How to buy/sell at Close of a day?

• 05/03/2016 at 1:12 AM #6364
  karunswaro

  Hi,

  Looking for help with code.

  How to buy/sell on Close of a day? for forex, which 24hrs trading.

  I saw we can execute at a specific time (23hrs 30min 00sec), so used below code, but did not work.

  IF time >=233000 THEN

  SELL AT MARKET
  ENDIF

   

  Thanks in advance,

  Karun

  

  karunswaro

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  05/03/2016 at 1:35 AM #6365
  karunswaro

  Also saw a changelog on https://www.prorealtime.com/en/trading-system-programming-changelog

  the following instructions have been removed:

  • ThisBarOnClose
  • TodayOnClose
  • TomorrowClose

  How do we accomplish similar operations? sell/buy at a specific time?

   

  

  karunswaro

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  05/03/2016 at 8:06 AM #6377
  Nicolas

  Hi Karun, if you mean exit all positions at the end of the day, you can use the FlatAfter instruction:

  //exit all positions and prevent new ones to be launched until the end of the day defparam flatafter = 233000

  1 2	//exit all positions and prevent new ones to be launched until the end of the day defparam flatafter = 233000

  Is that what you were looking for?

   

   

  

  Nicolas

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  05/03/2016 at 1:15 PM #6393
  karunswaro

  Hi Nicolas,

  Thanks for your help.

  But I am looking for something like this.

  IF MyCondition AND time > 233000 THEN

  SELL AT MARKET

  ENDIF

   

  When I trade manually, I check for MyCondition 30 min before market and close my position manually, so want to do the same in backtesting.

   

  

  karunswaro

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  05/03/2016 at 1:48 PM #6396
  Nicolas

  Ok, so there may be something wrong into your “MyCondition” statement? Because “time>233000” is ok.

  And “SELL AT MARKET”, close the actual buy conditions on market.

  

  Nicolas

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  05/03/2016 at 1:55 PM #6397
  karunswaro

  Here is my code. made it simple, condition to be when closes above MA5. May be I shouldn’t take close of day and close of MA, right?

  // Conditions to exit long positions
  indicator2 = close
  indicator3 = ExponentialAverage[5](close)
  LongExitCondition = (indicator2 >= indicator3)

  IF LongOnMarket AND LongExitCondition AND TIME > 233000 THEN
  SELL AT MARKET
  ENDIF

  

  karunswaro

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  05/03/2016 at 2:04 PM #6398
  karunswaro

  How do I get price and Average[5] at a specific time (233000)?

  

  karunswaro

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  05/03/2016 at 3:45 PM #6402
  Nicolas

  You are already doing it right. On which timeframe do you use this strategy?

  

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  05/03/2016 at 3:47 PM #6403
  karunswaro

  Daily. Below code does not work. It does not close at specified time. What am I doing wrong here?

  // Conditions to exit long positions

  indicator2 = close

  indicator3 = ExponentialAverage[5](close)

  LongExitCondition = (indicator2 >= indicator3)

  IF LongOnMarket AND LongExitCondition AND TIME > 233000 THEN

  SELL AT MARKET

  ENDIF

  

  karunswaro

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  05/03/2016 at 4:51 PM #6405
  Nicolas

  That’s why it doesn’t work I think. It’s because you are testing an hour that it is never met on the daily bar. Because 00.00.00 hour is not superior to 23.30.00.

   

  

  Nicolas

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  05/03/2016 at 5:03 PM #6406
  karunswaro

  So how do I fix it?

   

  

  karunswaro

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  05/03/2016 at 5:25 PM #6408
  karunswaro

  Hi Nicolas,

  I wrote some basic code to test this, hope you can help me. I wrote an indicator “InsideBar”, which is a bar inside previous bar.

  Then I wrote backtest for it. We buy the open of next day after an Insidebar indicator, and only thing I need is the exit of position on same day at 30 min before close.

  We can test this on any stock, and below code exits on next day after entry day,

  I want the entry and exit on SAME DAY, entry on open of day and exit at 30 min before market close.

  Hope you can help me.

  //Indicator code ----- START---- REM inside bar c1= high[0] < high [1] c2= low[0] > low[1] insidebar= c1 and c2 return insidebar //Indicator code ----- END---- //Backtest code ----- START---- // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated // Conditions to enter long positions indicator1 = CALL insidebar c1 = (indicator1 > 0) IF c1 AND NOT LongOnMarket THEN BUY 1 SHARES AT MARKET ENDIF IF LongOnMarket AND time>153000 THEN SELL AT MARKET ENDIF //Backtest code ----- END----

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

  //Indicator code ----- START----   REM inside bar   c1= high[0] < high [1] c2= low[0] > low[1]   insidebar= c1 and c2   return insidebar   //Indicator code ----- END----   //Backtest code ----- START----   // Definition of code parameters DEFPARAM CumulateOrders = False // Cumulating positions deactivated   // Conditions to enter long positions indicator1 = CALL insidebar c1 = (indicator1 > 0)   IF c1 AND NOT LongOnMarket THEN BUY 1 SHARES AT MARKET ENDIF   IF LongOnMarket AND time>153000 THEN SELL AT MARKET ENDIF   //Backtest code ----- END----

   

  

  karunswaro

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  05/03/2016 at 5:39 PM #6409
  karunswaro

  Attaching screenshot….

  

  karunswaro

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  05/03/2016 at 7:21 PM #6414
  Nicolas

  Ok, with the whole code it is much clear now 🙂

  You should trade the strategy on intraday timeframe and use the daily candlesticks informations with DHIGH and DLOW.

  I rewrote the whole code to be more compliant with what you got in mind:

  DEFPARAM CumulateOrders = False DEFPARAM FlatAfter = 153000 //all positions are closed at 15:30:00 //reset a variable to tell the system that we are on a new day and we can start trade again if intradaybarindex=0 then alreadytraded = 0 endif //inside bar (using Daily candles) c1= Dhigh(1) < Dhigh(2) c2= Dlow(1) > Dlow(2) insidebar= c1 and c2 IF insidebar AND alreadytraded=0 THEN BUY 1 SHARES AT MARKET alreadytraded = 1 ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

  DEFPARAM CumulateOrders = False DEFPARAM FlatAfter = 153000 //all positions are closed at 15:30:00   //reset a variable to tell the system that we are on a new day and we can start trade again if intradaybarindex=0 then alreadytraded = 0 endif   //inside bar (using Daily candles) c1= Dhigh(1) < Dhigh(2) c2= Dlow(1) > Dlow(2) insidebar= c1 and c2   IF insidebar AND alreadytraded=0 THEN BUY 1 SHARES AT MARKET alreadytraded = 1 ENDIF

  So do your tests on 5 or even 1 minute timeframe for better prices executions.

  

  Nicolas

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  05/03/2016 at 7:43 PM #6416
  karunswaro

  Hi Nicolas,

  Thanks for your help and quick reply. Now I see the exit is happening at 153000 but the entry has issue.

  I debugged more and found the inside bar code you gave is behaving different in different time frames. I tested the same code on daily and hourly and see it’s giving false signals in hourly. Attached screenshot.

  This is what I have in code:

  REM inside bar

  c1= Dhigh(0) < Dhigh (1)
  c2= Dlow(0) > Dlow(1)

  insidebar= c1 and c2

  return insidebar

  

  karunswaro

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