Dear Wealth-Lab Community,
I am currently working on a system in which I have set „weekly“ as the data scale for the backtest. In the design surface I have selected the closing price for a buy signal. I guess the closing price automatically also refers to a weekly scale if weekly is selected at "data scale" in the "strategy settings"?
Am I right in assuming that the backtest in this case only uses the Fridays closing prices for the calculation? Or is it calculated back one week from the respective weekday, i.e. from Monday-Monday, Tuesday-Tuesday, etc.?
I am unsure because I got a buy signal on Friday, which disappeared today (Monday). Instead, there is a new buy signal based on today's share price. If only Friday's closing price is relevant, which is my goal, I guess there should not pop up any new buys within the week.
Many thanks for your answer,
Best regards,
Timo
I am currently working on a system in which I have set „weekly“ as the data scale for the backtest. In the design surface I have selected the closing price for a buy signal. I guess the closing price automatically also refers to a weekly scale if weekly is selected at "data scale" in the "strategy settings"?
Am I right in assuming that the backtest in this case only uses the Fridays closing prices for the calculation? Or is it calculated back one week from the respective weekday, i.e. from Monday-Monday, Tuesday-Tuesday, etc.?
I am unsure because I got a buy signal on Friday, which disappeared today (Monday). Instead, there is a new buy signal based on today's share price. If only Friday's closing price is relevant, which is my goal, I guess there should not pop up any new buys within the week.
Many thanks for your answer,
Best regards,
Timo
Rename
QUOTE:Correct. It would be the Weekly Close.
the closing price automatically also refers to a weekly scale if weekly is selected at "data scale" in the "strategy settings"?
QUOTE:Depends on the last trading day of the week, usually Friday for Stocks and Futures, but would be Saturday midnight for cryptos.
Am I right in assuming that the backtest in this case only uses the Fridays closing prices for the calculation?
QUOTE:If you run the strategy in the middle of the week, the last "Weekly" bar will be made up of the data available. To see the signal again, load a Date range that ends at the end of last week.
I am unsure because I got a buy signal on Friday, which disappeared today (Monday).
QUOTE:According to your goal, just ignore any signals midweek, or ignore the system until the weekend.
I guess there should not pop up any new buys within the week.
Dear Cone, many thanks for your quick and helpful reply. I highly appreciate.
Piggybacking on this inquiry from months ago. Just double checking... running the backtests on Weekly frequency shows entry dates on Friday's of the week regardless of entry (Market Close this Bar or Market Open Next Bar). However the backtest results do change when I change the entry. Can you please help me reconcile the actual entry dates on a weekly frequency in live trading? I would think that in live trading with weekly frequencies I should be able to run my strategies over the weekend or Monday morning and the system populate the necessary orders but I could be mistaken.
Any-bar strategies will always have the date of the last bar.
You're right - run the strategy any time before Monday's open. Weekly+ strategies will automatically place orders GTC, so they can be filled at any time during the week.
You can't know the actual date of a fill unless you run with Daily bars (or intraday) and scale your indicators for Weekly trading. And, if you do that, you need to enable the Trading Preference to make all strategy orders GTC.
You're right - run the strategy any time before Monday's open. Weekly+ strategies will automatically place orders GTC, so they can be filled at any time during the week.
You can't know the actual date of a fill unless you run with Daily bars (or intraday) and scale your indicators for Weekly trading. And, if you do that, you need to enable the Trading Preference to make all strategy orders GTC.
Cone... I appreciate all of the assistance you and the team provide.
Just to clarify in my own mind using a hypothetical strategy.
If I have a strategy set for Weekly frequency with "Market Open next Bar" and I run the strategy early Monday morning and it generates a buy signal for a stock, the system will NOT send a market order to my broker that Monday when market opens? If not, is there a setting that I have to check in preferences that would accomplish that.
Again thank you for all of your help and I look forward to your reply.
Just to clarify in my own mind using a hypothetical strategy.
If I have a strategy set for Weekly frequency with "Market Open next Bar" and I run the strategy early Monday morning and it generates a buy signal for a stock, the system will NOT send a market order to my broker that Monday when market opens? If not, is there a setting that I have to check in preferences that would accomplish that.
Again thank you for all of your help and I look forward to your reply.
That's not correct. If there is an At Market signal at the end of the week, you'll get that signal any time your run the strategy before Monday's close.
Of course, you will have run it before Monday's open, because the order needs to be placed for the Open. Whether or not it "sends" the order depends on if you sent it manually (after Auto-Stage, for example) or automatically by Auto-Place.
The signal will exist any time before Monday's close because the new "Weekly bar" won't form until Monday's close. Again, you know not to run your Weekly strategy for new signals again until Friday. However, if you run it each day, the weekly bar will keep changing with the latest data, and you'll be able to see fills in the backtest.
Of course, you will have run it before Monday's open, because the order needs to be placed for the Open. Whether or not it "sends" the order depends on if you sent it manually (after Auto-Stage, for example) or automatically by Auto-Place.
The signal will exist any time before Monday's close because the new "Weekly bar" won't form until Monday's close. Again, you know not to run your Weekly strategy for new signals again until Friday. However, if you run it each day, the weekly bar will keep changing with the latest data, and you'll be able to see fills in the backtest.
Cone... thank you very much for the explanation and the assistance with this. Makes perfect sense. Greatly appreciated.
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