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I have a short term system that works pretty darn good liquidating on
the next day's open. Of course, no system produces winners every
time, and along that line, I'd like to see what happens if I keep a
loser (a loser on the open, that is) and try to exit a bit later that
day, or on the close.
Right now my exit (long or short, doesn't matter) is on the open the
day after entry -- no exceptions. How can I change this so that:
1) if the open is unfavorable (lower than buyprice or higher than
shortprice), I hold until the close that day (I will still take
winners on the open)
I have no idea whether this is even a good idea or not until I run
some tests on it of course -- but I have had a number of losers turn
into pushes or even winners later in the day. This has happened
often enough to make me want to explore the statistical probability
of this, at least during the sample period.
2) I would settle (very happily, thank you) for an exit right at
buyprice or shortprice intraday when the open is unfavorable. So I'd
like to test both ways, as in number 1 above, but also if number 2,
else number 1.
I do not know how to write this sell or cover statements, sadly. Any
help greatly appreciated.
Yuki
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