|05-01-2008, 06:47 PM||#1|
Join Date: May 2008
Thanked 0 times in 0 posts
OnBarUpdate() problem when backtesting daily data
I spend couple of hours to find whether there is any chance to execute following simple strategy properly:
Enter long position on Monday if Monday open is lower than last Friday close (with defined Stop-Loss and Profit Target). I understand that OnBarUpdate() method is updated on every bar close, therefore I enter long position on Tuesdays. But this is something I want to change and didn't find anything helpful. Is there any way to make this strategy work properly with only daily OHLC data without intraday data?
Thanks for any suggestion.
protected override void Initialize()
protected override void OnBarUpdate()
if (Time.DayOfWeek == DayOfWeek.Friday && Time.DayOfWeek == DayOfWeek.Monday)
if (Open < Close)
|05-02-2008, 02:42 AM||#2|
NinjaTrader Product Manager
Join Date: May 2007
Location: Denver, CO
Thanked 282 times in 97 posts
Unfortunately not. That will always be the case with historical data. What you can try in real-time though is set CalculateOnBarClose to false. This will allow you to submit your trade on Monday, but only in a real-time market because your OnBarUpdate() is firing as the day progresses.
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