timed exit

January 15th, 2013, 01:24 PM

Hello Boarders

in developing intraday system how we could use the concept of timed exit at a certain time of the trading hours?
it must be applicable for range bars also beside the actual time frame ( for any tf its easy but for range bars - what to do?)

for example - we take a simple ma crossover system of a fast average and slow average.

f=fast average;
s=slow average;

so the buy and sell will be

buy=Cross(f,s);
sell=Cross(s,f); // and exit at 2300 hrs;

plot (C,"",colorgreen, 64);
PlotShapes( IIf( Buy, shapeUpArrow, shapeNone ), 51 );
PlotShapes( IIf( Sell, shapeDownArrow, shapeNone ), 42);

now if to implement that the sell condition also have a timed exit part - i.e. at a certain time - lets say at 2300 hrs - all active trade will be closed - be it buy or sell.

what is the code to be used for the timed exit?

in a breakout system, what will be a good cover and exit condition?

breakout condition for bur or sell ( cover/exit logic, code needed for this buy/sell trade)

Buy =Cross( C, Ref( HHV(H,Buyperiods), -1 )) ;
Sell =Cross(Ref(LLV(Low,Sellperiods),-1),C) ;

what condition can we apply here in the buy or sell for a good cover or exit from the trade?

rgds
sr

January 16th, 2013, 09:37 AM

If I'm understanding what you want, this should do what you are looking for...

Defines when to enter trades, and when to exit.

Code

/* Define trading start and end times. Don't take trades outside these times */
/* Include in entry/exit rules only when trading equity markets */
FirstTradeTime = 094500;				// Earliest time to take a trade
LastTradeTime = 153000;					// Latest time to take new trades
ExitAllPositionsTime = 154500;		// Exit all trades

Code

/* Buy & Sell Section */

Buy = 	... AND
		(TimeNum() >= FirstTradeTime AND TimeNum() <= LastTradeTime );

// For US equities markets, exit when the current time is greater than a certain time of Day (e.g., > 15:30)
Sell = ... OR
	 TimeNum() >= ExitAllPositionsTime;

And just use the same logic for the Sell Short and Cover.

January 16th, 2013, 10:46 AM

dwitkin

If I'm understanding what you want, this should do what you are looking for...

Defines when to enter trades, and when to exit.

Code

/* Define trading start and end times. Don't take trades outside these times */
/* Include in entry/exit rules only when trading equity markets */
FirstTradeTime = 094500;				// Earliest time to take a trade
LastTradeTime = 153000;					// Latest time to take new trades
ExitAllPositionsTime = 154500;		// Exit all trades

Code

/* Buy & Sell Section */

Buy = 	... AND
		(TimeNum() >= FirstTradeTime AND TimeNum() <= LastTradeTime );

// For US equities markets, exit when the current time is greater than a certain time of Day (e.g., > 15:30)
Sell = ... OR
	 TimeNum() >= ExitAllPositionsTime;

And just use the same logic for the Sell Short and Cover.

Hi

thanx for the prompt reply

for a time frame based afl this logic will work, but for a range bar type it is not working?
as range bars are time independent

also cud u specify a good cover/exit logic in this case , then the time based exit can be over rided

rgds
sr

timed exit

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timed exit