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Re: Closing Prices and 24-Hour Trading



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 Hi Gary,



Gary Fritz wrote:
> 
> >  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.

Yes, I'd been thinking of using an 'arbitrary' cutoff point and that
would work. But I am talking more about a scenario when we no longer use
the terms 'RTH' and 'ETH,' i.e., a time when there is no valid
distinguishing characteristic between sessions. But maybe there will
always be some difference that clocks in regularly, such as a notable
decrease in volume at a certain time in the 24-hour period. I do not
know how currency traders deal with it as they follow the sun.


> 
> * 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.

Here again EOD is like RTH...a valid distinction, for now.

Regards,
Monte