Question on days of the week

[NinjaTrader_RyanM1]

Yes, you could work with Time, but since you run on daily bars you really lack any granularity to have a meaningful time based exit here. As an alternative could work with built in method BarsSinceEntry() for an exit condition.

[koganam]

session template : <Use instrument settings>
time frame : 1.1.2005 to 7.11.2011
data series type: Day
instrument ES 12-11

On a daily time frame, ExitOnClose() is essentially meaningless as there is no granularity to execute against. You are either going to have to use a more explicit exit condition, or else use another intraday TimeSeries to provide the granularity to execute against. i.e., a multi series strategy.