Converting a EOD system to intraday

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evanscje
Posts: 34
Joined: 11 Dec 2009
Location: Arizona

Converting a EOD system to intraday

Postby evanscje » 05 Jan 2011

If i switch on enable intraday orders and then write this:[/b]
If Rsi(close,2)<30 then buy 1 contract next bar at opend(0) + .25*Avgtruerange(20) stop;
If RSI(close,2)>70 then sell all contracts next bar at opend(0)-.25*Avgtruerange(20) stop;

Why is that not the same as switching off enable intraday orders and writing this:
If Rsi(close,2)<30 then
buy 1 contract next bar at open next bar + .25*Avgtruerange(20) stop;
If RSI(close,2)>70 then
sell all contracts next bar at open next bar -.25*Avgtruerange(20) stop;

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Dave Masalov
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Re: Converting a EOD system to intraday

Postby Dave Masalov » 11 Jan 2011

Dear evanscje,

Because in the first case RSI is calculated for the current bar (on which the order is generated) and on every tick. In the second case RSI is calculated on the current bar, but the order will be generated for the next bar.


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