connolly
1st June 2006, 05:23 PM
MS programming does not allow you to close a trade on the Closing price and then re-open the same stock daily on the Close. If this were possible Tradesim could be used to sum the daily equal-weighted returns of, say, all stocks in the SP100.
With the proper MS programming, I believe the TS Append-Trades function may be used to overcome this problem of creating a daily benchmark index:
1) Run "Buy at the open and Sell at the Close" each day as one database.
2) Then run "Buy at the Close and Sell at the following day's Open" (need help with this).
If these two databases are appended and TS allows more than one trade open in a TS simulation for each security at a time I think this would generate daily returns. If so, how would you guarantee to close the overnight trade at the following day’s Open?
With the proper MS programming, I believe the TS Append-Trades function may be used to overcome this problem of creating a daily benchmark index:
1) Run "Buy at the open and Sell at the Close" each day as one database.
2) Then run "Buy at the Close and Sell at the following day's Open" (need help with this).
If these two databases are appended and TS allows more than one trade open in a TS simulation for each security at a time I think this would generate daily returns. If so, how would you guarantee to close the overnight trade at the following day’s Open?