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                                                   How is buy/sell price calculated when running a backtest?

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EdL
2013-02-10 19:22:02


Hi,

I have imported price data in the following format:

Date Time ; Open ; High ; Low ; Close ; Volume

20090102 003000;1.386200;1.386300;1.385900;1.386000;0
20090102 003100;1.386100;1.386200;1.385400;1.385400;0
20090102 003200;1.385500;1.386300;1.385500;1.386300;0

When I run a simulation using this historical data I am getting a Sell signal at time 00:31 @ 1.3858

How has that price been calculated?
I thought it would use either the close of the 00:31 bar otherwise maybe the open or close of the 00:32 bar, but this is not the case.

Thanks

Ed



QuantShare
2013-02-11 11:43:39

  0

Best Answer
Check the imported data using "Data -> Edit databases".

There are several reasons why the sell price could be different that then real price. Maybe you are using a money management script, a limit order or slippage setting.

You can send us your trading system to support [at] quantshare [dot] com, so we can check it.




EdL
2013-02-11 12:16:09

  0

Thanks for the suggestions.
I checked the data in "Edit databases" and it was the same as imported. I am not using a money management script or limit orders and my slippage is set to 0.
However, I had a Stop of 0.8% and under the Trading System's "Settings -> Capital", "Activate Stop Orders Immediately" was checked and that is what was causing it to exit at that exact price.

Many thanks for your swift response



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