[FN] Session Range & Date Range For Backtesting

12 thg 5, 2020

This has been done before in different ways, however, my goal is to publish a single, simplified copy/paste version of the idea so you can quickly and easily incorporate it into your strategy backtesting.
You can designate weekdays, weekdays + weekends for 24/7 markets, and also session range.
So, you trade bitcoin? It works. CME futures? It works. You are a discretionary trader so the only signals that matter are the ones that happen when you're awake? It works. Copy and paste.
The goal is that its that easy. You'll have to let me know if it is. glhf everyone.

If I'm not mistaken, you should be able to copy/paste this directly into your strategy script (Paste it in before your entry declarations). Just leave out the last 2 lines where the bgcolor() is declared... unless you want the background color lit up, that's up to you. It's just for demonstration purposes in this script.

After you've pasted it in, then in your strategy.entry() function you are adding: [ signal_backtest() ] to the strategy.entry() function.
e.g:
strategy.entry("Long", strategy.long, qty=1, when = ENTRY_SIGNAL and signal_backtest())

Shoutouts to ZenAndTheArtOfTrading and allanster for providing the basis of this code that I put together here. We stand on the shoulders of giants.

28 thg 5, 2022

Phát hành các Ghi chú

Updated for v5. Now its actually a function. =)
You can add it to a library if you like (which is where I pulled it from) or use it as it is in a script.