Simple Shelley Backtester

[Eamonn]

Watch it guys Steve loves it when there's talk about time issues !!!!

[SteveHopwood]

Watch it guys Steve loves it when there's talk about time issues !!!!

It's ok here. Not my thread or my problem.

[SteveHopwood]

Steve, if you see the value of this, I (and/or probably some of our other hard-core coders) would volunteer to design a set of library calls to provide the functions you're used to using -- looking at the current price, placing orders, querying orders, etc. Then you could call e.g. SHOrderSend instead of OrderSend, and the EA library would pass it on to OrderSend. But then you could just change an "#include <EALibrary.mqh>" line to "#include <TesterLibrary.mqh>", and shazam you can backtest your EA. I think that would be possible with minimal interference to your normal coding style.

That's the only way something like this is practical. It's a BIG job to convert one of your EAs to this testing approach, and by the time I get it working, you've probably already posted 3 new releases. The "tester library" approach would also mean you could immediately see the long-term behavior of an EA as soon as you develop it, so you can tweak it if it doesn't do what you want.

If you're willing to make this change, it will IMHO HUGELY increase the value of the EAs you develop, and save untold hours forward-testing EAs or parameter sets that ultimately don't work out very well. This changes the current "keyhole view" of EA performance to a broad landscape. I think you'd like the view.

I am convinced, so yes please.

The only reason I have resisted developing libraries in the past is the one I have explained to the Great Librarian, Matt. I used a library once that users had to install on their drive, and the chaos and confusion this brought about drove me nuts. You have seen how some people cannot even codp with downloading an EA properly; just begin to imagine what these people would make of downloading a library. Cringing? You should be.

The benefits clearly outweigh the disadvantages, so time to swallow some library pills. We can set up a sticky 'How to install mgh files' for the clueless to refer to.

Thanks for all this; your work is fantastic.

[garyfritz]

Great, Steve! This will not be a small project so it'll take a while to pull together, but I am certain it'll be worth the effort. I'll get to work on it in my Copious Free Time.

In regards to Sydney opening 9 hrs after NY...Sydney is actually the first market to open each week, so (and I've probably got this completely wrong), by setting Sydney 9 hrs after NY, you are missing one session a week????

Good point, Shelley! It's the wrong terminology to say Sydney is "later" than NY. But in this case it didn't matter because I was just looking at the *hour* Sydney opened. I'd have acted every day that hour popped up, so that would have taken care of the earlier session.

London open is always 0800am UK time no matter what time it is in NY so this will vary when we have BST or GMT here in London.

Oh BOTHER. Are you certain?? I'd been told by several non-authoritative sources that "FX sessions worldwide are tied to NY time," so e.g. the week ends at 5pm NY no matter whether NY or London are on summer time. That's why e.g. my GMT+2 crim switches to GMT+3 when NY goes on summer time, so 00:00 crim time is always 17:00 NY time. That simplifies many things considerably.

If London actually does open at 08:00 local UK time, that means that in NY time (which all my crims & charts are based on), the London open time changes TWICE in the spring and TWICE in the fall -- once when NY goes on/off summer time, then again when London goes on/off summer time. And of course those dates tend to change every year. Keeping up with that is more of a pain than I'm willing to deal with for just a few weeks of difference every year.

[mackaozy]

I'm fairly certain. That just means that in the winter the london open is 8am GMT and in the summer it is 7am GMT (or 8am British summer time). It's always 8am local time.

[traderduke]

I'm fairly certain. That just means that in the winter the london open is 8am GMT and in the summer it is 7am GMT (or 8am British summer time). It's always 8am local time.

I never trust myself, I use this site to be sure! I far as I know the british banks open 8AM -LOCAL London time. Now check the website.
http://www.worldtimezone.com/

[mackaozy]

I'm fairly certain. That just means that in the winter the london open is 8am GMT and in the summer it is 7am GMT (or 8am British summer time). It's always 8am local time.

I never trust myself, I use this site to be sure! I far as I know the british banks open 8AM -LOCAL London time. Now check the website.
http://www.worldtimezone.com/

Hi. Yes it is always 8am. The confusing thing is the BST that we have here which means in the summer the london open is GMT+1. The thing to do is check the site you posted and remember that the open is always 8am local time My poor brain is hurting already!

[garyfritz]

Local time is no help for an EA or indicator. Empty4 time is based on your crim's timestamp. My crim (and I think many) shifts from GMT+2 to GMT+3 when NY goes onto summer time. This means NY closing is ALWAYS 00:00 in crim time.

If the London open time shifted with NY, then London would also always open at a fixed time relative to the Empty4 crim time. But if London open is tied to local UK time, that means:
* In the winter, London opens at 08:00 local = 08:00 GMT = 03:00 NY time = 10:00 crim time.
* On 11 March (this year anyway) NY goes to DST, crim goes to GMT+3, London open is now 11:00 crim time.
* On 25 March London goes to DST, 08:00 local is now 07:00 GMT = 10:00 crim time.
* Same thing happens in the fall.

So if London open is UK LOCAL time, then in NY-based crim time, the London open changes FOUR TIMES per year, and the change time changes every time the US or UK change their DST changeover. Yuck.

[SteveHopwood]

Local time is no help for an EA or indicator. Empty4 time is based on your crim's timestamp. My crim (and I think many) shifts from GMT+2 to GMT+3 when NY goes onto summer time. This means NY closing is ALWAYS 00:00 in crim time.

If the London open time shifted with NY, then London would also always open at a fixed time relative to the Empty4 crim time. But if London open is tied to local UK time, that means:
* In the winter, London opens at 08:00 local = 08:00 GMT = 03:00 NY time = 10:00 crim time.
* On 11 March (this year anyway) NY goes to DST, crim goes to GMT+3, London open is now 11:00 crim time.
* On 25 March London goes to DST, 08:00 local is now 07:00 GMT = 10:00 crim time.
* Same thing happens in the fall.

So if London open is UK LOCAL time, then in NY-based crim time, the London open changes FOUR TIMES per year, and the change time changes every time the US or UK change their DST changeover. Yuck.

Have you talked to Matt about this? He has a library that deals with all this.

[alex_forex]

Feel lost ?