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Yes, I would think that having trade delays, in conjunction with time
based logic, could be a source of problems.
If I understand you corrrectly, you want trade delays for your signal
based trades, but immediate trades for time limits. You can emulate
this by not having any delays and then writing code along the lines
of the following:
SetTradeDelays(0, 0, 0, 0);
SellCondition = ...
NextBarNotToday = ...
Sell = Ref(SellCondition, -1) OR NextBarNotToday;
In the above sample, the actual sell happens on the bar of the sell
instruction. But, the sell instruction refers to the signal of the
previous bar (i.e. delay of 1 bar) *or* some time based logic of the
current bar (i.e. last bar of day).
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "aghari" <aghari@xxx> wrote:
>
> Good suggestion, Mike.
>
> I tried implementing that idea as follows:
>
> ForceCloseTradesAfter = 151300;
> NextBarOutsideRTH = (Ref(TimeNum(),1) > ForceCloseTradesAfter);
> NextBarNotToday = (Ref(DateNum(),1) > DateNum());
> Sell = SellCondition OR NextBarOutsideRTH OR NextBarNotToday;
>
> However, there are still trades in backtesting that doesn't close on
> the same day. What am I missing? Do you think the trade delays of 1
> bar that I have in place is causing exceptions? If so, how do I
> programmatically override them for the above conditions
> (NextBarOutsideRTH/NextBarNotToday)?
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > What about using a look ahead and comparing the date of the next
bar
> > with the date of the current bar. When not the same, then you
know the
> > current bar is the last bar of the day and you can generate a
Sell
> > signal.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "aghari" <aghari@> wrote:
> > >
> > > 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@>
> > > 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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