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Hmmm. But the open price the next day will not be the same as the
close price. So, we loose the overnight value change....
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> I believe that the advised approach is to alter your arrays to be
> state arrays rather than signal arrays.
>
> e.g. Buy = Flip(Buy, Sell);
>
> Your position will still be closed in the previous OOS, but it will
> immediately be reopened in the current OOS if the condition still
> applies.
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@> wrote:
> >
> > Is there a way to keep trades open at the end of the out of
sample
> > walkforward step, rather than "mark to market" at the end of the
> step?
> >
> > The problem is that closing trades at the end of each step does
not
> > model trades that last longer than the walkforward step size.
> >
> > I reduced the walkforward step size to 1 day, but this has the
> implied
> > effect of closing each trade at the end of the day in the out of
> sample
> > data.
> >
> > What I really want is to confine trade entries to the step
window,
> but
> > let the trade end natrually in computing the out of sample
> performance,
> > as if I updated the entry parameters each step.
> >
>
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