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Ok let's try this:
Something very simple.
Futures S&P E-mini contract. Data includes after hours trade starting at 5:00 PM on Sunday nights.
Work from within a 15 minute time frame, create a moving average of the daily high, but do not include Sunday's or Holidays in the moving average. The code below creates an accurate 4 day moving average of each day's high. However if you read the output of this formula on any day but Friday you will see the average includes Sunday as a day in the range. Since Sunday has no trade occurring at 9:30 am through 4:00 pm, the code copies the high from the previous Friday and uses that for Sunday. It does the same for holidays.
I need some help modifying this simple code so that it will not include Sunday's, or any other day which does not have a regular market open and close (holiday's).
Thanks for taking the time to look at this.
Pete :-)
//////////////////////////TESTING/////////////////////////////////
DlyHigh = HighestSince(TimeNum == 093000, High);
DlyHighest = ValueWhen(TimeNum == 160000, DlyHigh);
tstAvgH = MA(TimeFrameCompress(DlyHighest, inDaily),4);
printf("TstAvgH: " +TimeFrameExpand(tstAvgH, inDaily) +"\n");
//////////////////////////TESTING/////////////////////////////////
--- In amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@xxx> wrote:
>
> Perhaps I've answered my own question. Check this out.
> Set up another variable:
> TradeDays = Day() >= 1 and Day() <=5;
>
> Then I use this in the moving average??? But where?
>
> RngMinAvg = MA(ValueWhen(TradeDays,DlyRngMin) , 10);
>
> or
>
> RngMinAvg = MA(DlyRngMin , ValueWhen(TradeDays,10));
>
> I don't know, I've given up coding for today and haven't plugged these in to test them. I don't think it would work.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Pete" <dryheat3@> wrote:
> >
> > Ok, here's the problem, The program skews the calculation when you try to take intra-day Futures data and compress to daily. the compression into daily tweaks the whole thing up because of Sunday's and holidays. Yes, the program is taking any trading which occurs on Sunday night and holidays and including this in the range. I need to exclude non-trade days from the moving average range and every attempt to do so has found me yelling and screaming at the computer.
> >
> > So my question is this. How to calculate the daily moving average of say, the lessor of (H-O) or (O-L), and use only the market trading hours, excluding Sundays and Holidays. My attempt below was to use the TimeOpen and TimeClose variables to restrict the O,H,L,C values I picked up along the way. This indeed works but when I try to create a moving average on a daily time frame it includes Sundays and Holidays in the 'Range' value of the moving average argument even though the trades occur outside of trading hours (Sunday) or do not trade the entire day (holidays).
> >
> > TimeOpen = 093000;
> >
> > TimeClose = 160000;
> > CurBarTime = TimeNum();
> > //Determine the value of the market open. Initial setting is for
> > //9:30 AM to match US Market Open. Adjust as need for your market
> > MrktOpen = ValueWhen(CurBarTime == TimeOpen , Open);
> > //Determine the highest high for each day's trading.
> > //Adjust time as needed for your market.
> > DlyHigh = HighestSince(CurBarTime == TimeOpen , High);
> > //Take a snapshot value of the day's high at the time of market
> > //close. Intial setting is 4:00 pm to match US Market Close.
> > //Adjust as needed for your market.
> > DlyHighest = ValueWhen(CurBarTime == TimeClose , DlyHigh);
> > printf("DlyH: " +DlyHighest +"\n");//////////////////////////////
> > //Do the same for the lowest value of the trading day.
> > //Adjust time as needed for your market.
> > DlyLow = LowestSince(CurBarTime == TimeOpen , Low);
> > DlyLowest = ValueWhen(CurBarTime == TimeClose , DlyLow);
> > printf("DlyL: " +DlyLowest +"\n");
> > //determine the market closing price
> > DlyClose = ValueWhen(CurBarTime == TimeClose , C);
> > printf("DlyC: "+DlyClose +"\n");//////////////////////////////
> > //Now calculate the min range value using Open, Low and High
> > //variables calculated above
> > RngMin = Min(DlyHighest - MrktOpen, MrktOpen - DlyLowest);
> > //Compres this to a daily time frame in order to capture
> > //the final value of the Range Min for each trading day
> > DlyRngMin = TimeFrameCompress(RngMin, inDaily, compressLast);
> > //Use the compressed variable to calculate a 10 day average\
> > RngMinAvg = MA(DlyRngMin , 10);
> >
>
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