Dukascopy Support Board
http://www.dukascopy.com/swiss/english/forex/jforex/forum/

BARS FILTER 4 WEEKEND
http://www.dukascopy.com/swiss/english/forex/jforex/forum/viewtopic.php?f=81&t=49623		 Page 1 of 1
Author:  vurbileron [ Tue 16 Jul, 2013, 14:42 ]
Post subject:  BARS FILTER 4 WEEKEND
Hi guys,

i have a little problem. When I do my back-test, on ONE_HOUR time-frame, the historical tester take also the flats bars of the week-end. I know there are filters but i don't know how to use them.
Now I'm using the getBar method with shift.

This is the situation:

LONG ENTRY: if the close of the last bar is the lowest of the last 5 bars, BUY.

but when the market open (22:00 gmt:0 on sunday) sometime I have a wrong entry signal, because the platform read all the flats candle during the weekend.


Image

I hope my explanation is clear.
Thank you.

Umb.

Attachments:
File comment: THIS IS AN EXEMPLE
2013-07-16_1525.png [25.81 KiB]
Downloaded 720 times
Author:  tcsabina [ Wed 17 Jul, 2013, 11:54 ]
Post subject:  Re: BARS FILTER 4 WEEKEND
What is your method the get the last 5 bars? Could you modify that part and check if the bar was a flat one? (Like if bar.getOpen() == bar.getClose().)

Filters (as far as I know) are used for indicator calculation, or can be used for chart drawings (not to draw flat candles). If you use/calculate bar data on your own, without indicators, you have to implement your own 'flat filter', just as I mentioned above.
Author:  vurbileron [ Wed 17 Jul, 2013, 15:12 ]
Post subject:  Re: BARS FILTER 4 WEEKEND
tcsabina wrote:
What is your method the get the last 5 bars? Could you modify that part and check if the bar was a flat one? (Like if bar.getOpen() == bar.getClose().)

Filters (as far as I know) are used for indicator calculation, or can be used for chart drawings (not to draw flat candles). If you use/calculate bar data on your own, without indicators, you have to implement your own 'flat filter', just as I mentioned above.



If I use your filter (bar.getOpen() == bar.getClose()) it can take something like a doji, especially in low TF.
I was using this method:

IBar PreviuosOne =  history.getBar(this.cross, this.period, OfferSide.BID, 1);
for(int i=2; i<=lastBar; i++){
            IBar checkbar = history.getBar(this.cross, this.period, OfferSide.BID, i);
            if(PreviousOne.getClose()>checkbar.getClose())
              {
              control=false;
              break;
              }
            }   
        return control;   


Now I'm watching for a solution here: https://www.dukascopy.com/wiki/#History_bars
Author:  tcsabina [ Wed 17 Jul, 2013, 22:27 ]
Post subject:  Re: BARS FILTER 4 WEEKEND
I did my homework :D.
See attached strategy that returns the last 5 non-flat candle for every bar.
package jforex;

import java.util.*;

import com.dukascopy.api.*;
import java.text.SimpleDateFormat;

public class NonFlatBars implements IStrategy {
    private IEngine engine;
    private IConsole console;
    private IHistory history;
    private IContext context;
    private IIndicators indicators;
    private IUserInterface userInterface;
    private SimpleDateFormat sdf;
        
    @Configurable("Instrument")
    public Instrument selectedInstrument = Instrument.EURUSD;
    @Configurable("Period")
    public Period selectedPeriod = Period.THIRTY_MINS;
    
    public void onStart(IContext context) throws JFException {
        this.engine = context.getEngine();
        this.console = context.getConsole();
        this.history = context.getHistory();
        this.context = context;
        this.indicators = context.getIndicators();
        this.userInterface = context.getUserInterface();
        sdf = new SimpleDateFormat("yyyy.MM.dd_HH:mm:ss");
        sdf.setTimeZone(TimeZone.getTimeZone("GMT"));
    }

    public void onAccount(IAccount account) throws JFException {
    }

    public void onMessage(IMessage message) throws JFException {
    }

    public void onStop() throws JFException {
    }

    public void onTick(Instrument instrument, ITick tick) throws JFException {
    }
    
    public void onBar(Instrument instrument, Period period, IBar askBar, IBar bidBar) throws JFException {
        IBar prevBar;
        IBar []nonFlatBars;
        int barCount = 0;
        int i = 1;
        
        nonFlatBars = new IBar[5];
        if ( (selectedPeriod == period) && (selectedInstrument == instrument) ) {
            while (barCount < 5) {
                prevBar = history.getBar(instrument, selectedPeriod, OfferSide.BID, i++);
                if ( (prevBar.getClose() == prevBar.getOpen())
                  && (prevBar.getClose() == prevBar.getHigh())
                  && (prevBar.getClose() == prevBar.getLow())
                   )
                   continue;
                else
                    nonFlatBars[barCount++] = prevBar;
            }
            
            console.getOut().println("Current bar time: " + sdf.format(bidBar.getTime()) + ". Previous 5 non-flat bars are:");            
            for (IBar bar : nonFlatBars) {
                console.getOut().println("    Bar time: " + sdf.format(bar.getTime())
                                        + "; open=" + bar.getOpen() + "; close=" + bar.getClose()
                                        + "; high=" + bar.getHigh() + "; low=" + bar.getLow());
            }
        }
    }
}


