TOS backtester with Strategies

Discussion in 'Automated Trading' started by Joebone, Dec 20, 2017.

  1. Joebone


    Hello all,

    quick question... the TOS backtester does not offer intra bar values does it? say i have a mean regression strategy im testing(close crosses above Variable1) and it flags a trade to short off a high variable i am constantly calculating. Then say the market goes straight up after that and my variable moves higher to the point where it is greater than the high of that current bar. I have found that TOS will not take that trade even though my strategy would have clearly been short and underwater on the trade.

    let me know if this makes sense... explaining a backtesting strategy without pictures is tough


    quick edit to clarify... TOS recalculates a fill at the close of every bar instead of off the intra-bar data.
  2. toc


  3. Joebone