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                                                   Stop Loss for Intraday Trading System

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Matt Johnson
2016-07-15 14:34:11


I am looking for a way to code the stop loss so that the system sells/covers on the last bar of the day to avoid overnight positions. I am using 1-min data for the trading system. Any help would be greatly appreciated.


Matt Johnson
2016-07-15 15:20:07

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Also, would like to add some code that prohibits entering a new trade on the last trading bar of the day. Thanks in advance for any help!



QuantShare
2016-07-16 04:51:20

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To detect the last bar of a day, you can use this formula:
lb =day() != ref(day(), -1);

You can just use that rule in your sell and buy rules.

Example:
buy = rsi(14) > 70 and !lb;
sell = lb;

You also need to add this to execute the order at the close:
SetSimTiming(_Sell, _Close, -1);



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