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Add note to documentation mentioning the use of 1-minute bars to work around issue of not being able to enter positions on the close of daily bars

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moshferatu 2024-09-03 06:27:31 -07:00
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strategies/overnight/README.md
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@ -7,6 +7,10 @@ This strategy was taken from chapter 7 of [Short Term Trading Strategies That Wo
1. Go long SPY on the close. 1. Go long SPY on the close.
2. Sell on the following open. 2. Sell on the following open.
It is not possible to enter positions on the close of a bar in NinjaScript, so I have worked around this by incorporating a 1-minute data series into the strategy and entering on the open of the last bar of the day.
The position is exited on the open of the following day as expected.
## Parameters ## Parameters
**Use Trend Filter**: Whether to use a trend filter to decide when to enter long positions. (Default: false) **Use Trend Filter**: Whether to use a trend filter to decide when to enter long positions. (Default: false)