Intraday / Multi-Time Frame | Keep from holding positions overnight

Modified on 2010/09/12 17:24 by Eugene — Categorized as: Knowledge Base

General

For backtesting purposes, to add the condition for exiting the position at the end of the day you do the following in a single position strategy:


if( IsLastPositionActive )
{
	// exit on the last bar of the day
	if( Bars.IsLastBarOfDay(bar) )
		ExitAtClose( bar, LastPosition, "Last Bar" );
}

Or in a multiple open positions strategy that translates to:

			
for(int p = ActivePositions.Count - 1; p >= 0; p--)
{
	Position pos = ActivePositions[p];
					
	// exit on the last bar of the day
	if( Bars.IsLastBarOfDay(bar) )
		ExitAtClose( bar, pos, "Last Bar" );
}

However, sometimes it gets more tricky. Read on below:

Problem

I'm trying to code an intraday strategy that doesn't hold any positions overnight. In order to do this I need to keep the buy limit order from being placed on the bar before the last bar of the day, since if the order gets executed, I can't get out of it on the next bar. I'm using WL6 with autotrading so I can't use SellAtClose orders (not supported).

Code

The slider for "Today Close" allows a convenient switch to adjust for a short day's close at 1pm.


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MOCStrategy : WealthScript
	{
		/* Returns 24-hour time as an integer
		 * Example: 4pm = 1600 */
		public int GetTime(int bar)
		{
			return Date[bar].Hour * 100 + Date[bar].Minute;
		}
	
		/* Adds minutes to an integer time (HHnn) and returns a HHnn time
		 * Example 1600 - 5 = 1555 */
		public int AddIntegerTime( int t, int minutes )
		{
			int res = 60 * ( t / 100 ) + ( t % 100 );	// minutes past midnight
			int res1 = res + minutes;
			res1 = res1 / 60 * 100 + ( res1 % 60 );
			if( res1 >= 2400 )
				return (res1 % 2400 );
			else if( res1 < 0 )
				return AddIntegerTime( AddIntegerTime( 2400, minutes ), res );
			else
				return res1;			
		}		
			
		/* Returns the chart bar number of the first bar of the startDay.  
		 * Example: Pass 2 to get the first bar of the second day */
		public int FirstBarofDay( int startDay )
		{
			int cnt = 0; 		
			for (int Bar = 0; Bar < Bars.Count; Bar++)
			{
				if( Bars.IntradayBarNumber( Bar ) == 0 ) cnt++;
				if( cnt == startDay ) return Bar;				
			}
			return Bars.Count;
		}
			
		
		/* Sliders 
		 * minTradeBars are the min number of bars before the end of day that an entry is allowed
		*/
		private StrategyParameter todayCloseTime;
		private StrategyParameter minTradeBars;		
		
		public MOCStrategy()
		{
			todayCloseTime = CreateParameter("Close Today", 1600, 1300, 1600, 300);				
			minTradeBars = CreateParameter("Min Trade Bars", 5, 2, 10, 1);			
		}
		
		protected override void Execute()
		{			
			int todayClose = todayCloseTime.ValueInt; 
			int minBarsInTrade = minTradeBars.ValueInt;
			int lastChartBar = Bars.Count - 1;
			int nextToLastBarTime = AddIntegerTime( todayClose, -Bars.BarInterval );							
			
			for(int bar = FirstBarofDay( 2 ); bar < Bars.Count - 1; bar++)
			{					
				if( !IsLastPositionActive )
				{
					if ( bar < lastChartBar - minBarsInTrade )
					{
						BuyAtLimit(bar + 1, Bars.Low[bar] * 0.995);
					}
				}
				else
				{
					Position p = LastPosition;									
					if( (bar == lastChartBar) && (GetTime(bar) >= nextToLastBarTime) ) 
					{	
						SetBarColor( bar, Color.Orange);
						ExitAtMarket( bar + 1, p, "Exit at open of last bar");
					}
					else if ( (bar != lastChartBar) && Bars.IsLastBarOfDay(bar + 1) )
					{
						SetBarColor( bar, Color.Orange);
						ExitAtMarket( bar + 1, p, "Exit at open of last bar");
					}
					else 
					{
						// other exit logic here
					}
				}
			}
		}
	}
}