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I just did a live trade and sure enough it is still open at 3:29 pm.
All prior days works fine but not on last bar of last day of chart.
So, substitute the following -- be sure to remove or bracket out the old
entry:
{If DayOnly=true then SetExitOnClose;}
If DayOnly then begin
If Time=Sess1EndTime then begin
If MP>0 then Sell ("xlclose") this bar on close;
If MP<0 then Buy to Cover ("xsclose") this bar on close;
End;
End;
That will close out even the last day.
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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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----- Original Message -----
From: "Andy Demartini" <aed@xxxxxxxx>
To: "Clyde Lee" <clydelee@xxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, August 15, 2002 12:59 PM
Subject: Re: Another Dumb System based on UD Volume
> 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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> > >
> > >
> > >
> >
>
>
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