Excluding Dates from Backtesting

[MJUK10]

Does anyone know if it is possible to include a list of days when a strategy should not trade for back-testing purposes? The reason I ask is want to exclude certain days historically from back-testing i.e. FED announcement days and some economic reports.

Many thanks

Mark

[NinjaTrader_Bertrand]

Mark, yes you could for exampe exclude those days as part of your conditions (like a time / trading hours filter) -

http://www.ninjatrader.com/support/forum/showthread.php?t=3226

[MJUK10]

Thanks Bertrand.

How would I use these functions to exclude a list of dates though?

Would it be possible to do something like the following:

If today = excluded date
then do not trade

and then list the dates somewhere. Or would I have to write a line of code for each individual date?

I'm conscious of the amount of dates that will be listed when I back test five or ten years worth of data.

Thanks

Mark

[NinjaTrader_Bertrand]

I believe the easiest approach should be defining for example a public method in your strategy returning just a bool where you then check for each date...something along this snippet below:

 
public bool OkToTradeDays()
{ 
if (ToDay(Time[0]) == YourDateTimeAsInteger) 
return false;
else 
return true;
}

[MJUK10]

Thanks Bernard.

How would this work, not entirely sure what a public bool is. Would it go before the 'OnBarUpdate()' section.

The 'YourDateTimeAsInterger' variable, would this be a list of the dates in the varible definition list that have been given a certain integer value?

The OktoTradeDay bool would presumably be checked before each trade is entered into, could you give me a pointer on the code for this please?

As you might have guessed, my programming skills are still 'developing'.

Thanks

Mark

[NinjaTrader_Bertrand]

Ok, here is a simple snippet with a changed version of our per default shipped SampleMACrossOver where I integrated the check to not trade for example on last Friday, the 2nd July 2010 -

 
protected override void OnBarUpdate()
{
if (OkToTradeDay() && CrossAbove(SMA(Fast), SMA(Slow), 1))
EnterLong();
else if (OkToTradeDay() && CrossBelow(SMA(Fast), SMA(Slow), 1))
EnterShort();
}

public bool OkToTradeDay()
{ 
if (ToDay(Time[0]) == 20100702) 
return false;
else 
return true;
}

[MJUK10]

makes sense Bertrand.

In the public bool do I have to repeat every single date i.e.

public bool OkToTradeDay()
{
if (ToDay(Time[0]) == Date A or Date B or Date C etc)
return false;
else
return true;
}

[NinjaTrader_Bertrand]

Correct, you would need to supply the 'no trading allowed' dates in this method then.

[MJUK10]

Almost there Bertrand!

The only think i'm confused about is where does the OktoTradeDay bool go within the code?

If i put it within the main code within the protected override void OnBarUpdate() section it seems to cause all kinds of problems.

Thanks

[NinjaTrader_Bertrand]

This is an own method and it would not go into your OnBarUpdate(), you can place it for example after it, like in my sample.

[MJUK10]

I've got the code working now bertrand thanks.

However, when I put in a list of exclusion dates (as below) it throws up a
CS0019 error code, 'operator || cannot be applied to operands bool and int'

Any ideas? Thanks again.

public bool OkToTradeDay()
{
if (ToDay(Time[0]) == 20100701
|| 20100106
|| 20100113
|| 20100121
|| 20100127
|| 20100203
|| 20100210
|| 20100218
|| 20100225
|| 20100303
|| 20100310
|| 20100317
|| 20100324
|| 20100331
|| 20100407
|| 20100414
|| 20100421
|| 20100428
|| 20100505
|| 20100512
|| 20100519
|| 20100526
|| 20100603
|| 20100609
|| 20100616
|| 20100623
|| 20100630)
return false;
else
return true;
}

[NinjaTrader_Bertrand]

This will not work unfortunately, please try a structure for example as below -

 
publicbool OkToTradeDay()
{ 
if (ToDay(Time[0]) == 20100702 || 
   ToDay(Time[0]) == 20100703) 
return false;
else
return true;
}