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In writing a system for testing, has anyone written rules which will
close an open position at the end of the day (perhaps 15 minutes
before market close), and then re-open again the next morning? I'm
aiming to model my current day-trading strategy where I'm not
experienced enough to leave positions open overnight to avoid big
gains/losses from gap open. So, I'd like to remove the effects over
gap open changes from my test results.
I imagine that the time-based close is easy. But, I have not figured
out yet how to re-open a position on the open of the next day, OR
probably better - how to re-evaluate the position based on the
initial trading the next day to see whether yesterday's position
should still be open. Any thoughts?
Thanks.
Gary
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