exit end of day
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No. Bar open is not necessarily previous bar’s close. Think of instruments for which there is a defined market open and close – more often than not, the price will open higher or lower than the previous market close. With auction markets, there is also an auction in the morning before the market opens or before it closes in the afternoon. After the pre-market or post-market auction, chances are that the next open will not equal the previous close. Another example would be for instruments where there is a lack of liquidity. Next bar can open anywhere, depending on where the next trade happens to take place.
I guess it depends on what you are trading and what timeframes. For some markets and instruments it is not necessarily an issue. But still, you cannot assume this to be the case.
PS: Some trading platforms allow you define backtests with ‘OPEN ON CURRENT BAR CLOSE’ vs ‘OPEN ON NEXT BAR OPEN’ – although automated trading systems have a hard time trading ‘ ON CURRENT BAR CLOSE.’
Stef
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 11/03/2016 |
| Status: | Active |
| Attachments: | No files |
