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Listing every single day when the market as closed early is not
possible in a backtest (10 years data and I don't have access to it).
A bit more background on what I'm trying to do - I'm running
backtests (day session only) on 1-minute ES futures and I've a number
of trades that happen to hang around until the next session open
(mostly gapping up/down) before closing causing spikes in profits/losses.
Is there a way to find the last quote before a certain time of the day
using AFL and set that as the sell/cover price for any open positions?
--- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough" <razzbarry@xxx>
wrote:
>
> The code is fine but you will either have to close the trade manually
> on those days or if you can get a list of those days and the closing
> times add that to your OR statement.
>
> Barry
>
> --- In amibroker@xxxxxxxxxxxxxxx, "aghari" <aghari@> wrote:
> >
> > I'm backtesting an intraday daytrading system and having trouble
> > coding up sell/cover conditions that should close any open positions
> > by the end of the day.
> >
> > I tried the following:
> >
> > ForceCloseTradesAfter = 151300;
> > Sell = SellCondition OR (TimeNum() > ForceCloseTradesAfter);
> >
> > With the above I encounter days when the market closes early (early
> > closure for holidays etc.) and above AFL shall fail.
> >
> > Is there a better way to handle closing of open positions?
> >
>
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