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Enter and exit positions within the same bar
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Created: by mandelmus Attachments:0

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Enter and exit positions within the same bar

  #1 (permalink)
Trading Apprentice
Dallas, TX
 
Futures Experience: Advanced
Platform: TS, MS, SF, ToS
Favorite Futures: Forex, Stocks
 
Posts: 8 since Jun 2011
Thanks: 2 given, 3 received

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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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
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mandelmus,

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.

Regards,

ABCTG

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