Weekly bars, daily signals

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virginiatrader
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Weekly bars, daily signals

Postby virginiatrader » 19 Apr 2011

I'd bet this has been discussed before, so here goes:

I analyze long term trends using weekly candles and exponential moving averages, and execute trades using daily candles. When MC builds weekly candles, the program "closes" the week on Friday, so any signal generated by a system using weekly data would only come on a Friday.

Since the actual "signal day" could be any of the other four days of the week, how do I have MC show me the day when the signal actually occurs?

For example, a signal to buy the 10 Year Treasury Note happens at the close on Wednesday, but the weekly candle isn't final until the close Friday, and I miss two days of the trade.

I'm stuck!

virginiatrader

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Stan Bokov
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Re: Weekly bars, daily signals

Postby Stan Bokov » 20 Apr 2011

You can run the signal on a daily chart, and base it on the weekly chart. That way you can see when the trade goes in.

What you need to do is this:
1. Add two data series to your chart, daily on the top, and weekly second.
2. In your signal script, refer to data2 (weekly) for trading decisions
3. Apply the signal to your daily chart.

You can also trade mid-week on a weekly chart if you turn on IntrabarOrderGeneration (IOG). That can be turned on by double-clicking on the signal > Format > Properties > Tick the Enable IOG tickbox. This means you can auto trade mid-week even when looking at weekly bars. However, you will be able to see the actual days during backtesting only in the Strategy Performance Report (on the chart it will not tell you which DAY it traded on, only the price), and during real-time you can see the day of the trade in the Order and Position Tracker (again, not on the chart).

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virginiatrader
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Re: Weekly bars, daily signals

Postby virginiatrader » 20 Apr 2011

Stan:

Thanks very much for the quick reply. I look forward to implementing your recommendations, and will let the forum know of the outcome.

virginiatrader


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