Listing every single day when the market as closed early is not possible in a backtest (10 years data and I don't have access to it).
A bit more background on what I'm trying to do - I'm running backtests (day session only) on 1-minute ES futures and I've a number of trades that happen to hang around until the next session open (mostly gapping up/down) before closing causing spikes in profits/losses. Is there a way to find the last quote before a certain time of the day using AFL and set that as the sell/cover price for any open positions? --- In [email protected], "Barry Scarborough" <[EMAIL PROTECTED]> wrote: > > The code is fine but you will either have to close the trade manually > on those days or if you can get a list of those days and the closing > times add that to your OR statement. > > Barry > > --- In [email protected], "aghari" <aghari@> wrote: > > > > I'm backtesting an intraday daytrading system and having trouble > > coding up sell/cover conditions that should close any open positions > > by the end of the day. > > > > I tried the following: > > > > ForceCloseTradesAfter = 151300; > > Sell = SellCondition OR (TimeNum() > ForceCloseTradesAfter); > > > > With the above I encounter days when the market closes early (early > > closure for holidays etc.) and above AFL shall fail. > > > > Is there a better way to handle closing of open positions? > > >
