How to close open positions at the end of the day (for daytraders)

AFL Programming
#1

I used the code in the below link for MACD crossover Intraday:
https://www.amibroker.com/kb/2006/10/26/how-to-close-open-positions-at-the-end-of-the-day-for-daytraders/
Code as below:
Buy = Cross( MACD(), Signal() ) OR TimeNum() > 151500;
Sell = Cross( Signal(), MACD() ) OR TimeNum() > 151500;
Sell=ExRem(Sell,Buy) ;
Buy=ExRem(Buy,Sell);
Short =ExRem(Sell,Buy);
Cover=ExRem(Buy,Sell);

But exit is not happening at 151500 in the same day for the stock 'INFY'.
Please refer the screen shots below and kindly advise:

SS_01

SS_02

#2

Without going into any other detail, you have to be aware that the stated "But exit is not happening AT 151500" is not consistent with the formula.

Try:

Sell = Cross( Signal(), MACD() ) OR TimeNum()  == 151500;

Note the equals sign.

#3

I have modified the code as below:
Buy = Cross( MACD(), Signal() ) OR TimeNum() == 151500;
Sell = Cross( Signal(), MACD() ) OR TimeNum() == 151500;
Sell=ExRem(Sell,Buy) ;
Buy=ExRem(Buy,Sell);
Short =ExRem(Sell,Buy);
Cover=ExRem(Buy,Sell);

But still exit is not happening at 151500 in the same day of trading, please refer the screen shot below:

SS_03

#4

@av.ragavan,

Please use Code Tags.

See

#5

Write down your intention (in plain english). What are your Buy and Sell conditions?

#6

To ensure buy and sell at same day every day you have to read this article here
https://www.amibroker.com/kb/2014/11/28/how-to-restrict-trading-to-certain-hours-of-the-day/

2nd example there

It is also possible to force an exit signal after 11:00 to avoid overnight positions:

/// @link https://www.amibroker.com/kb/2014/11/28/how-to-restrict-trading-to-certain-hours-of-the-day/
tn = TimeNum();
startTime = 93000; // start in HHMMSS format
endTime = 151000;  // end in HHMMSS format
timeOK = tn >= startTime AND tn <= endTime;

Buy = Cross( MACD(), Signal() ) AND timeOK;
Sell = (Cross( Signal(), MACD() ) AND timeOK) OR Cross( tn, endTime );
3 Likes
#7

For Intraday, Buying should happen when MACD() crosses signal between 9:45:00 AM and 3:00:00 PM and Selling should happen when signal crosses MACD() between 9:45:00 AM and 3:00:00 PM. Finally, Trade should be exited at 03:20:00 PM.

#8

Check if this helps:

Buy = Cross( MACD(), Signal() ) AND TimeNum() >= 94500 AND TimeNum() < 150000;
Sell = TimeNum() >= 151500;

Short = Cross( Signal(), MACD() ) AND TimeNum() >= 94500 AND TimeNum() < 150000;
Cover = TimeNum() >= 151500;
#9

It's a classic one. @fxshrat has basically given you the solution. I guess you want to sell before markets are closed :wink: so be careful with you selling condition/time. Imo it's better to distinguish 3 periods of the day: opening, closing and end of day so you can test various options e.g

TN = TimeNum();
MAC = MACD();
SIG = Signal();

opening_start = ParamTime( "Opening Start Time", "09:45");
opening_end = ParamTime( "Opening End Time", "15:00" );
Opening = (TN >= opening_start) AND (TN <= opening_end);

Buy = Opening AND Cross(MAC, SIG);

similarly for Selling (closing_start/end) but add a condition for end of day e.g

closing_start = ParamTime( "Closing Start Time", "09:45");
closing_end = ParamTime( "Closing End Time", "15:00" );
Closing = (TN >= closing_start) AND (TN <= closing_end);

eod_start =  ParamTime( "End Of Day Start Time", "15:19"); // I would set at 15:15 or 15:19
eod_end = ParamTime( "End Of Day End Time", "15:20"); 
EOD = (TN >= eod_start) AND (TN < eod_end); // '<' prevents selling after RTH

Sell = EOD OR (Closing AND Cross(SIG, MAC));

Don't forget to remove excessive Buy/Sell signals and you're done :slight_smile:

Sell = ExRem(Sell, Buy);
Buy = ExRem(Buy, Sell);

As a general strategy, decompose your problem first and write a piece of code for each subproblem.

1 Like
#10

@av.ragavan (& @bysoaa),

did you bother to read the posted KB article (four posts above)?
It is all there already.
Why re-inventing wheel?

You just need a second endtime just for tn cross. That's all.
The rest is the same as of KB article.
Please do yourself a favour and please read the KB article.

/// @link https://www.amibroker.com/kb/2014/11/28/how-to-restrict-trading-to-certain-hours-of-the-day/
/// just adding second exit timenum, nothing more and nothing less
tn = TimeNum();
startTime = 94500; // start in HHMMSS format
endTime = 145959;  // end in HHMMSS format
endTime2 = 151500;  // end2 in HHMMSS format for session exit
timeOK = tn >= startTime AND tn <= endTime;

Buy = Cross(MACD(), Signal()) AND timeOK;
regular_sell = Cross(Signal(), MACD()) AND timeOK;
session_exit = Cross(tn, endTime2);
Sell = regular_sell OR session_exit;

Since you use 15-min TF in first post and now you want to exit at 15:20 (session exit)... in addition you would have to use time frame functions for MACD crosses and going to shorter intervals such as 5-min, 1-min. Because 15:20 does not exist in 15-min time frame.

@av.ragavan, please also read here on how to ask good question.
You've constantly changed requirements throughout this thread.
First you mention exit at 15:15, then 15:20, then also having different session for MACD cross,...
It would be great to mention everything in initial post.

2 Likes
#11

Thanks, exit worked after changing the endTime2 from 151500 to 151400 in your code:

tn = TimeNum();
startTime = 94500; // start in HHMMSS format
endTime = 145959;  // end in HHMMSS format
endTime2 = 151400;  // end2 in HHMMSS format for session exit
timeOK = tn >= startTime AND tn <= endTime;

Buy = Cross(MACD(), Signal()) AND timeOK;
regular_sell = Cross(Signal(), MACD()) AND timeOK;
session_exit = Cross(tn, endTime2);
Sell = regular_sell OR session_exit; 

Short = Cross(Signal(), MACD()) AND timeOK;
regular_buy = Cross(MACD(), Signal()) AND timeOK;
session_exit = Cross(tn, endTime2);
Cover = regular_buy OR session_exit;

Could you please share if there is any link which covers coding for beginners?