Spreadsheet Backtesting

Quote from mschey:

If you are trading NYSE, there is no slippage, you get the open no problem, and if you are exiting the close, you get the close. ... I also believe that you can trade NASDAQ stocks and get the open and closing print. ...
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Thank you, mschey. I see I was wrong from the link Vince posted and I apologize to you. Thanks for your input :)
 
Quote from mmillar:

The problem with using EOD data is that it has been adjusted, is different from intraday day, and hence is not tradeable.

There all sorts of gap systems, yesterday's close > today's open etc that work wonderfully on daily EOD data, but fail miserably in the real world. In fact there are lots of systems that are marketed as profitable but have only been tested on EOD data. When you try them on intraday data they are terrible.

You will only get a system to work well on daily data if it is long term and hence your average trade is large. And even then you have to be careful.
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Hi, mmillar

If I get your meaning, I can't use EOD analysis for intra-day trading. I agree. Fortunately I am using EOD analysis for EOD trading. I am trying to get the edge up to the point where I can trade larger than 2% without detrimental risk, but that is another matter for another thread.

Here, I am just trying to get the overall backtest structure figured out. For example, if I get stopped out the same day I enter a trade, that doesn't even register in my "trade position" column. The position column is vital to calculate my trade count, which in turn is vital to calculate my equity. So if you or AusTrader or anyone else can provide a work-around for registering "instant" trades (in and out on the same day), it would be greatly appreciated. Thanks.
 
Q1 "Assuming a next-day market entry after a buy signal is generated, should I assume the average fill will be, say, one-third of (O + H + L)?"
Answered. Thanks again to mschey and Vince1.

Q2 "Assuming I can enter a trailing stop at the same time I enter my buy order, should I assume the stop gets [filled] on average at, say, half of (stop + L)?"
Answered.

Q3 "Is there an extra charge for updating the trailing stop on a daily basis, or is there a fixed roundtrip brokerage fee per trade?"
Unanswered.

Q4 "... a work-around for registering "instant" trades (in and out on the same day)"
Answered.

Will someone answer Q3 above please? Thanks in advance.
 
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