jcl,

Can there be a mode that assumes the worst possible fill in [Test] and [Train] modes?

Like this:

1) Enter Long or Exit Short after Bar 10 arrives, assume that the fill occurs at the high of Bar 11, adding spread and slippage on top of that.
2) Enter Short or Exit Long after Bar 15 arrives, assume that the fill occurs at the low of Bar 16, adding spread and slippage on top of that.

The reasons are twofold:
a) Pessimistic backtesting
b) User is constrained to inexpensive daily or minutely data.

I believe that can be enforced by setting Slippage to the negative bar period time. Using high or low directly is unrealistic when you have bar periods longer than a few seconds.

Ah yes, I'm not sure how I missed that, thanks.