Can you confirm whether this is the case and/or whether any alternative methods are available, like leaving the trade open and delaying to change the parms until existing position flattens.
If true, I think WFO has changed the logic of my system by adding an arbitrary exit at each boundary bar when a position is open and so invalidates the entire stats gathered.
A better approach would be to update existing exit orders with any new values, i.e. change stops and targets. Then when the trade closes either decide to give the trade to the previous period or prorate it based on number of bars on either side of of the boundary.
This is not a problem for day trading systems (given the day change coincides with the session close) .
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