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Entry + exit on the same bar? allowMagicalThinking?

Brian G. Peterson

Wed, Jun 22, 2022 4:53 AM

quantstrat will not allow you to enter and exit on the same bar.  

you need to open a position, generate a new signal, and send a new
order.

hourly data is widely available with a reasonable history, often for
free.  use better data.

Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock

On Tue, 2022-06-21 at 22:06 +0000, Mike wrote:
> I like to backtest this strategy on EOD data:
> 1. If a long/short signal occurs on day 0 (signal day) then
> ? enter long/short on day 1 if the price exeeds signal day's high
> ? (long) or drops below signal day's low (short).
> 2. On execution of the entry order issue 2 exit orders combined by
> ? OCO:
> ? a. Stop loss at x% of entry price
> ? b. MOC of entry day (later I also like to backtest longer periods)
> So the basic strategy holds the stock/asset for one day only (=one
> bar).
> 
> Is there a way to exit on the entry bar anyway?
> How would I to this by setting allowMagicalThinking=T?
> 
> Or can I trigger entry and the 2 exit orders by the same sigcol?
> Would I have to make the entry rule non-path-dependent to have it
> executed before the exit rule?
> 
> Mike
> 
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Thread (2 messages)

Mike Entry + exit on the same bar? allowMagicalThinking? Jun 21 Brian G. Peterson Entry + exit on the same bar? allowMagicalThinking? Jun 22