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Clyde,
I'm speaking about TS6 and how it currently handles the SetExitOnClose
directive. If you take a look at the .gif, it illustrates the problem.
Notice that the "End of Day Exit" has an arrow pointing to the closing price
of the last bar of the day. The logic will make that decision to exit the
position, and will send the order to be executed on the open of the next
bar. The problem is that the trading day has closed and the order logic
will hold it until the next day's open.
I tried your code out with a live trade and it didn't close the
position. When I spoke with TS6 support, they advised me of the logical
problem I'm pointing out here.
Perhaps you might want to test the code with a live trade, too.
----- Original Message -----
From: "Clyde Lee" <clydelee@xxxxxxxxxx>
To: "Andy Demartini" <aed@xxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, August 15, 2002 11:06 AM
Subject: Re: Another Dumb System based on UD Volume
> That may be true for TS2000 but the attached from TS6 seems to
> indicate that TS6 does things right.
>
> Clyde
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> Clyde Lee Chairman/CEO (Home of SwingMachine)
> SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> 7910 Westglen, Suite 105 Office: (713) 783-9540
> Houston, TX 77063 Fax: (713) 783-1092
> Details at: www.theswingmachine.com
> - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> ----- Original Message -----
> From: "Andy Demartini" <aed@xxxxxxxx>
> To: "Clyde Lee" <clydelee@xxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: Thursday, August 15, 2002 8:33 AM
> Subject: Re: Another Dumb System based on UD Volume
>
>
> > Clyde,
> >
> > This system has had a couple of good days since you posted it.
> >
> > But, everyone should be aware that the "SetExitOnClose" directive
does
> > not close the position at the end of the day.
> >
> > Instead, it sets up an order to be executed at the beginning of the
> next
> > bar, 9:30 AM on the next trading day.
> >
> > This leaves the position exposed to all overnight risk.
TradeStation
> is
> > aware of this behavior, but hasn't fixed it yet.
> >
> > Caveat Trader.
> >
> > Andy Demartini
> >
> >
> > ----- Original Message -----
> > From: "Clyde Lee" <clydelee@xxxxxxxxxx>
> > To: <omega-list@xxxxxxxxxx>
> > Sent: Wednesday, August 07, 2002 9:02 AM
> > Subject: Another Dumb System based on UD Volume
> >
> >
> > > For a look at some pictures and results go to:
> > >
> > > http://www.theswingmachine.com/QQQ_ND_UD_Volume.htm
> > >
> > > The following is a very simple system based on the up and down
> > > volume of the NASDAQ. Same inputs as Oddball but using the
> > > QQQ (5 minute) instead of a futures contract.
> > >
> > > This code is for TS6 but is easily modified for any other version of
TS.
> > >
> > > System is:
> > >
> > > {System: Buy-Sell_D2D3_Diff
> > >
> > > Author: Clyde Lee, Copyrighted 2002
> > >
> > > Purpose: A very simple day trading system for the QQQ based on the up
> > > and down volume for the NASDAQ market.
> > >
> > > Buy or Sell when the difference in the Up volume and
the
> > > Down
> > > volume reach a certain specified level.
> > >
> > > Exit at end of day.
> > >
> > > Results: 60 DAYS PRIOR TO AND INCLUDING 8/6/02
> > > Trading 100 shares.
> > > Net Profit $465.00 Max Drawdown: $189.00
> > > Total Trades: 39 Winning Trades: 32
> > >
> > > Remember not stops, just exit on close.
> > > }
> > >
> > >
> > >
> > > Input: DiffLevel(600000),
> > > BegTime(1300);
> > >
> > > SetExitOnClose;
> > >
> > > Value1=C of Data2 - C of Data3;
> > >
> > > If BegTime<Time then begin
> > > If Value1>+DiffLevel and MarketPosition=0 then Buy this Bar
on
> > > Close;
> > > If Value1<-DiffLevel and MarketPosition=0 then Sell Short this Bar
on
> > > Close;
> > > End;
> > >
> > >
> > > The pictures to support this are too big. Just go to the URL at the
> first
> > > of this post to see what exists.
> > >
> > > Clyde
> > >
> > >
> >
>
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > -
> > > - - - - -
> > > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > > Houston, TX 77063 Fax: (713) 783-1092
> > > Details at: www.theswingmachine.com
> >
>
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > -
> > > - - - - -
> > >
> >
> >
> >
>
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