Advise on best time filter

[sburtt]

Hi All,

I am trading a simple moving average cross over in the forex market, but I would like to limit trading to specific hours. In particular Monday to Friday 6am to 6pm, what would be the best way to apply this filter?

Below is the code I am currently using (but I suspect I am missing something, as it is not 100% accurate):

#region Variables
private int tradeok = 1;
#endregion

[...]

protected override void OnBarUpdate()

{
//Enter long
if (CrossAbove(SMA(Fast), SMA(Slow), 1) && tradeok == 1)
{
EnterLong();
}

//Enter short
if (CrossBelow(SMA(Fast), SMA(Slow), 1) && tradeok == 1)
{
EnterShort();
}

//Square position ahead of week-end
if (Time[0].DayOfWeek == DayOfWeek.Friday && ToTime(Time[0]) > ToTime(18, 0, 0))
{
ExitLong();
}

if (Time[0].DayOfWeek == DayOfWeek.Friday && ToTime(Time[0]) > ToTime(18, 0, 0))
{
ExitShort();
}

if (Time[0].DayOfWeek == DayOfWeek.Sunday)
{
tradeok = 0;
}

if (Time[0].DayOfWeek == DayOfWeek.Monday && ToTime(Time[0]) < ToTime(6, 0, 0))
{
tradeok = 0;
}

if (Time[0].DayOfWeek == DayOfWeek.Friday && ToTime(Time[0]) > ToTime(18, 0, 0))
{
tradeok = 0;
}

else
{
tradeok = 1;
}

}

[NinjaTrader_Matthew]

I would suggest using the methods we have outlined in our sample on this topic:

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

If you have any questions on how to use this filter, please let me know.

[sburtt]

Matt this doesn't help much, it's very basic, whilst i am trying to achieve something more customized, please read my post if you have time, it's well detailed and the tutorial doesn't help with this. I maybe should use some else if rather than if, but i am not sure how to scructure the code properly.

[NinjaTrader_Matthew]

What exactly isn't working?

[sburtt]

What exactly isn't working?

I was filled at 1am last night running the code reported below, i think i might need to use "else if" rather than "if" in part of the code, but not sure exactly where.

[koganam]

Hi All,

I am trading a simple moving average cross over in the forex market, but I would like to limit trading to specific hours. In particular Monday to Friday 6am to 6pm, what would be the best way to apply this filter?

Below is the code I am currently using (but I suspect I am missing something, as it is not 100% accurate):

That will only trade from Monday 0600hrs to Friday 1800hrs. What have you seen on your charts to indicate that that is not what is happening?

[sburtt]

That will only trade from Monday 0600hrs to Friday 1800hrs. What have you seen on your charts to indicate that that is not what is happening?

not exactly, as you can see from the attached, last night it entered a short position at 1am in the morning (that is Monday). Would the use of "else if" (rather than "if") in some parts of the code help me resolve the issue? and moreover, would there be a better way of coding what I want to achieve?

thanks for your time koganam

[koganam]

not exactly, as you can see from the attached, last night it entered a short position at 1am in the morning (that is Monday). Would the use of "else if" (rather than "if") in some parts of the code help me resolve the issue? and moreover, would there be a better way of coding what I want to achieve?

thanks for your time koganam

So it is doing what you coded. Your code says to trade at any and all times that lie within the continuous time slot starting at Monday 0600hrs and ending at Friday 1800hrs. That includes 1 AM on any weekday, other than Monday..

If that is not what you intended, then first write down what you do intend, then code it.

[sledge]

sburtt

You might want to learn about "else if" statement.

http://msdn.microsoft.com/en-us/library/vstudio/5011f09h.aspx

C#
// Change the values of these variables to test the results. 
bool Condition1 = true;
bool Condition2 = true;
bool Condition3 = true;
bool Condition4 = true;

if (Condition1)
{
    // Condition1 is true.
}
else if (Condition2)
{
    // Condition1 is false and Condition2 is true.
}
else if (Condition3)
{
    if (Condition4)
    {
        // Condition1 and Condition2 are false. Condition3 and Condition4 are true.
    }
    else
    {
        // Condition1, Condition2, and Condition4 are false. Condition3 is true.
    }
}
else
{
    // Condition1, Condition2, and Condition3 are false.
}

[sburtt]

sburtt

You might want to learn about "else if" statement.

http://msdn.microsoft.com/en-us/library/vstudio/5011f09h.aspx

C#
// Change the values of these variables to test the results. 
bool Condition1 = true;
bool Condition2 = true;
bool Condition3 = true;
bool Condition4 = true;

if (Condition1)
{
    // Condition1 is true.
}
else if (Condition2)
{
    // Condition1 is false and Condition2 is true.
}
else if (Condition3)
{
    if (Condition4)
    {
        // Condition1 and Condition2 are false. Condition3 and Condition4 are true.
    }
    else
    {
        // Condition1, Condition2, and Condition4 are false. Condition3 is true.
    }
}
else
{
    // Condition1, Condition2, and Condition3 are false.
}

Thanks for the hint, i will try playing around with this, i suspect this is what i need

[sburtt]

So it is doing what you coded. Your code says to trade at any and all times that lie within the continuous time slot starting at Monday 0600hrs and ending at Friday 1800hrs. That includes 1 AM on any weekday, other than Monday..

If that is not what you intended, then first write down what you do intend, then code it.

Koganam, that is exactly what i intended, however as i mention more than once this is not happening, as on Monday the strategy entered a position at 1am