• lwiart
  • Licensed Member
  • Offline
  • Registered: 2015-04-02
  • Posts: 6

Topic: Issue with "Day Opening" indicator ?

Hello,

I've been happily using FSB for a few weeks and I'm having (I think) an issue with the "Day Opening" indicator.
The setup:
- DAX m5 data downloaded from my broker (called GER30 at FXCM)
- Generator launched (on data from 24 Jan 2014 to now)
--> Found a strategy with very low drawdown, and high SQN (see attached screen cap):
opening: Day Opening + Alligator
Closing: Stop Loss
By checking the journal, I see that it opens trades at 7am.

As a result, I want to optimize the opening hour: I change the "Day Opening" to "Entry Hour":
- I set the entry hour to 7:00 (like for "Day Opening")
--> I don't get the same results at all. I was expecting to have the same exact equity curve.
See attached screen cap (top: Day opening, down: Entry Hour 7AM)

I didn't have time yet to look in depth into the journal, but I'm wondering if I'm missing something obvious (seems to me that "Day Opening" == "Entry Hour, 7am)...


Thanks for your help, and long life to FSB!
Laurent

Post's attachments

FSB DAX strategy.JPG 121.19 kb, file has never been downloaded. 

You don't have the permssions to download the attachments of this post.
  • bold
  • Licensed Member
  • Offline
  • Registered: 2013-09-04
  • Posts: 107

Re: Issue with "Day Opening" indicator ?

I have a similar problem with Day Opening indicator.
In addition, the opening signal is ignored by MT4 (even if a trade should be opened due to the FSB Pro backtest).

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

I didn't have time yet to look in depth into the journal, but I'm wondering if I'm missing something obvious (seems to me that "Day Opening" == "Entry Hour, 7am)...

Day Opening must be equal to Entry Hour = 00:00 AM. for the 24/5 market.
Look at the Bar Explorer and see the data files. Do your bars open at 07:00?

Popov's Website

  • bold
  • Licensed Member
  • Offline
  • Registered: 2013-09-04
  • Posts: 107

Re: Issue with "Day Opening" indicator ?

I trade DAX. Depending on a broker, bars open at 6, 7 or 8 AM. When I replace Day Opening indicator with the appropriate Entry Hour (at 6, 7 or 8), backtest results considerably differ. Moreover, as I wrote above, MT4 did not open trades with Day Opening, even if backtests show that trades should have been opened with the first bar. Does the used timeframe play any role when using this indicator?

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

Does the used timeframe play any role when using this indicator?

It must work in all timeframes. I'll check the issue.

Popov's Website

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

Please check it again. On my machine Day Opening and Entry Hour = 7 works in the same way.
However, the problem may be in the data files. Due to the Summer Time change the opening hour changes from 07:00 to 06:00. Day Opening opens at the first bar Open, but Entry Time opens at the exact hour, therefore Day Opening opens at 07:00 and at 06:00 depending on the market opening hour.

I haven't tested the EA yet. Please check your journal and if you see something wrong, post a strategy and screenshot with the problem.

Popov's Website

  • bold
  • Licensed Member
  • Offline
  • Registered: 2013-09-04
  • Posts: 107

Re: Issue with "Day Opening" indicator ?

@Popov  RE: Day Opening indicator


I recall the issue with the "not-executed" entry in MT4. My VPS server had to be restarted during the wekend and after that I mistakenly set a wrong TF. My fault, sorry for the false alarm.

But there is still an issue with the backtester, even if it has changed in the meantime. The original problem seems to be solved, but there has another one appeared instead of it:

In the concrete: You are right, when I set the currently valid Entry Hour, then backtest results are the same as with Day Opening.

However the new problem is that I have noticed that FXCM data file downloaded from MT4 contains Day Opening = 7 (from 27th October to 30th March) and Day Opening = 6 (from 1st April to 26th October) at the same time. In such case it is probably impossible to make valid backtests for strategies with Entry Hour, Hourly High Low, etc. Can this irregularity be eliminated somehow?

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

I just tested DAX with Day Opening. It works fine.

http://s28.postimg.org/mzk9ac3ih/screenshot_1010.jpg

However, I set a demo EA and it does not open a position this morning. I'll dig further.

However the new problem is that I have noticed that FXCM data file downloaded from MT4 contains Day Opening = 7 (from 27th October to 30th March) and Day Opening = 6 (from 1st April to 26th October) at the same time. In such case it is probably impossible to make valid backtests for strategies with Entry Hour, Hourly High Low, etc. Can this irregularity be eliminated somehow?

I don't see an easy solution to that. A custom "Entry Hour" indicator can adjust the entry time.

But the question is do we need such adjustment. You want from the indicator to open at 07:00 and it does the job. Day Opening also does its job. It opens at the first price for the day.

Popov's Website

9 Reply by GD (edited by GD 2015-06-24 08:36:23)

  • GD
  • GD
  • Licensed Member
  • Offline
  • Registered: 2015-05-22
  • Posts: 444

Re: Issue with "Day Opening" indicator ?

Mistake

  • bold
  • Licensed Member
  • Offline
  • Registered: 2013-09-04
  • Posts: 107

Re: Issue with "Day Opening" indicator ?

Popov wrote:

I just tested DAX with Day Opening. It works fine.

http://s28.postimg.org/mzk9ac3ih/screenshot_1010.jpg

However, I set a demo EA and it does not open a position this morning. I'll dig further.

However the new problem is that I have noticed that FXCM data file downloaded from MT4 contains Day Opening = 7 (from 27th October to 30th March) and Day Opening = 6 (from 1st April to 26th October) at the same time. In such case it is probably impossible to make valid backtests for strategies with Entry Hour, Hourly High Low, etc. Can this irregularity be eliminated somehow?

I don't see an easy solution to that. A custom "Entry Hour" indicator can adjust the entry time.

But the question is do we need such adjustment. You want from the indicator to open at 07:00 and it does the job. Day Opening also does its job. It opens at the first price for the day.


You are right, Day Opening can do its job in such case.

But how to backtest a strategy, where I want to define e.g. an opening range = first hour after the market opens. One half of the year OR is from 6 to 7, while the second half the year OR is from 7 to 8?

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

You are right. A custom indicator that sets the time offset from market opening may work in such cases.

Popov's Website

  • bold
  • Licensed Member
  • Offline
  • Registered: 2013-09-04
  • Posts: 107

Re: Issue with "Day Opening" indicator ?

If you succeed in finding solution for entry indicators, what about time offset for output indicators like Exit Hour, Day Closing 2, Week Closing 2, ..... ?

  • Popov
  • Popov
  • Lead Developer
  • Offline
  • From: Bulgaria
  • Registered: 2006-11-30
  • Posts: 7,995

Re: Issue with "Day Opening" indicator ?

If you succeed in finding solution for entry indicators, what about time offset for output indicators like Exit Hour, Day Closing 2, Week Closing 2, ..... ?

There is nothing to find here. Such cases can be managed by a custom indicator that detects the market opening hour and calculates the entry/exit time as a time offset.

Such cases are out of the topic of the FSB core and a matter of custom indicators.

Popov's Website