Support Board
Date/Time: Tue, 24 Dec 2024 13:06:17 +0000
Post From: BackTesting Accuracy
| [2015-10-25 02:13:50] |
| User126996 - Posts: 30 |
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In reading how your back testing fills market orders, I don't think it is accurate for the ES Mini. According to your explanation A Buy market order will be filled at the Ask price. A Sell market order will be filled at the Bid price. Market orders are always filled immediately. If the Bid and Ask prices are 0, then a market order will fill at the last trade price This is great for option trading but not the ES Mini. The issue I'm having is that I have a scalper bot that is looking to take .25 off of upward pressure. It lost a lot during back testing. I then decided to keep the same Entry criteria and change it from a BuyEntry to a SellEntry. The bot gets into more trades at different price points and then exits at different price points. If Market orders are to be filled immediately then why are the entry prices different for BuyEntry and SellEntry? The entry criteria for both are based on a new bar opening? I guess when trading the ES Mini, I have never seen my order go into a cue if it is a market order. It usually gets filled right away, no matter if the market maker is filling asks or bids especially during the first 2 hours of trading. I guess how can I improve the accuracy of back testing for this? I have read the notes of backtesing accuracy. Is there a backtesting set up that is accurate for the ES Mini or highly liquid/volatile symbols? Joel |