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Ok, I'll post some progress i've made:
I decided to look ahead at the time of the next bar, take the
difference, and if it's not equal to my timeframe (which is 5 min
bars) then we must be at the last bar of the session so i set sell to
1. Here's the statement:
Cover = (Ref(TimeNum(),1) - Ref(TimeNum(),0)) > 40000 ;
But I get strange results on every 55 minutes. The difference is 500
until 8:55 or 9:55 or 10:55, then the difference jumps to 4500. Why
could this be?
Remember this is backtest only, hence forward looking.
Nick
On Jul 13, 2009, at 11:47 AM, Nick Willemse wrote:
> Hi Everyone,
>
> I'm trying to backtest a strategy and have 5 min data. Some days
> are holidays and the closing time for the day is different on
> holidays. How can I exit the trade if i am in one on the last bar
> of the trade ? TradeStation you just add SetExitOnClose. ANything
> similar in AB?
>
> Thanks in advance
> Nick
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