Confused as to what price to use for backtesting?

Discussion in 'Strategy Building' started by wildshoe, Sep 9, 2011.

  1. Samsara

    Samsara

    Probably best to use the open of the next bar, and include slippage if you haven't already. And watch it live. You might notice signals appearing and disappearing intrabar, which doesn't help you. Also check the logic of your closing trades.

    Unfortunately you'll probably discover most of your profit will dissolve by trying to approximate reality in this way. This is the inherent problem with indicators that lag price.
     
    #11     Sep 10, 2011
  2. or buy on the open the next bar one contract and ave down the second contract,if the price goes down..
     
    #12     Sep 10, 2011
  3. most of the time the first cross usually turnes out to be fake and the price re-csross back..
     
    #13     Sep 10, 2011
  4. jem

    jem

    I was just giving an example. The logic is what is important.

    If you are trying to put odds in your favor... you have to know your market and when the morning trading range gets put in... and when a new move out of that range is likely to continue. If you watch the market you get a feel based on volume and speed and what happened yesterday.

    If you are systems tradings... I suspect you will have to put in some good research or some great data mining.
     
    #14     Sep 11, 2011