Next Bar on Open Instead of This Bar on Close

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mcjohn

Next Bar on Open Instead of This Bar on Close

Postby mcjohn » 05 Jun 2015

TJ,

I probably did not explain it clearly. It is actually the opposite. I no longer use the "this bar" since it is only for back-testing and nobody could explain why it is even available since it is just for back-testing and will not trigger orders in real trading.

Instead, I only use "next bar". For example:

- Entry - buy next bar on open; (instead of buy this bar on close)
- Exit - sell next bar on open; (instead of sell this bar on close)

Since it is Forex a "24/5" market, the values for "this bar on close" and "next bar on open"
should be virtually indentical with the exception of Friday/Sunday. How could it be more simplified?

I have begun pure manual testing and the technique to "enter next bar on open" and "exit next bar on close" appear to be working perfectly

So, what is the use of "this bar"? Maybe for non-forex or non-24 hour instruments?

John

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Re: Next Bar on Open Instead of This Bar on Close

Postby TJ » 05 Jun 2015

TJ,

I probably did not explain it clearly. It is actually the opposite. I no longer use the "this bar" since it is only for back-testing and nobody could explain why it is even available since it is just for back-testing and will not trigger orders in real trading.

Instead, I only use "next bar". For example:

- Entry - buy next bar on open; (instead of buy this bar on close)
- Exit - sell next bar on open; (instead of sell this bar on close)

Since it is Forex a "24/5" market, the values for "this bar on close" and "next bar on open"
should be virtually indentical with the exception of Friday/Sunday. How could it be more simplified?

I have begun pure manual testing and the technique to "enter next bar on open" and "exit next bar on close" appear to be working perfectly

So, what is the use of "this bar"? Maybe for non-forex or non-24 hour instruments?

John

That is correct... in the old day, we only trade stocks. A few futures, some forex, but no derivatives.

We only had daily bars. 9:30 am to 4:00 pm. (earlier closing for the commodity futures).
No intraday bars.
No after hours market, no pre-market, no 24/7.

Life was simple then.

:-)

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Re: Next Bar on Open Instead of This Bar on Close

Postby JoshM » 06 Jun 2015

Instead, I only use "next bar". For example:

- Entry - buy next bar on open; (instead of buy this bar on close)
- Exit - sell next bar on open; (instead of sell this bar on close)

Since it is Forex a "24/5" market, the values for "this bar on close" and "next bar on open"
should be virtually indentical with the exception of Friday/Sunday. How could it be more simplified?
I'm not sure if I follow: if you stick to using `next bar` instead of `this bar`, your strategy's code (like the two example statement quoted above) are already simplified, right?
So, what is the use of "this bar"? Maybe for non-forex or non-24 hour instruments?
One of the things that `this bar` can do is backtesting how a strategy executed discretionary with market on close orders would have performed. But if you only auto-trade, then yes `this bar` doesn't seem to have a use.

There's a feature request here by the way to make `this bar on close` orders work in real-time also.

mcjohn

Re: Next Bar on Open Instead of This Bar on Close

Postby mcjohn » 06 Jun 2015

TJ,

Thank you again. So would it be more accurate to use 24/5 or 24/7? Knowing that we can now have large gaps on Sunday open?

John


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