Comments (1)
polakowo
commented on August 11, 2024
I need to clarify a couple of things:
- Do you want to (1) split into trading sessions as in the "Trading-Sessions" notebook to assess performance per trading session, or (2) have one big column with all trading sessions but just disable signals outside of open market hours? (Note: when splitting, you can't continue with cash/holdings you left off the last day since each trading session resets with the start).
- If (1), do you want your indicator to run only during that day (this means per column, so also during the pre/after hour periods), or run the indicator on the whole pricing data from day zero so it can be used in any trading session?
In any case, there is currently no other way than masking signals after running an indicator. Maybe you've got a simplified example? We can then figure out how to do it efficiently.
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