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Enter and exit positions within the same bar
Started:March 12th, 2015 (05:51 AM) by mandelmus Views / Replies:383 / 2
Last Reply:March 12th, 2015 (09:41 AM) Attachments:0

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Enter and exit positions within the same bar

Old March 12th, 2015, 05:51 AM   #1 (permalink)
Trading Apprentice
Dallas, TX
Futures Experience: Advanced
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Enter and exit positions within the same bar

I'm trying to test one of TRO's intraday strategies where you enter long at the ( daily open + 0.10 ) and exit that long position at either ( daily open + 0.20 ) for a profit or at either a stop loss at the ( entry price - 0.30 ) or at the (end of day). Only one trade is allowed per day. Since the entry and exits can occur within the same bar, I'm not sure of the best way to code this.

Also, what's the best way to configure the following settings for use with this strategy?
> [IntrabarOrderGeneration = TRUE/FALSE]
> IntrabarPersist variables
> Format Strategy > Calculation > Enable intrabar order generation and calculation
> Strategy Properties > General > Back-testing resolution > Use Look-Inside-Bar Back-testing > tick
> Strategy Properties > Backtesting > Fill entire order when trade ...
> Strategy Properties > Automation > Strategy will fill non-historical orders based on price activity

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Old March 12th, 2015, 05:51 AM   #2 (permalink)
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Old March 12th, 2015, 09:41 AM   #3 (permalink)
 Vendor: abctradinggroup.com 
Hamburg Germany
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for the programming you should use intrabar order generation and intrabarpersist for the variables that need it.
For backtesting and especially with intrabar order generation my advise would be to use the Bar Magnifier with the highest resolution possible.



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