> So, would the back testing mode close all opened positions when a GAP is > detected? In other words, does it avoid overnight positions? > > The way open positions are managed is controlled by how you set your TradingSchedule instance. Neither GAP SIZE nor MIN SAMPLE SIZE affect whether any open positions will be closed. Let's look at a couple of examples.
Example 1. The trading schedule is 10am to 3pm. You happen to start JBT at 9:30am. JBT will be in the "data accumulation mode" for the period of time specified by the MIN SAMPLE SIZE. That is, it will record the data and update the indicators, but no trading will be allowed until after the period of time specified in MIN SAMPLE SIZE. This allows the indicators to "settle". I am referring to the indicators which use past data, such as all the indicators based on moving averages. The default value for MIN SAMPLE SIZE is 1 hour, so at 10:30am JBT will allow the trades to go through (if there is a corresponding buy/sell signal at that time). Example 2. The trading schedule is 10am to 3pm. At 1pm, your strategy went long and now has an open position. At 3pm, JBT will close this open position, no matter whether there were any gaps this day, the previous day, or in the overnight session in between. Example 3. The trading schedule is 10am to 3pm. At 11am, your strategy went long and now has an open position. At 11:30am, you lost your market data feed. At 12:31, the market data feed was restored. JBT will flag is as a gap, because there was no market data for a period longer than the one specified in GAP SIZE. Correspondingly, JBT will be in the "data accumulation mode" until 1:31pm, and no trades will be place till that time. Hope this makes it more clear. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
