Early Close and Backtesting

[underdog430]

I have a system that closes positions at 4 PM ET. On Friday, of course, the market closed earlier so the system did not close out the position. I can always change the time the system closes on days like that but what about when backtesting? The system didn't close out on Friday so it didn't open a new position this morning. Any suggestions?

Thanks.

[gspiker]

Hi,

Yes, I have commented on this problem before. The only things I have thought of are:

1) Check for the start of a new day and open possitions and if you have them close them out and then process as normal.

2) Check for dead periods and close out

There are problems with both of these ways, but doing 1 seems to be the "best" way I could come up with to solve this. Keep the checks for the EOD close outs, but add some additional ones that check for a new position right before the open (or for the first tick of the open) as well.

It would be really nice if the exchanges themselves sent out some sort of signal on which session is running, or if the markets are closed...but until that happens (and I doubt it ever will), then I can't think of a good method for dealing with short days.