Quote from spreadem:
The main point of backtesting is not to find out the maximum amount of money that your system can make, it is to find out the minimum amount of money your system can make. In fact if you run the test under ideal circumstances and perfect fills, you'll be disappointed when the actual results come in.
I'd rather run my system tests under the assumption of getting poor fills and compare the actual results.
... Just my 2 cents ...
