When I optimize, how can I filter out nights when volume is low? I looked in the Strategy Optimizer combo box that lists the various CME futures, but I think overnight is included since these are hours when the specific future trades. I do use a boolean called "tradewindow" (see below) which I hang on the trade execution logical, but this is for executions -- I need to prevent the algorithm from being exposed to (training on) overnight data, so I have to clip that out?
after0835= ToTime(Time[0]) >= 083500; before1455 = ToTime(Time[0]) < 145500; after1455 = ToTime(Time[0]) > 145500; tradewindow= after0835 && before1455; exitmarket = after1455;
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