|future dates to find week ends
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|Author:||ads78 [ Thu May 05, 2011 12:38 am ]|
|Post subject:||future dates to find week ends|
I am trying to backtest a strategy that evaluates once a week. I am currently having it execute only on Friday but sometimes there will be a trading holiday on Friday. Is there any way to see the date of the next bar to detect whether it is in a subsequent week. I tried using the Bars variable but it seems that the current bar will be the last in the collection.
|Author:||Dr. Anton Fokin [ Thu May 05, 2011 7:57 am ]|
|Post subject:||Re: future dates to find week ends|
I think you can use DataManager.GetHistoricalBars(...) method for this. Alternatively, you can create a calendar, fill it with holidays and use in your strategy.
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