1 Topic by Herd (edited by Herd 2014-05-24 18:17:17)

  • Herd
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Topic: Week Closing contra Week Closing 2

I have generated a strategy which uses Week Closing as Closing Point of the Position and this generated strategy gives potentially good results. When I tested this strategy on an Alpari account using FST, FST program didn’t succeed in closing an opened position at the end of the week (yesterday!) – the Alpari system didn’t accept the request to close the position.

So I went back to FSB and tried to change my strategy by replacing Week Closing with Week Closing 2. The only difference – as I can see – between those two is that Week Closing 2 has parameter which allows you to choose closing time during Friday – I planned to move it forward few hours. And here comes my surprise – when I exchanged Week Closing with Week Closing 2, FSB showed that the strategy changed from making good money to total loss. I have tried to adjust Week Closing 2 towards Week Closing by changing the closing time, without any positive result – same loss.

I printed out journals from both situations (Journals by Positions without Transfers).  I found out that it doesn’t matter if I will change closing time parameter in Week Closing 2 – it always closes positions at 20.00 anyway.

So - what can be the reason for this strange behavior? (I am using FSB 3.6.0.0)

Probably, I don’t understand difference between Week Closing and Week Closing 2. In FSB Pro there is a warning message about Week Closing 2 “This indicator is designed to be used in the trader. It works as Week Closing indicator in the backtester.” – this explanation is not making me wiser. Could someone explain the difference between those two?

  • Popov
  • Popov
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Re: Week Closing contra Week Closing 2

Hello Herd,

Thanks to your report we found a bug in the indicator.

You can use this copy: Week Closing 2 from the repository.

Place it in the indicators folder and it will override the integrated one.

We'll include it in the next release.

Popov's Website

  • Herd
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Re: Week Closing contra Week Closing 2

Thank you for your exemplary quick response. Now I have exactly same behavior when using Week Closing and Week Closing 2 (i.e. both will give the same profit factor).

  • Herd
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Re: Week Closing contra Week Closing 2

In Week Closing 2, it is possible to change values of parameters “Friday close hour” or “Friday close min” from default 19.59 to some other value, and save those parameters into a strategy.

But changing of those parameters will not change behavior of the indicator - closing hour is always 20.00 as shown clearly in “Journal by Positions without Transfers”. It means that this strategy behaves in exactly same way as Week Closing.

  • Popov
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Re: Week Closing contra Week Closing 2

It means that this strategy behaves in exactly same way as Week Closing.

This is the wanted behaviour.
"Week Closing 2" indicator uses the time settings only in Trader mode (FST or FSB Pro). In Builder mode, the indicator closes the position at the last price of the week. (20:00 in your case)

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  • Herd
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Re: Week Closing contra Week Closing 2

One of the mighty (and at same time necessary) virtues of FSB and FST – and of course FSB PRO – is the fact that strategy generated in FSB during developing mode (on historical data) will be exactly repeated by FST during real mode on broker’s streaming data – a behavior I will call “parallelism”.

To have different behavior in both situation (and you have explained that it is the case with Week Closing 2) is a deviation from this important rule.  What is the reason for not using this basic requirement for parallelism in this case? 

Understanding the reason for this discrepancy will help me to use Week Closing 2 properly. Such discrepancy must have a valid reason – and not understanding why Week Closing 2 is implemented in this special way tells me that I am maybe missing some important and useful (Forex) knowledge.

  • Popov
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Re: Week Closing contra Week Closing 2

FSB fights with many problems with the trading platforms and the brokers behavior.

One of the big problems is that there is no a "Close" event.
That means the program never knows when a bar closes.
A normal logic tells that a day must close at 23:59:59.999999, but it actually closes when the last tick  arrives.
It may be at 23:59:45 or even earlier.
It is especially valid fro the Fridays when the closing hour is individual for the broker.

No one tells the platform that this is the last tick is actually the last one. So a platform never knows if a tick is the last one and it simply waits for another tick.

FSB closes a position at the end of the day in Backtesting mode because it has the complete bars and know where is the last price.

FST and FSB Pro in Trader mode closes a position at the first tick after 23:59:57.
Week Closing indicator attempts to make the same for the Fridays. The problem is that the different brokers has different closing price for the Fridays.

Here comes Week Closing 2. It acts as Week Closing in Backtester mode, but allow you to set a Friday closing price.

There is no discrepancy between backtester an the Trader if you set the time correctly.

If the Friday closing is 19:59 for example:
- the trader will close at 19:59
- backtester will close at the last price, which is also equal to the same price (if you use the same data).

The only difference may happen if there are ticks after 19:59 on Friday.

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  • Herd
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Re: Week Closing contra Week Closing 2

Thank you for explaining the details of Week Closing and Week Closing 2. Understanding those peculiarities is paramount for correct implementation of strategies with Week Closing indicators in real situation on broker’s platforms.

Also congratulations with regard to your Bulgarian holiday from yesterday - Bulgarian Education and Culture, and Slavonic Alphabet. I hope that you have had time to celebrate it properly – you seems to be working all the time!