Sample output from Historical Tester:
2011.01.07 is Friday, so flat period starts at 21:30. And ends at 2011.01.09_22:00.
21:29:22 Current bar time: 2011.01.10_01:00:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.09_22:30:00; open=1.28853; close=1.28934; high=1.2896; low=1.28853
21:29:22 Bar time: 2011.01.09_23:00:00; open=1.28934; close=1.29023; high=1.29055; low=1.28934
21:29:22 Bar time: 2011.01.09_23:30:00; open=1.29045; close=1.28948; high=1.29048; low=1.28882
21:29:22 Bar time: 2011.01.10_00:00:00; open=1.28947; close=1.28975; high=1.29006; low=1.28851
21:29:22 Bar time: 2011.01.10_00:30:00; open=1.28975; close=1.29029; high=1.29052; low=1.28935
21:29:22 Current bar time: 2011.01.10_00:30:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.09_22:00:00; open=1.28745; close=1.28853; high=1.28858; low=1.28716
21:29:22 Bar time: 2011.01.09_22:30:00; open=1.28853; close=1.28934; high=1.2896; low=1.28853
21:29:22 Bar time: 2011.01.09_23:00:00; open=1.28934; close=1.29023; high=1.29055; low=1.28934
21:29:22 Bar time: 2011.01.09_23:30:00; open=1.29045; close=1.28948; high=1.29048; low=1.28882
21:29:22 Bar time: 2011.01.10_00:00:00; open=1.28947; close=1.28975; high=1.29006; low=1.28851
21:29:22 Current bar time: 2011.01.10_00:00:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Bar time: 2011.01.09_22:00:00; open=1.28745; close=1.28853; high=1.28858; low=1.28716
21:29:22 Bar time: 2011.01.09_22:30:00; open=1.28853; close=1.28934; high=1.2896; low=1.28853
21:29:22 Bar time: 2011.01.09_23:00:00; open=1.28934; close=1.29023; high=1.29055; low=1.28934
21:29:22 Bar time: 2011.01.09_23:30:00; open=1.29045; close=1.28948; high=1.29048; low=1.28882
21:29:22 Current bar time: 2011.01.09_23:30:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Bar time: 2011.01.09_22:00:00; open=1.28745; close=1.28853; high=1.28858; low=1.28716
21:29:22 Bar time: 2011.01.09_22:30:00; open=1.28853; close=1.28934; high=1.2896; low=1.28853
21:29:22 Bar time: 2011.01.09_23:00:00; open=1.28934; close=1.29023; high=1.29055; low=1.28934
21:29:22 Current bar time: 2011.01.09_23:00:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_20:30:00; open=1.29279; close=1.29087; high=1.29289; low=1.29054
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Bar time: 2011.01.09_22:00:00; open=1.28745; close=1.28853; high=1.28858; low=1.28716
21:29:22 Bar time: 2011.01.09_22:30:00; open=1.28853; close=1.28934; high=1.2896; low=1.28853
21:29:22 Current bar time: 2011.01.09_22:30:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_20:00:00; open=1.29318; close=1.29284; high=1.29337; low=1.29252
21:29:22 Bar time: 2011.01.07_20:30:00; open=1.29279; close=1.29087; high=1.29289; low=1.29054
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Bar time: 2011.01.09_22:00:00; open=1.28745; close=1.28853; high=1.28858; low=1.28716
21:29:22 Current bar time: 2011.01.09_22:00:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_19:30:00; open=1.29328; close=1.29318; high=1.29359; low=1.29289
21:29:22 Bar time: 2011.01.07_20:00:00; open=1.29318; close=1.29284; high=1.29337; low=1.29252
21:29:22 Bar time: 2011.01.07_20:30:00; open=1.29279; close=1.29087; high=1.29289; low=1.29054
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Current bar time: 2011.01.09_21:30:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_19:30:00; open=1.29328; close=1.29318; high=1.29359; low=1.29289
21:29:22 Bar time: 2011.01.07_20:00:00; open=1.29318; close=1.29284; high=1.29337; low=1.29252
21:29:22 Bar time: 2011.01.07_20:30:00; open=1.29279; close=1.29087; high=1.29289; low=1.29054
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045
21:29:22 Current bar time: 2011.01.09_21:00:00. Previous 5 non-flat bars are:
21:29:22 Bar time: 2011.01.07_19:30:00; open=1.29328; close=1.29318; high=1.29359; low=1.29289
21:29:22 Bar time: 2011.01.07_20:00:00; open=1.29318; close=1.29284; high=1.29337; low=1.29252
21:29:22 Bar time: 2011.01.07_20:30:00; open=1.29279; close=1.29087; high=1.29289; low=1.29054
21:29:22 Bar time: 2011.01.07_21:00:00; open=1.29087; close=1.29134; high=1.29209; low=1.29077
21:29:22 Bar time: 2011.01.07_21:30:00; open=1.29134; close=1.2906; high=1.29175; low=1.29045


Attachments:
NonFlatBars.java [2.54 KiB]
Downloaded 441 times
Author:  vurbileron [ Fri 19 Jul, 2013, 02:04 ]
Post subject:  Re: BARS FILTER 4 WEEKEND
I founded this way to avoid weekend bars (exemple for the last 5 bars, buy):
 long prevBarTime = history.getPreviousBarStart(period, history.getLastTick(cross).getTime());
        List<IBar> bars = history.getBars(cross, period, OfferSide.BID, Filter.WEEKENDS, numbOFbars-1, prevBarTime, 0 );
        int last = bars.size()-1;          

        for(int i=0; i<last; i++){                             
            double checkclose = bars.get(last-i).getClose();
            if(LastOne.getClose()>checkclose)
              {
              control=false;
              break;
              }
            }           

I think it is more simple and fast :-)
Image
I dont't know why, but "getPreviousBarStart" give the start of the 0 bar. So I modified the code in my own way.

Attachments:
2013-07-19_0252.png [11.98 KiB]
Downloaded 690 times
  Page 1 of 1