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BARS FILTER 4 WEEKEND |
vurbileron
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Post subject: BARS FILTER 4 WEEKEND |
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Posted: Tue 16 Jul, 2013, 14:42
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Joined: Fri 24 Aug, 2012, 21:23 Posts: 4 Location: Italy, Rome
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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. I hope my explanation is clear. Thank you. Umb.
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tcsabina
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Post subject: Re: BARS FILTER 4 WEEKEND |
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Posted: Wed 17 Jul, 2013, 11:54
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User rating: 164
Joined: Mon 08 Oct, 2012, 10:35 Posts: 676 Location: NetherlandsNetherlands
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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.
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vurbileron
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Post subject: Re: BARS FILTER 4 WEEKEND |
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Posted: Wed 17 Jul, 2013, 15:12
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Joined: Fri 24 Aug, 2012, 21:23 Posts: 4 Location: Italy, Rome
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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
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tcsabina
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Post subject: Re: BARS FILTER 4 WEEKEND |
Post rating: 0
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Posted: Wed 17 Jul, 2013, 22:27
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User rating: 164
Joined: Mon 08 Oct, 2012, 10:35 Posts: 676 Location: NetherlandsNetherlands
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I did my homework . 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]
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DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on
this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control
on their content. Anyone accessing this webpage and downloading or otherwise making use of any document,
data or information found on this webpage shall do it on his/her own risks without any recourse against
Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from
the use and/or reliance on any document, data or information found on this webpage.
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vurbileron
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Post subject: Re: BARS FILTER 4 WEEKEND |
Post rating: 0
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Posted: Fri 19 Jul, 2013, 02:04
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User rating: 0
Joined: Fri 24 Aug, 2012, 21:23 Posts: 4 Location: Italy, Rome
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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 I dont't know why, but "getPreviousBarStart" give the start of the 0 bar. So I modified the code in my own way.
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2013-07-19_0252.png [11.98 KiB]
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DISCLAIMER: Dukascopy Bank SA's waiver of responsability - Documents, data or information available on
this webpage may be posted by third parties without Dukascopy Bank SA being obliged to make any control
on their content. Anyone accessing this webpage and downloading or otherwise making use of any document,
data or information found on this webpage shall do it on his/her own risks without any recourse against
Dukascopy Bank SA in relation thereto or for any consequences arising to him/her or any third party from
the use and/or reliance on any document, data or information found on this webpage.
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