Confused as to what price to use for backtesting?

Quote from wildshoe:

so before I was using open and open because I thought it was taking the bar after the cross, but it was taking the bar OF the crosses

my compromise has been to now use

close of the bar that caused the cross on entry

and the (O+C)/2 average of the bar that caused the cross on exit

lost about 60k profit out of 100k

so down to 40k return on 2 contracts of ES over 180 days....that sounds about right

considering i have no other filtering or stoplosses...
More...

Probably best to use the open of the next bar, and include slippage if you haven't already. And watch it live. You might notice signals appearing and disappearing intrabar, which doesn't help you. Also check the logic of your closing trades.

Unfortunately you'll probably discover most of your profit will dissolve by trying to approximate reality in this way. This is the inherent problem with indicators that lag price.
 
Quote from wildshoe:


my compromise has been to now use

close of the bar that caused the cross on entry
More...

most of the time the first cross usually turnes out to be fake and the price re-csross back..
 
Quote from SnakeEYE:

what time is taken for the daily bar to begin?
More...

I was just giving an example. The logic is what is important.

If you are trying to put odds in your favor... you have to know your market and when the morning trading range gets put in... and when a new move out of that range is likely to continue. If you watch the market you get a feel based on volume and speed and what happened yesterday.

If you are systems tradings... I suspect you will have to put in some good research or some great data mining.
 
You must log in or register to reply here.
Back
Top