time windows make sense for stocks but what do i do at 3am in crypto
hey all, night shift person here as usual.
read that time-windowed skeleton thing in the strategy library, the one that's basically just an if on HhmmSs wrapped around whatever your actual entry is. really liked it, it's the kind of "shape not strategy" idea i can actually use. and the bit about forcing flat before the close, deciding to hold overnight on purpose instead of by accident, that hit a nerve because i have absolutely done the by-accident version more than once.
but i mostly trade crypto and there is no close. that's the whole thing i'm chewing on. no bell, no forced flat moment, the tape just keeps going. so a couple of questions for people who've adapted this kind of thing:
1. do you still use a window at all, or do you just let it run 24/7? my honest experience is that the hours are not the same. the stretch when both asia and europe are quiet feels thinner to me, spreads feel worse, and my little mean reversion ideas behave differently there than they do when volume shows up. so a window seems like it should help. but i've never actually tested it properly, it's vibes.
2. if you do window it, what clock? the post uses local session times which makes sense when there's one exchange. for crypto i keep going back and forth between just hardcoding UTC and thinking in "my night" which drifts around the year anyway once daylight saving messes with everyone else.
3. what replaces the forced flat? i can't say "be flat by 15:45" because 15:45 is meaningless. the closest i've got is a hard hold time cap, like if this position has been open longer than N minutes it's not doing what i thought it was doing, get out. which is already in that skeleton as one of the exit conditions, just used as the main exit instead of the backstop. does that hold up for you or does it just chop you out of the trades that would eventually work?
not looking for anyone's actual parameters, more curious how people think about it. cheers.