How to best use Exit End of Day with Range Bars?

[Lawrence Lewis]

For my Range Bar data files, the time is the time of the Open of the Range bar. For the last Range bar of the day, there's no way for Builder to know what time the close of the bar occurs. If I set Exit End Of Day, how would Builder know what price any open trades exited? On the close of the last Range bar?

Would it be better to always force the data file to have a last bat at 3:59:59 EST? Any other suggestions would be appreciated.

[Michael R. Bryant]

I know in TradeStation, the bar time is always the close of the bar, even for range bars. Keep in mind that the end-of-day exit is just for back-testing, not for real-time trading. For intraday data, you should always use a time-based exit unless you’re able to use data that ends prior to the actual close of trading, which is required to give the end-of-day exit time to execute the trade.

 

Mike Bryant

 

Subject: How to best use Exit End of Day with Range Bars?

[Keith Brightfield]

To deal with this problem I provide data to Builder that is always 2 minutes less than the real close of the session, and I set up my sessions in Tradestion to be custom sessions that end 2 minutes before the real close of the session.

From: Michael R. Bryant <m...@BreakoutFutures.com>
To: adaptrad...@googlegroups.com
Sent: Wednesday, September 18, 2013 12:28 PM
Subject: RE: How to best use Exit End of Day with Range Bars?

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[mandelmus]

Keith, that's a clever approach.  Would setting "Exit after: 2:58:00 PM" (CST) on the "Strategy Options" tab have the same effect as using the custom Tradestation session with the "Exit End-of-Day" Order Type?

From the User Guide:
"To force trades to exit by a certain time, enter the desired exit time in the Exit after option. If an intraday trade is open at that time, it will be closed at market on the next bar."

[Keith Brightfield]

Not sure, just know that this really works in real live trading. Went this way after running into some exits that didn't happen in real trading. Important thst the Builder development occur same way as you will trade since it could cause problems if you develop based on regular session and trade on a session that is shorter by 2 minutes. Sent from Yahoo! Mail on Android

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From: mandelmus <gmb...@gmail.com>;
To: <adaptrad...@googlegroups.com>;
Cc: Keith Brightfield <keithbri...@yahoo.com>;
Subject: Re: How to best use Exit End of Day with Range Bars?
Sent: Wed, Sep 18, 2013 7:30:42 PM

[Stan Carlyon]

Hi Keith,

   Have had problems like you with daily and hourly bars. Does your approach works  with intra day and daily bars?  I suspect not with daily bars because I cannot set up a custom session for daily bars in forex.

   Interested to hear your experience.

   Stan Carlyon