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News Awareness

    1. Purpose of module - Introduce scheduled news awareness to strategies generated.  News awareness can be
      1. News Avoidance - So that strategies can avoid trading around scheduled news events.
        1. Sample Use Case - For low timeframe Mean Reverting strategies, it can avoid large potential whipsaws that news might introduce.
      2. News Targeting - So that strategies can specifically only on these news events/
        1. Sample Use Case - Bidirectional Breakout that may take on different volatility position size settings compared to breakout strategies using normal values of ATR during normal non-news times.
      3. Weekend/Long Holidays - as a side usage, configure for long holidays to avoid trading.  Some brokers observe lunar new year, hence price spikes and irrational market behavior happens before the closure periods or half day trading periods before these long closures (up to 12 days for some brokers) and after these long closures. Data from these brokers will also reflect the spikes and long lapse related to these closures
    2. Implementation
      1. News Source
      2. User Selection/Configuration of News Signals blocks
      3. Translating SQ Strategy to trading platform
    3. News Source
      1. To allow multiple news sources to be used
      2. Suggested choices
        1. MT5 Calendar (Bad History)
        2. ForexFactory [FF](e.g. https://www.forexfactory.com/calendar?month=jan_2007)
        3. CSV - can be automated by downloading from above news sources and user might be able to add significant news events, e.g. Global Dariy Trade release dates for NZD.  (Most Flexible, most tedious.  As method to store news events for SQ would be appropriate.)
    4. User Selection/Configuration of signal blocks and trading logic
      1. Identification of news events
        1. E.g. Selection - "High" priority events in MT5/FF
        2. E.g. Selection - "FOMC" in description in MT5/FF
        3. Filter - "Pair Only/Pair+USD/Individual selections" For AUDCAD
          1. Pair Only - Only news affecting AUD or CAD
          2. Pair + USD - News affecting AUD, CAD Plus USD
          3. Individual Selection - User has to manually select AUD, CAD, USD and perhaps CNY (if CNY news affect AUD/commodity currencies)
      2. Configuration of News Events
        1. If FOMC happens at 4pm 4th Jan 2007, User can define News event 
          1. As calendar day, e.g. whole of 4th Jan 2007
          2. +/- X hrs, e.g. X = 24 hrs where trading should stop 4pm on 3rd 2007 till 4pm on 5th Jan 2007
          3. +X / -Y hrs, where trading will stop Y hrs before 4pm till X hrs after 4pm
          4. Option to exclude weekends in hr count. (From example 2 above, if 3rd Jan is a holiday, stop trading to begin on 4pm 2nd 2007.
          5. Treat 1 day trading as holiday - If today is a trading day when yesterday and tomorrow are holiday/news avoidance, do not trade.  Rule will be useful for stock market when such days are generally low opportunities for profitable trades.
          6. Additional rule "Exit on afternoon before holiday", similar to "Exit on Friday"
          7. Option to treat a series of news event as a continuous event if their start and end times overlap.
      3. Configuration of Trading Logic
        1. For Z in
          1. News
          2. New + Holidays
          3. Holidays
        2. Trading configuration
          1. Avoid Z - Avoid trading when period is marked as Z
          2. Target Z - Only activate when period is marked as Z
        3. Boundary handling - When having orders and start/end of marked period Z
          1. Pending Order close - Yes/No
          2. Profitable Close - Yes/No
          3. Loss Close - Yes/No
          4. Forced Close - Yes/No
          5. Trade Continuation if price not past stoploss on forced closed trades - e.g. EURUSD before 8Nov2016, if trade is a short with SL at 1.10460 and the trade is forced closed due to news/election , trade entry should occur after the news event if the price after the news event is lower than 1.10460
        4. Events as a signal - The event can also serve as a signal rather than just as a filter.  Hence, with combination of other indicators, profitable patterns can be found.  2 different custom projects can have their own calendar configurations running at the same time.
    5. Translating SQ Strategy to trading platform
      1. For MT5
        1. CSV implementation - Potentially most compatible across other supported platforms.  But may require user maintenance on the calendar for non MT5 calendar events
        2. MT5 - Calendar function implementation - If user only selects the basic news avoidance offered within the MT5 calendar, full automation can be achieved.
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  • Votes +29
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

AA
#1

AngelDuz

07.04.2021 05:22

Task created

AA
#2

AngelDuz

07.04.2021 05:22
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SR
#3

SixtoRod

07.04.2021 05:24
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b
#4

bentra

07.04.2021 05:31
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CG
#5

Chris G

07.04.2021 05:40
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#6

anuffi

07.04.2021 08:53
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#7

Karish

07.04.2021 10:49
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#8

AP

07.04.2021 12:58
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#9

jakehobbs

07.04.2021 13:23
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#10

Marti

07.04.2021 20:08
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#11

Matze

07.04.2021 21:32
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mb
#12

Michal Brauner

08.04.2021 06:50
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JK
#13

Insanity82007

08.04.2021 10:41
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JK
#14

Insanity82007

08.04.2021 10:42
This is a VERY NECESSARY requirement for using strategies to trade for prop firms as many don't allow news trading
AT
#15

AngelTalavera

08.04.2021 10:51
Voted for this task.
MO
#16

mareko

08.04.2021 13:43
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JL
#17

jim6635x01

30.04.2021 11:01
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KB
#18

kbtech

27.05.2021 00:16
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JA
#19

johancdb

28.09.2021 06:52
Voted for this task.
IN
#20

altenburg90

30.12.2021 22:37
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j
#21

ScubaJosh

20.03.2022 17:02
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j
#22

ScubaJosh

20.03.2022 17:13
https://github.com/goncaloe/nnfx-news


This guy has the news backtestable. Using a server side scraper. His version is half way there you have to get past cloudflair now which I got a couple ways to do that in python. but should basically scrape the news turn it into json and parse it with the mt4 plugin shown on the github. Thats how you make it backtestable. 


This is the most important Bug you have for forex traders. You are missing all the profit strats because you cant filter out the market movers. so you cant make hedging algos because they will always blow up on build.


AH
#23

Alexx Hansen

21.03.2022 16:41
Voted for this task.
E
#24

Emmanuel

22.03.2022 15:04
Voted for this task.
E
#25

Emmanuel

22.03.2022 15:05
Good feature !
f
#26

FirestarZA

24.03.2022 18:27
Voted for this task.
M
#27

MM1

30.03.2022 00:43
Voted for this task.
Bt
#28

beetrader

15.04.2022 09:14
Voted for this task.
Cc
#29

Cyber

19.04.2022 10:58
Voted for this task.
JC
#30

yuansheng95

13.07.2022 09:40
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w
#31

wiraputu

30.11.2022 14:20
Voted for this task.
MP
#32

MP

03.12.2023 18:12
To include all news is quite a big task, but perhaps we could start at least with something simpler like: 


Close all positions X minutes before high impact news, don't open new positions until Y minutes after news. 


And just add the 3-4 very big ones that are virtually untradeable, for example NFP, CPI, FOMC


So with 20% of the effort we can have 80% of the benefit of news related protection

t
#33

tnickel

07.12.2023 10:59
Voted for this task.
Votes: +29

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