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So if I am backtesting say 5 years worth of data, I would need to find *all*
the short sessions manually and have code handle all of them one by one.
Sigh... I think I should create a text file with such updates (short
session data) and write some kind of EL function to read this file and use
that to exit. At least that way all my strategies can be coded to read that
file. As and when we run into a new short session, we would just have to
update that file with one entry.
Something to try. I would share it here if I get this done.
----- Original Message -----
From: "Jimmy Snowden" <jhsnowden@xxxxxxx>
To: "Abhijit Dey" <omegalist@xxxxxxxxxx>; <Omega-list@xxxxxxxxxx>
Sent: Monday, December 01, 2003 10:27 AM
Subject: Re: SetExitOnClose doesn't work on short sessions
> Abhijit,
>
>
> I'm no wiz at it but I would add a statement that if the date is equal
> to X and if time>=Y exitlong/exitshort; Shame to add so much code for
> such a simple thing.
>
>
> Best regards,
> Jimmy Snowden
> mailto:jhsnowden@xxxxxxx
>
>
> Monday, December 1, 2003, 10:18:38 AM, you wrote:
>
> AD> How to make SetExitOnClose work on short sessions while backtesting? I
know
> AD> which days are short and manually take off the position before market
close,
> AD> but during backtesting, the exits on short sessions are obviously
wrong.
>
> AD> TIA
>
>
>
>
> Outgoing mail scanned by Norton
>
>
>
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