Weekly Daily Time Frame Back Testing

Optuma Scripting
1

Hi Everyone,

I am looking to model a trading system which uses a Weekly time frame to Enter and a Daily time frame to Exit.

Presently my system looks for a setup of certain conditions and if the next day’s price exceeds the previous Close a Buy occurs. The precursory part (i.e., the setup conditions) of the Buy script use appropriate Weekly Time Frame override. I assume that even though the Weekly Bar is not yet finished the trade pre-triggers even if the Weekly Bar is partly formed.

To force the Back Tester to only pre-trigger at the close of the Week I used the following as one of the pre-trigger conditions.

CLOSE(OFFSET=1) == WEEK()

With an OFFSET of One Daily Bar the Close price of Friday should equate to WEEK() (which should be the same price).

However, I do not think my trick is working.

Is there another way to trick the Back Tester into only looking for Weekly Buys at the Friday close?

Cheer, Lester

2

Hi Lester,

You could try using the DAYOFWEEK() function, so adding ‘and DAYOFWEEK()==6’ will only trigger on Fridays.

3

Hi Darren,
Thank you very much. I knew there must be a way Optuma could handle this.

Cheer, Lester