I discovered that if I'm using a Monthly Chart - that buying the Next Bar (Month) and using "SetExitOnClose" occasionally produces months where it doesn't exit on the end of the month, but the following month.

Examples are: (05-21 which closes out at the end of 06-21, as well as 03-18, which closes out at the end of 04-21) and see attached photo.

I'm using $DIA on a monthly chart.

I'm looking to analyze the performance of each month, which won't work if it skips a sell.
My full code is:

 

Code

Inputs: BuyOrSell(1),WhichMonth(0); Once ClearPrintLog; if WhichMonth = 0 then begin if(BuyOrSell = 1) then buy ("Buy Long")Next Bar Open; if(BuyOrSell = 2) then sellShort("Sell Short")Next Bar Open; end Else if Month(Date of Next Bar) = WhichMonth then begin if(BuyOrSell = 1) then buy ("Buy")Next Bar Open; if(BuyOrSell = 2) then sellShort("Sell Open")Next Bar Open; end; SetExitOnClose;

SetExitOnClose only works in backtest, it will not work in live trading. Not the root problem, but something you should know.

Now, to your real issue, setexitonclose should work on backtest, but for the month you show, it is not.

I tried a few different things with different code:

buy next bar at market;
setexitonclose;

gives same result for May 2021 as your code (it closes trade the next month)


buy next bar at market;
sell this bar at close;

Worked just fine.


So, there appears to be some issue with setexitonclose.

I suggest you post your question at the Tradestation customer forum, in the Easy Language support section.

Just show this code as the simplest example

buy next bar at market;
setexitonclose;



and TS personnel will review it.

I see Tradestation has reviewed it on their forum, and determined it is some kind of bug. Hopefully they will address it!