Over several months with TS, I have run into a persistant limitation in my backtesting. In many cases, I want to run a strategy that takes signals off one symbol (data2) and execute on another symbol (data1).
When you have a strategy that would normally execute next bar with a "+ 1 point stop" order, the only way I know to code this in a multi-symbol situation is executing "this bar" on data1 when a > (or <) condition is met on data2. I then use 1 min look-inside-bar testing to approximate the entry point, but obviously, this is imprecise since it's giving you the close price of a 1 minute bar. I have yet to find a better way to write multi-symbol EL, and haven't had much success with this issue in the support forum.
Anybody deal with this issue? It's been a major thorn in my testing, and I wonder how WL deals with it. I wish TS had a reserved word to address a stop getting met on data2 and executing immediately on data1 with more resolution than close of bar.
Here's what it comes down to, for any backtest where signals are taken from one symbol and executed on another, TS can't give you more than 1 minute resolution.
This doesn't only apply to my example above, it applies just the same to simple things like penetration of a trailing stop.
Are there ANY shelf platforms out there that can test with this type of resolution? Is it possible to buy, say, two years of futures tick data and perform a tick resolution test in Wealthlab or any other platform? Anything else involving two symbols seems to be approximate guesswork. I'd love to hear how others have worked around this limitation.