Support Board
Date/Time: Sat, 23 Nov 2024 01:31:49 +0000
Post From: Backtesting fill prices
| [2013-05-09 15:31:35] |
| milo2020 - Posts: 7 |
|
Is there a way to make the system assume I would get the price I want? For example, buy entry if E3 > 95.00 should give me 95.01 as soon as any bar has a higher value. This would actually match realistic trading aside from the occasional 1 or 2 ticks of slippage which I would account for on my own. Right now if I use 'bar based backtest' it gives me the open of the bar that crosses the line (thus giving me a much better price that would be possible, since the open occurs prior to the rest of the bar), while 'replay backtest' fills me 4 to 10 ticks beyond my desired entry point, which I know from my live trading experience is much worse than normal slippage. I would prefer to just get the perfect price and factor in the 1 or 2 potential ticks of slippage on my own. I did already read this page http://www.sierrachart.com/index.php?l=doc/doc_TradeSimulation.php#TradeSimulationBidAskPrices |