Using Change from Prior Day Close in Backtesting

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Sat, 10/20/2018 - 16:04
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david-de-graff
Last seen: 5 years 10 months ago
Joined: 05/19/2013 - 00:00
Using Change from Prior Day Close in Backtesting

I'm trying to use the change from prior day close as a condition of entering a trade, but don't know how to reference or calculate it.

The CH token seems to return only the change of current price from yesterday - as in today's change value, and not the change from prior day close vs the date being backtested.

Thanks for any help!

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Sun, 10/21/2018 - 15:50
cpayne
Last seen: 1 year 7 months ago
Joined: 03/30/2009 - 00:00
Change from Prior Days Close

The current close is accessed with the CL token.

I assume you are working on intraday data.  There are a few ways to access previous close but I recommend using the Session Statistics indicator set as you see below.

And the syntax for change from previous close would just be...

CL - SESST

 

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