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I am trying to create two moving averages, one for normal trading hours volume and the other for the off hours volume. When futures are trading during the day the volume is much higher than off hours. Using an MA of say 50 bars gives an incorrect look at the volume until 50 bars into the new time period. However, if one were using hour or 15 minute charts the MA could span days. It would be clearer or more accurate if one could only use the applicable volume when calculating the MA for normal hours vs off hours trading.
Has this been done in AFL? Can it be done in AFL? Is there an AFL function that can separate the day and night session data? Can it be done in the context of AFL or would one have to use a DLL to build separate arrays that only contain values from the two time periods?
I have tried a number of methods in AFL but none work correctly. Managing the arrays in AFL and trying to ignore spans of bars is blowing my mind.
Thanks,
Barry
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