Hi,
In reading Mike's post, I add this comment, my code is for visual and AA
use.
In autotrading, it's silly to close a position on the close of the day.
You need to send an order one or two minutes sooner than market close.
Best Regards
Le 04/08/2010 09:18, Mike a écrit :
Charles,
Basically the same approach, except that you would need the Sell
statement to be conditional upon recognizing the bar as being the last
bar of the day as opposed to an absolute.
So, instead of the absolute:
Sell = 1;
You would need:
Sell = <is this the last bar of the day>;
I don't trade intra day, so I'm not the best source of information for
this. However, for backtesting purposes, there are a number of ways to
recognize a date change, including looking into the future and
comparing the day of year, day of week, etc. This will not impact your
backtest results since in live trading you would know that it was in
fact the last bar of the day without looking into the future.
e.g.
Sell = DayOfYear() != Ref(DayOfYear(), 1); // Look ahead one bar
SellPrice = Close;
Alternatively, you could check for the time of the bar and trade when
recognized as the closing bar. That might depend on there actually
being a new bar for that time of day, which for low volume stocks
might not happen. Again, I'm out of my element on this one. But, there
are a number of posts from people asking how to trade between time x
and time y for a given trading day. You can search for those in the forum.
Using timeframe functions might work here too. But again, I haven't
played with those yet either.
Mike
--- In [email protected] <mailto:amibroker%40yahoogroups.com>,
"chuck_win" <ch...@...> wrote:
>
> Mike,
>
> If I use 5-m data for intraday trading, how to sell at close on same
day?
>
> Thanks.
>
> Charles
>
> --- In [email protected]
<mailto:amibroker%40yahoogroups.com>, Tony M <pqj100@> wrote:
> >
> > Mike,
> > Thank you very much. That works.
> > TM
> >
> >
> >
> > ________________________________
> > From: Mike <sfclimbers@>
> > To: [email protected] <mailto:amibroker%40yahoogroups.com>
> > Sent: Wed, April 14, 2010 10:28:26 PM
> > Subject: [amibroker] Re: How to close at the same day?
> >
> >
> > Are you using end of day data, or intra day? If end of day, try
something like
> >
> > SetTradeDelays( 0, 0, 0, 0);
> > SetOption("AllowSam eBarExit" , true);
> >
> > Buy = ...;
> > BuyPrice = Open;
> >
> > Sell = 1;
> > SellPrice = Close;
> >
> > Mike
> >
> > --- In amibro...@yahoogrou ps.com, Tony M <pqj100@> wrote:
> > >
> > > Please help me with a simple exit strategy: when backtesting, I
open my positions at the open in the morning, how can I close at the
close of the same day?
> > >
> > > I can use ApplyStop( stopTypeNBar, stopModeBars, 1) to close at
the second day, but I can not figure out a way to close at the same day.
> > >
> > > Thanks,
> > > TM
> > >
> >
>
