We just discovered that SetPercentTrailing is not calculated intrabar in Backtesting. That is not accaptable, but it seems that this is an general issue for Backtesting Programms. Does anyone knows Backtesting Programms where the Trailing Stop is being calculated intrabar?
This is big problems for me as well. The trailing stops that by backtesting for stock bounce once in month in real life are activated twice a day. Every backtest that I tried until now has same problem - it needs to be tested tick after tick.
tick by tick testing is the only way to get past the foibles built in to all the backtesting softwares, every one of them seems to have some "gotchas" built in to them that you won't discover unless you spend lots of time working with them... I worked with Tradestation until I could not keep my eyes uncrossed while thinking about the differences between back tests and realtime operation, then I went with Multicharts for awhile, then Ninjatrader, now Openquant. Openquant seems to be closest to being the elegant solution...
We tried some sort of workaround: Ticks in Data1, 10 Min Candles in Data2. This seems to work somehow. Only thing is that starting an Optimization will result in an Error Message, reproduceable.