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> I was wondering how people who use closing prices in their
> systems or analysis will handle it when instruments trade 24 hours.
> Any thoughts or plans?
I do one of two things:
* Ignore the overnight period in my system testing and in my trading.
The system isn't aware of the non-RTH hours and it produced a good
track record with overnight positions, so I ignore the non-RTH hours
too. Hold positions overnight as the system dictates. Sweat if the
market is volatile and my leverage is at all high.
* Close positions at EOD, either by modifying my system to trade
until EOD only, or by closing at EOD and re-opening the next morning.
This removes all overnight risk and also allows you to trade with
less leverage if you want to push it that hard.
In my main systems -- short-term positions of 1-4 days in the ND and
SP -- I switch back and forth between these two approaches depending
on my nervousness about market volatility.
Gary
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