Author Topic: Strategy entry and exit prices  (Read 691 times)

bruce

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Strategy entry and exit prices
« on: September 15, 2019, 05:19:50 PM »
I noticed the entry and exit prices for any strategy is the close of the next bar after the signal.  Is there a way to change the entry / exit price to the open of the next bar after the signal?
I think this would be more reflective of the actual performance.
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Sacha

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Re: Strategy entry and exit prices
« Reply #1 on: September 16, 2019, 08:58:46 PM »
As of now it always picks the closing price. We can make it configurable. But I don't think it is very important. Do you have strong opinion about it?
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Marcelo

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Re: Strategy entry and exit prices
« Reply #2 on: October 17, 2019, 01:41:05 PM »
I wonder if it is possible to configure, I have some strategies that require buy / sell in closing the signal bar.

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Marcelo

Sacha

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Re: Strategy entry and exit prices
« Reply #3 on: October 18, 2019, 06:12:08 AM »
It's actually simple to implement for me. But I wonder if that is realistic because when market is closed you can only do trading next day and so the signal that used the data of end of day closing price can only be acted upon in following trading session.
Anyways, you have a trading system that you want to test by acting on same day. Let me find time to do it and will give you a beta build to test.
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Marcelo

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Re: Strategy entry and exit prices
« Reply #4 on: October 18, 2019, 01:04:23 PM »
Some trading systems, such as IFR2, define the entry point should occur as close as possible to the closing price.
Thank you Sasha, I look forward to testing.

Sacha

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Re: Strategy entry and exit prices
« Reply #5 on: October 19, 2019, 05:43:36 PM »
You can now configure if you want the trading action to take place on signal day itself. It is in beta but you can give it a try: beta build to backtest by trading on signal day.
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