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Hi,
How can we exit positions after let's say N days or N minutes?
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Hi Hsiao,
We can make the algorithm more efficient by subscribing to daily data. By doing so, we can remove the time check that's in OnData.
if not data.ContainsKey(self.spy) or \
not data.ContainsKey(self.ief) or \
not self.Time.hour == 16 or not self.Time.minute == 0:
returnAdditionally, we can remove the History call that's inside OnOrderEvent. Since this history call is just calculating the 1-period ATR, we can setup an indicator for this.
Also note that the indicators in the algorithm above are not warmed up, so the strategy doesn't begin trading right away. In the attached backtest, I've moved all the data unique to each security into its own class. This provides a space for us to warm up the indicators and rolling window.
Refer to the attached backtest.
Best,
Derek Melchin
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