Markets open hours after holidays while backtesting
Markets open hours after holidays while backtesting
06 Dec 2020, 10:47
It's not a huge problem to me, but eats some efforts to aviod.
When backtesting I see big difference in results if starting date is holiday or the first day after holiday.
For example, 01/11/2020 is sunday, markets are closed and when backtesting begins from 01/11/2020, markets seem to be open at 02/11/2020 01:05:00.
If backtesting begins from 02/11/2020, it seems that markets are open at 02/11/2020 03:00:00.
Thus in the two cases backtesting starts from different prices and obviously gives different results.
Can you explain how can I solve this? I'd prefer if it wouln't make difference what date I choose for the beginning of test. The first price should appear at the same time and of the same value.
PS: TimeZone = TimeZones.RussianStandardTime
Thanks in advance. cTrader is the best!
PanagiotisCharalampous
07 Dec 2020, 09:43
Hi volkov.alexandro,
Backtesting dates are based on UTC time. Markets open at 21:00/22:00 UTC, depending on DST status. Therefore, if you start your backtesting on a Sunday, then it will start on Sunday 22:00, UTC If you start it on Monday then it will start on Monday at 00:00 UTC.
Best Regards,
Panagiotis
Join us on Telegram
@PanagiotisCharalampous