Since the global market is highly correlated nowadays, sometimes the market structure can't be seperated day by day. Sometimes, a previous afternoon serious drop will affect the second day's morning market. Therefore I would suggest that you use an indicator that counts how many trades lost money in a continous inverval of time(may be 12 hours, 16 hours or 24 hours), not necessarily in one trading day and this indicator will determine when a stop loss order is set.
Da On Fri, Apr 8, 2011 at 8:14 PM, Paul <[email protected]> wrote: > Hi, > > I would like to introduce a number of flags within my strategy, for > example, if the strategy has too many losing trades in a day I want to > limit or stop trading. This is easy enough to do, however, during > backtesting these flags are not automatically reset at the beginning > of a new day. > > I can think of a number of ways to solve this: I could detect the new > day within the strategy from the date or time and reset the flags > explicitly. Or I could use an indicator for each flag. Both seem a > bit of a kludge, does anyone have a clean way to do this in the > current framework. > > Cheers, > Paul > > -- > 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. > > -- 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.
