Need help on live trading vs. backtest (DATA1/DATA2)

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Trader M
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Need help on live trading vs. backtest (DATA1/DATA2)

Postby Trader M » 24 Nov 2018

Dear trader colleagues,

I hope that someone can help me with tips on how to solve the following issue.

Assume I have a strategy with the following data:

DATA1: Session template from 0:00 to 23:59 (e.g. 1min bars)
DATA2: Session template from 8:30 to 15:00 (e.g. 1day bars)

Entries that occur e.g. at 5:00 are considered in backtest. However not in live trading.
Entries that occur e.g. at 9:00 are considered in backtest and in live trading.

My finding is that the trigger time of trades has to lie within BOTH data1 and data2 otherwise they are not executed. But this only refers to live trading, not to backtesting.

How can this be solved? Workarounds are quite hard to build sometimes since it's with a lot of High[2] of data2, Close[1] of data2 and so on.

Any help is greatly appreciated.

Regards
TraderM

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TJ
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Re: Need help on live trading vs. backtest (DATA1/DATA2)

Postby TJ » 25 Nov 2018

See post #15
[FAQ] Limit the Time of Autotrade
viewtopic.php?t=10811

Trader M
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Re: Need help on live trading vs. backtest (DATA1/DATA2)

Postby Trader M » 25 Nov 2018

Hi TJ,

thanks for the quick reply.
Unfortunately I have kind of the opposite problem. I want my system to autotrade according to my DATA1 session template which is 24/5. But the trades are not executed during hours which are not part of the DATA2 session template.

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TJ
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Re: Need help on live trading vs. backtest (DATA1/DATA2)

Postby TJ » 26 Nov 2018

Hi TJ,

thanks for the quick reply.
Unfortunately I have kind of the opposite problem. I want my system to autotrade according to my DATA1 session template which is 24/5. But the trades are not executed during hours which are not part of the DATA2 session template.

KISS


Make the Data2 24/5 as well.

Apply the trade restriction to data2 on non-market hours.

Trader M
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Joined: 06 Jan 2017
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Re: Need help on live trading vs. backtest (DATA1/DATA2)

Postby Trader M » 26 Nov 2018

Yes, that's my fallback scenario.
I hoped anyway that someone knows a setting or something that helps to keep using the pit session templates.


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