Here is a simple question that I have not found the answer to:
How do I make a strategy that only takes positions between (for example) 09:00 in the morning and 20:00 at night? I have tried to make a condition with time values in the strategy analyzer, but I can't figure out how to make the strategy only be active between two time values.
Background info: I use the VWAP indicator found here on the forum for a mean reversion strategy on the YM and ES contracts (and others). When price exceeds X standard deviations above or below VWAP, a trade is triggered. However, the calculations for the VWAP indicator is restarted every midnight at 00:00 so the standard deviations becomes to small, giving my strategy a lot of false values at night. Therefore, I only want the strategy to trigger during daytime.
How do I make a strategy that only takes positions between (for example) 09:00 in the morning and 20:00 at night? I have tried to make a condition with time values in the strategy analyzer, but I can't figure out how to make the strategy only be active between two time values.
Background info: I use the VWAP indicator found here on the forum for a mean reversion strategy on the YM and ES contracts (and others). When price exceeds X standard deviations above or below VWAP, a trade is triggered. However, the calculations for the VWAP indicator is restarted every midnight at 00:00 so the standard deviations becomes to small, giving my strategy a lot of false values at night. Therefore, I only want the strategy to trigger during daytime.
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