTrade =SecondsFromTime(StartTrading) >= 0 and SecondstillTime(EndTrading) <= 0;


#########################################################################
plot FastMA = MovingAverage(averageType, price, fastLength);
plot SlowMA = MovingAverage(averageType, price, slowLength);
FastMA.SetDefaultColor(GetColor(1));
SlowMA.SetDefaultColor(GetColor(2));

AddOrder(OrderType.BUY_AUTO, OKToTrade and FastMA crosses above SlowMA, tickColor = GetColor(1), arrowColor = GetColor(1), name = "buy");
AddOrder(OrderType.SELL_AUTO, OKToTrade and FastMA crosses below SlowMA, tickColor = GetColor(2), arrowColor = GetColor(2), name = "sell");


def nan = Double.NaN;
def isRollover = GetYYYYMMDD() != GetYYYYMMDD()[1];
def beforeStart = GetTime() < RegularTradingStart(GetYYYYMMDD());
def afterEnd = GetTime() > RegularTradingEnd(GetYYYYMMDD());
def firstBarOfDay = if (beforeStart[1] == 1 and beforeStart == 0) or (isRollover and beforeStart == 0) then 1 else 0;
def lastBarOfDay = if (afterEnd[-2] == 1 and afterEnd == 0) or (isRollover[-2] and firstBarOfDay[-2]) then 1 else 0;






#close eod

AddOrder(OrderType.SELL_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name =lastBarOfDay+ "EOD");
AddOrder(OrderType.BUY_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name = lastBarOfDay+"EOD");

 

[halcyonguy]

Hello,

I am trying to code a strategy that trades only between 7:30 and 12:30 pst and am not getting the results I want.
Other requirements that are popping up are:

Enter only between 7:30 and 12:30 but take any exit signal up until the EOD
If no exit signal then Close the trade at the end of the day

This is a reversing signal trade so I was using the auto.buy order type but with that, I cant figure out how to separate the entry from exit signals.
If I used buy to open type it would not reverse the trade.

There are lines ####out since I was trying different things.

Thanks for any help you can provide

# Charles Schwab & Co. (c) 2013-2024
#

input price = close;
input fastLength = 5;
input slowLength = 10;
input averageType = AverageType.EXPONENTIAL;
#######################################################

input StartTrading = 0730;
input EndTrading = 1230;
input MinutesTrading = 300;
def Today = if GetDay() == GetLastDay() then 1 else 0;
#def AfterStart = if SecondsFromTime(StartTrading) >= 0 then 1 else 0;
#def BeforeEnd = if SecondstillTime(EndTrading) >= 0 then 1 else 0;
#def OKToTrade = AfterStart and BeforeEnd;

def OKToTrade =SecondsFromTime(StartTrading) >= 0 and SecondstillTime(EndTrading) <= 0;


#########################################################################
plot FastMA = MovingAverage(averageType, price, fastLength);
plot SlowMA = MovingAverage(averageType, price, slowLength);
FastMA.SetDefaultColor(GetColor(1));
SlowMA.SetDefaultColor(GetColor(2));

AddOrder(OrderType.BUY_AUTO, OKToTrade and FastMA crosses above SlowMA, tickColor = GetColor(1), arrowColor = GetColor(1), name = "buy");
AddOrder(OrderType.SELL_AUTO, OKToTrade and FastMA crosses below SlowMA, tickColor = GetColor(2), arrowColor = GetColor(2), name = "sell");


def nan = Double.NaN;
def isRollover = GetYYYYMMDD() != GetYYYYMMDD()[1];
def beforeStart = GetTime() < RegularTradingStart(GetYYYYMMDD());
def afterEnd = GetTime() > RegularTradingEnd(GetYYYYMMDD());
def firstBarOfDay = if (beforeStart[1] == 1 and beforeStart == 0) or (isRollover and beforeStart == 0) then 1 else 0;
def lastBarOfDay = if (afterEnd[-2] == 1 and afterEnd == 0) or (isRollover[-2] and firstBarOfDay[-2]) then 1 else 0;






#close eod

AddOrder(OrderType.SELL_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name =lastBarOfDay+ "EOD");
AddOrder(OrderType.BUY_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name = lastBarOfDay+"EOD");

this is a strategy

this was wrong,
#def OKToTrade = SecondsFromTime(StartTrading) >= 0 and SecondstillTime(EndTrading) <= 0;

change it to be,
SecondstillTime(EndTrading) > 0

if something doesn't work, don't be afraid to try some things.
sometimes i add lines or bubbles to get a visual of what is going on.
i added this,
addverticalline(oktotrade, "-");
to verify the oktotrade period. and it was wrong.

can choose to allow only 1 trade at a time or many
input open_trades = {default one, many};

can show a cyan line during the trade period, a little lower than the candles. ( to verify the trade opens)

i changed the addorders to be specific, BUY_to_open , sell_to_open

a trade close only happens if there is an open trade

all trades are closed on last bar of day

#strat_buy_inam_sell_dayend

#https://usethinkscript.com/threads/trade-strat-between-intra-day-time-periods.19631/
#trade strat between intra day time periods

def na = Double.NaN;
def bn = barnumber();

