I would like to back test a strategy which does the following:
EnterShort at open[0] + 10 ticks
EnterLong at open[0] - 10 ticks
Exit All Positions On Close
if the high > Open + 10 ticks, I should be short
if the Low is < Open + 10 ticks I should be long
whatever happens next, i should be squaring positions on the close.
Could anyone tell me how to create this simple strategy ?
My issue so far is that orders happen on next daily bar only once (meaning i am short or long whichever the system has decided should be first) and the open position is closed only when the system reverse.
I have set the number of positions more than 1
I name all entries with a different name
I apply the backtest on daily bars
Should i be using the unmanaged methodology ?
Thanks for your help
Guilhem
Comment