Good suggestion, Mike. I tried implementing that idea as follows:
ForceCloseTradesAfter = 151300; NextBarOutsideRTH = (Ref(TimeNum(),1) > ForceCloseTradesAfter); NextBarNotToday = (Ref(DateNum(),1) > DateNum()); Sell = SellCondition OR NextBarOutsideRTH OR NextBarNotToday; However, there are still trades in backtesting that doesn't close on the same day. What am I missing? Do you think the trade delays of 1 bar that I have in place is causing exceptions? If so, how do I programmatically override them for the above conditions (NextBarOutsideRTH/NextBarNotToday)? --- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote: > > 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" <aghari@> 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? > > > > > > > > > >
