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My code, downloadable from http://www.traders2trader.com, works as follows:
For each time interval specified, it compares the current value of market
breadth (ADV) to the value previously encountered at the same time of day,
and triggers a trade if the rate of change so warrants it per the parameters
given. Regardless of whether a trade is triggered, the code stores the
current value in an array, where it becomes the value previously encountered
the next trading day.
In the case of a shortened day, there will be no new values encountered for
the specified time intervals during which trading does not occur. For those
times of day, the old values from the prior day will not be replaced with
new values. Therefore, the following day, the rate of change comparison for
those times of day will be between the current value and the value at the
same time of day two trading days ago. However, for times of day in which
trading did occur on the holiday, the comparison will be the usual one
between the current trading day and the previous trading day.
In other words, the day after the holiday will have discontinuity in the
data available.
This could be problematic. One way to resolve it is: go flat at the close
of the shortened day, do not trade the following day, and wait until the
second consecutive full trading day to take new trades. If one wishes to,
one can modify the code to do this.
> -----Original Message-----
> From: pete dick [mailto:bigprofitsumdays@xxxxxxxxx]
> Sent: Thursday, February 21, 2002 9:35 PM
> To: cmjohnsonxx@xxxxxxxxx
> Subject: Does your oddball system correct for holidays
>
>
> Hi:
>
> I am slightly confused by your TS code for the oddball
> system.
>
> I wrote this email and a Dennis responded...
>
> > It quickly became
> > apparent that I could not simply go G9-G2, where
> > column G is the number of advancers to give me the
> > difference between todays natural hour and
> yesterday's
> > natural hour.
> >
> > The reason was holidays. Some days are 7 hours and
> > some 4 hours...
>
> Correctamundo. In TS, it's a simple matter to compare
> the time of a bar
> to the one x bars ago and adjust the lookback if
> necessary. It would be
> a nesting nightmare to write a one-line formula for
> all the possible
> exceptions in excel but it could be done. Probably
> easier to do it in
> VBA where you have access to loops.
>
> In plain English does your code correct for the
> holiday issue?
>
> Thanks
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