Stop orders execute today vs tomorrow - potential peek-ahead?

Stop orders execute today vs tomorrow - potential peek-ahead?

Kiran
2015-05-10 13:28:29

I have the following 2 systems that are identical, with the difference -
A) one executes today based on last 3 days lookback
B) other executes Stop orders tomorrow based on today's and last 2 days lookback

Questions -
1) A delivers much better performance than B - why is that - can't figure out if/why there's peek-ahead risk in (1)
2) Can i use A for live trading using Quantcast against IB
3) If there is peek-ahead, why does Quatcast offer "execute Today" as an option? What scenarios is it used in?

// A) Execute today ..
BuyPrice(ref(Hhv(high,3),1)+0.1*atr(10), -1);
SellPrice(ref(Llv(low,3),1)-0.1*atr(10), -1);
buy = 1;
sell = 1;
SetSimStop(_StopLoss, _Point, ops0*atr(10), 10);

// B) Execute tomorrow ..
BuyPrice(Hhv(high,3)+0.1*atr(10), -1);
SellPrice(Llv(low,3)-0.1*atr(10), -1);
buy = 1;
sell = 1;
SetSimStop(_StopLoss, _Point, 0.2*atr(10), 10);

Kiran
2015-05-10 20:24:07

Actually, following are the 2 systems (ignore the ones above as they dont have the SetSimTiming commands.
-> Also noticed that the Sell orders in B) are not executing at the correct SellPrice, but at Open, ad sometimes when the bar doesnt even touch the Stop price of Llv(low,2)-0.1*atr(10). Is this a bug? How do i fix this in the Tomorrow system, so that i have the formula-based Sell executing at a Stop price?

// A) Execute today ..
SetSimTiming(_Buy,_Stop,-1);
BuyPrice(ref(Hhv(high,2),1)+0.1*atr(10), 1);
buy=1;

SetSimTiming(_Sell,_Stop,-1);
SellPrice(ref(Llv(low,2),1)-0.1*atr(10), 1);
sell=1;

SetSimStop(_StopLoss, _Point, 0.1*atr(10), 1);

//B) Execute tomorrow ..
SetSimTiming(_Buy,_Stop,0);
BuyPrice(Hhv(high,2)+0.1*atr(10),1);
buy=1;

Optimize("sellPer", 2, 4, 1);
SetSimTiming(_Sell,_Stop,0);
SellPrice(Llv(low,2)-0.1*atr(10), 1);
sell=1;

SetSimStop(_StopLoss, _Point, 0.1*atr(10), 1);

QuantShare
2015-05-11 03:52:02

The first system does have a look-ahead bias since it is using a stop at the current signal bar. The order is supposed to be entered after the bar ends (at the end of the day) and you are executing the stop order before the signal bar is analyzed.

The sell price could be executed on open in case the open price is lower than the stop level.

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