Intraday time window backtesting Pine script

Question

How can you backtest your strategy only within a specific time window on an intraday basis?

I'm testing a combination of MACD and BB on a timeframe of 1 minute. But I only want to enter a long or short position at UTC+2 between 10am and 1430 and 1600 and 2000 for CME listed futures. I want to exit any open position within X minutes outside of the entry window.

In a simplified way, my code currently looks like below:

++

longentry = crossover(macd, signal) and src <= lowerBB shortentry = crossunder(macd, signal) and src >= upperBB

longclose = crossunder(src, lowerBB) shortclose = crossover(src, upperBB)

if longentry strategy.entry("id=LONG", strategy.long)

if shortentry strategy.entry("id=SHORT", strategy.short)

++

Your assistance would be much appreciated.

Thanks and best regards,

Bas

Please clarify your specific problem or provide additional details to highlight exactly what you need. As it's currently written, it's hard to tell exactly what you're asking. — Community

Bjorgum Bjorgum · Accepted Answer · 2021-09-29T20:42:07

Here is an example script of how to set up a time window for your trades. Below you will see a couple inputs. One is a bool to turn our filter on and off and the other is the time we would like to trade between. We then create a condition that checks if we are outside of our time, and that we have filter trades checked off. Then we add that to our entry with "and not timeFilter". I added some background color so you can see where exemption lies.

//@version=4
strategy("My Strategy", overlay=true, margin_long=100, margin_short=100)
    
useTimeFilter = input(false, "Use Time Session Filter", input.bool,    group="Filters")  
timeSession   = input("0000-0300", "Time Session To Trade In", input.session, group="Filters")    

timeFilter = na(time(timeframe.period, timeSession + ":1234567", "GMT-2")) == true and useTimeFilter 

longentry = crossover(sma(close, 14), sma(close, 28))

shortentry = crossunder(sma(close, 14), sma(close, 28))

longclose = crossunder(sma(close, 14), sma(close, 28)) 

shortclose = crossover(sma(close, 14), sma(close, 28))

if longentry and not timeFilter
    strategy.entry("LONG", strategy.long)

if longclose and not timeFilter
    strategy.entry("SHORT", strategy.short)

strategy.close("LONG", when=longclose, comment="Long Close")

strategy.close("SHORT", when=shortclose, comment="Short Close")

bgcolor(timeFilter ? color.red : na)

All the best,

Bjorgum

Intraday time window backtesting Pine script

1 Answers