How reliable is backtest based on OPEN?

Discussion in 'Commodity Futures' started by FlyingSoros, Jun 15, 2010.

  1. Hi all,

    I am backtesting some strategies based on OPEN prices in commodity futures...

    My collaborators don't like OPEN because they say we cannot trade on OPEN...

    Is that true? Any thoughts?

    Thanks a lot!
  2. It's mostly true. They would probably say the same thing about the closing price too. The more volatile the opening range, the more slippage you can expect to experience, unless you are able to place limit orders in exactly the right place. :cool: