Data --> Test Parameters --> Spread - allow us to add multiple spreads depending on time of day

It would be EXTREMELY useful to include on option that can be toggled on and off to add varying spreads by time of day to the Data --> Test Parameters section



For example, I'm building USDCAD (UTC+2) 5 minute strategies and have limited trading times to 03:00 to 21:00 with exit at end of day and a spread of 2. I've chosen this spread based on broker data that I've been collecting for many months.


If this feature was implemented I could set options up like this (based on UTC+2):
Start Time: 00:00   End Time: 01:00 - Spread = 8.0
Start Time: 01:00   End Time: 03:00 - Spread = 2.5

Start Time: 03:00   End Time: 21:00 - Spread = 2.0

Start Time: 21:00   End Time: 23:00 - Spread = 2.5

Start Time: 23:00   End Time: 00:00 - Spread = 3.0


This would allow me to be able to expand my trading times and for higher TF strategies I can see how they fare with rollover. 


Rollover is always a precarious time with spreads widening significantly and if spread is always a set number, a trade may not be closed out or a new trade opened in backtests where there is no end of day exit or limited trading range set. 

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  • Votes +7
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

JK
#1

Insanity82007

01.10.2020 00:30

Task created

JK
#2

Insanity82007

01.10.2020 00:31
Voted for this task.
JK
#3

Insanity82007

01.10.2020 00:33
It would also be useful to add slippage to each time window too and ?maybe min. distance? 
Rr
#4

Partizanas

01.10.2020 08:04
Voted for this task.
D
#5

Dave-S8

01.10.2020 14:24
Voted for this task.
k
#6

Karish

01.10.2020 15:33
Voted for this task.
JH
#7

Jabezz

03.10.2020 12:41
Voted for this task.
t
#8

tnickel

06.10.2020 00:50
Voted for this task.
b
#9

bentra

05.12.2020 00:12
Voted for this task.

Votes: +7

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