I'm about to start optimizing on 1-min bars using an intraday strategy and have a question on optimizer and walk forward.
If my strategy is to end in cash each day to avoid gap ups/downs on the next day's open is that inherent in the "exit on close" flag or would i need to add some logic to the strategy to have a zero position during certain time frames?
the goal is to test on several days, ending each day with zero position but trading during that day. e.g. mon-fri but no over night positions, then see how it runs on an out of sample day.
please let me know how this is going to work and any adaptations i am going to need to make!
Thank you...
If my strategy is to end in cash each day to avoid gap ups/downs on the next day's open is that inherent in the "exit on close" flag or would i need to add some logic to the strategy to have a zero position during certain time frames?
the goal is to test on several days, ending each day with zero position but trading during that day. e.g. mon-fri but no over night positions, then see how it runs on an out of sample day.
please let me know how this is going to work and any adaptations i am going to need to make!
Thank you...
Comment