Markets open hours after holidays while backtesting

Created at 06 Dec 2020, 10:47
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volkov.alexandro

Joined 01.02.2019

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!


@volkov.alexandro
Replies

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 

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@PanagiotisCharalampous