backtest vs reality buy or sell at open?

Discussion in 'Strategy Development' started by losemind, Jul 14, 2011.

  1. losemind


    my backtest is based on buying or selling at open... how do i make the backtest as realistic as possible?
  2. Backtests are not realistic by definition.
  3. rmorse

    rmorse ET Sponsor

    Unless you believe your volume will change the opening, I don't see why the opening price would not be accurate.
  4. Search TASC magazine for their 10 year back test, done without any "help" from futures prices etc. Might be a place to start.

  5. losemind


    Thanks Don. But I want to focus on stocks. Futures are traded more or less 24 hours, which is different.
  6. Samsara


    I think you misunderstood what he was saying.
  7. We've traded the opening only on stocks fro 30 years... we enhance our success rate by adjusting our bids and offers to reflect the current market conditions via futures, we don't actually trade the futures.

    Here is an older article where I describe some basics: