News Data Filter When Backtesting
News Data Filter When Backtesting
08 May 2024, 08:40
Hi, my suggestion is to create a database of all news related to forex pairs which can be filtered by their importance. When we are backtesting, if we could choose “close any open trade 5 minutes before red folder news for the pair or any additional currency of our choosing, do not open any trades 30 mins within a red folder news” kind of thing, that would be a really good improvement. I can tell the code not to take any trades during certain hours but these news data always changing, and a profitable strategy may turn unprofitable because of the losses created by these big bars, forming during the news. It becomes hard to tell if it is strategy that is not profitable, or it is unprofitable because it opens trades when it should not.