What about using a look ahead and comparing the date of the next bar with the date of the current bar. When not the same, then you know the current bar is the last bar of the day and you can generate a Sell signal.
Mike --- In [email protected], "aghari" <[EMAIL PROTECTED]> wrote: > > 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" <razzbarry@> > 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? > > > > > >