#######################################################

input open_trades = {default one, many};

input StartTrading = 0730;
input EndTrading = 1230;
#input MinutesTrading = 300;
#def Today = if GetDay() == GetLastDay() then 1 else 0;
#def AfterStart = if SecondsFromTime(StartTrading) >= 0 then 1 else 0;
#def BeforeEnd = if SecondstillTime(EndTrading) >= 0 then 1 else 0;
#def OKToTrade = AfterStart and BeforeEnd;

# fix this,
#def OKToTrade =SecondsFromTime(StartTrading) >= 0 and SecondstillTime(EndTrading) <= 0;
def OKToTrade = SecondsFromTime(StartTrading) >= 0 and SecondstillTime(EndTrading) > 0;


#addverticalline(oktotrade, "-");
input trade_period_line = yes;
plot z1 = if trade_period_line and oktotrade then ExpAverage((low*0.997),3) else na;
z1.SetDefaultColor(Color.cyan);
#z1.setlineweight(1);
z1.hidebubble();

#########################################################################

def price = close;
input fastLength = 5;
input slowLength = 10;
input averageType = AverageType.EXPONENTIAL;

plot FastMA = MovingAverage(averageType, price, fastLength);
plot SlowMA = MovingAverage(averageType, price, slowLength);
FastMA.SetDefaultColor(GetColor(1));
SlowMA.SetDefaultColor(GetColor(2));


def isRollover = GetYYYYMMDD() != GetYYYYMMDD()[1];
def beforeStart = GetTime() < RegularTradingStart(GetYYYYMMDD());
def afterEnd = GetTime() > RegularTradingEnd(GetYYYYMMDD());
def firstBarOfDay = if (beforeStart[1] == 1 and beforeStart == 0) or (isRollover and beforeStart == 0) then 1 else 0;
def lastBarOfDay = if (afterEnd[-2] == 1 and afterEnd == 0) or (isRollover[-2] and firstBarOfDay[-2]) then 1 else 0;

def long_open = OKToTrade and FastMA crosses above SlowMA;
def short_open = OKToTrade and FastMA crosses below SlowMA;

def lo = if bn == 1 then 0
 else if lastBarOfDay then 0
 else if long_open then 1
 else lo[1];

def so = if bn == 1 then 0
 else if lastBarOfDay then 0
 else if short_open then 1
 else so[1];


# use this to only use the first buy signal
#   (!lo[1] and lo)

def l_open;
def s_open;
switch (open_trades) {
case one:
 l_open = (!lo[1] and lo);
 s_open = (!so[1] and so);
case many:
 l_open = long_open;
 s_open = short_open;
}


# long
#AddOrder(OrderType.BUY_AUTO, long_open, tickColor = GetColor(1), arrowColor = GetColor(1), name = "buy");
#AddOrder(OrderType.BUY_to_open, long_open, tickColor = GetColor(1), arrowColor = GetColor(1), name = "buy");
AddOrder(OrderType.BUY_to_open, l_open , tickColor = GetColor(1), arrowColor = GetColor(1), name = "Long open");

# short
#AddOrder(OrderType.SELL_AUTO, OKToTrade and FastMA crosses below SlowMA, tickColor = GetColor(2), arrowColor = GetColor(2), name = "sell");
#AddOrder(OrderType.SELL_to_open, short_open, tickColor = GetColor(2), arrowColor = GetColor(2), name = "sell");
AddOrder(OrderType.SELL_to_open, s_open, tickColor = GetColor(2), arrowColor = GetColor(2), name = "Short open");


# only close a trade if one was opened
def long_close = (lo[1] > 0 and lastBarOfDay);
def short_close = (so[1] > 0 and lastBarOfDay);

#close eod
#AddOrder(OrderType.SELL_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name =lastBarOfDay+ "EOD");
#AddOrder(OrderType.BUY_TO_CLOSE, lastBarOfDay, tickcolor = Color.green, arrowcolor = Color.green, name = lastBarOfDay+"EOD");
AddOrder(OrderType.SELL_TO_CLOSE, long_close, tickcolor = Color.green, arrowcolor = Color.green, name =lastBarOfDay + "EOD");
AddOrder(OrderType.BUY_TO_CLOSE, short_close, tickcolor = Color.green, arrowcolor = Color.green, name = lastBarOfDay + "EOD");
#

 

[JoseyWales]

Thank you so much for the response Halcyonguy and thank you for
trying to teach me.
I will go through this and come back with questions.

Mr Greased Lightning

​

 

[JoseyWales]

Hello,

Okay so not sure why but I have to set the time at
start 1030
end 1530

to get the 730 1230 time frame working.
I am pst time zone.
I unhashed the line in the code to show the lines and kept adjusting.

Also not sure about the number of trades input. I tried both one and many and the results are the same.

Thanks again for looking at this

 

[JoseyWales]

Hello again,

It also doesn't appear to be taking the opposite trade.
I tried the one,many settings both ways.

here is an example.

IT took the short but didn't reverse it. It did close end of day though.

Thanks