Time Filter

[Hammerhorn]

Why is this time filter allowing some trades to happen outside the time range.

&& ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000)
 || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000)))

Thanks in advance.

[NinjaTrader_Bertrand]

Hammerhorn, you mean you see fresh entry signals happen (those that would be presumably filtered by your condition snippet posted) during a time which you would not expect?

[Hammerhorn]

Hammerhorn, you mean you see fresh entry signals happen (those that would be presumably filtered by your condition snippet posted) during a time which you would not expect?

Correct, trades are happening outside of the time range.

[NinjaTrader_Bertrand]

Would suggest you then visually idenfiy the areas where it would evaluate to true so you can debug the condition for your setup - is this being worked from a tick or time based chart?

[Hammerhorn]

Would suggest you then visually idenfiy the areas where it would evaluate to true so you can debug the condition for your setup - is this being worked from a tick or time based chart?

There is not one specific time, according to the distribution chart (entry), it happens at all times. Tick chart, volume in particular.

[NinjaTrader_Bertrand]

The time filter you posted itself look accurate to me, would suggest simplifying your script and debugging where the additional entries are coming from - there's no ambiguity here - the code will evaluate when the conditions dictate it to.

[Hammerhorn]

The time filter you posted itself look accurate to me, would suggest simplifying your script and debugging where the additional entries are coming from - there's no ambiguity here - the code will evaluate when the conditions dictate it to.

See images, which are just back tests of the codes below with the exact same parameters. Notice the slight differences in and out of the intended time filter. I am stumped on a solution.

Image, "SimplewithTimeFilter," is of this very simple code with a time filter.

// Condition set 1
            if (Close[1] > Close[2]
                && Close[2] > Close[3]
                && Close[3] >= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1
                && ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000)
                || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000)))
            {
                EnterLongLimit(DefaultQuantity, Close[2] + 2 * TickSize, "");
            }
            
             // Condition set 1
                if (Close[1] < Close[2]
                && Close[2] < Close[3]
                && Close[3] <= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1
                && ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000)
                || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000)))
            {
                EnterShortLimit(DefaultQuantity, Close[2] - 2 * TickSize, "");
            }

Image, "SimplewithoutTimeFilter," is of this very simple code without a time filter.

 // Condition set 1
            if (Close[1] > Close[2]
                && Close[2] > Close[3]
                && Close[3] >= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1)
            {
                EnterLongLimit(DefaultQuantity, Close[2] + 2 * TickSize, "");
            }
            
             // Condition set 1
                if (Close[1] < Close[2]
                && Close[2] < Close[3]
                && Close[3] <= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1)
            {
                EnterShortLimit(DefaultQuantity, Close[2] - 2 * TickSize, "");
            }

[NinjaTrader_Bertrand]

Thanks, I see - I would suggest restructuring the code to this version -

if ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000))
	{	
					// Condition set 1
					if (Close[1] > Close[2]
						&& Close[2] > Close[3]
						&& Close[3] >= Close[4]
						&& BarsSinceExit() > 2 || BarsSinceExit() == -1)
				{
					EnterLongLimit(DefaultQuantity, Close[2] + 2 * TickSize, "");
				}
				
					// Condition set 1
					if (Close[1] < Close[2]
						&& Close[2] < Close[3]
						&& Close[3] <= Close[4]
						&& BarsSinceExit() > 2 || BarsSinceExit() == -1)
				{
					EnterShortLimit(DefaultQuantity, Close[2] - 2 * TickSize, "");
				}
        	}

[Hammerhorn]

Thanks, I see - I would suggest restructuring the code to this version -

if ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000))
    {    
                    // Condition set 1
                    if (Close[1] > Close[2]
                        && Close[2] > Close[3]
                        && Close[3] >= Close[4]
                        && BarsSinceExit() > 2 || BarsSinceExit() == -1)
                {
                    EnterLongLimit(DefaultQuantity, Close[2] + 2 * TickSize, "");
                }
                
                    // Condition set 1
                    if (Close[1] < Close[2]
                        && Close[2] < Close[3]
                        && Close[3] <= Close[4]
                        && BarsSinceExit() > 2 || BarsSinceExit() == -1)
                {
                    EnterShortLimit(DefaultQuantity, Close[2] - 2 * TickSize, "");
                }
            }

Thank you, but why? What if I wanted different times for long and short?

[NinjaTrader_Bertrand]

The reason is because of the short circuit evaluation of your boolean && + || statements here having nested the time filter into the main condition. If you would like different times for longs / shorts you can move it of course directly before the if part submitting the final order as well to make more flexible -

	  if (Close[1] > Close[2]
                && Close[2] > Close[3]
                && Close[3] >= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1)
                //&& ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000)))
            {
	if ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000))
                	EnterLongLimit(DefaultQuantity, Close[2] + 2 * TickSize, "");
            }
            
           
                if (Close[1] < Close[2]
                && Close[2] < Close[3]
                && Close[3] <= Close[4]
                && BarsSinceExit() > 2 || BarsSinceExit() == -1)
                //&& ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000)))
            {
	if ((ToTime(Time[0]) >= 00000 && ToTime(Time[0]) < 20000) || (ToTime(Time[0]) >= 50000 && ToTime(Time[0]) < 100000))
                	EnterShortLimit(DefaultQuantity, Close[2] - 2 * TickSize, "");
            }