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Assume fill at worst tick in a bar? [Test] [Train] #484232
09/23/21 14:08
09/23/21 14:08
Joined: Feb 2017
Posts: 1,329
Chicago
AndrewAMD Online OP
Serious User
AndrewAMD  Online OP
Serious User

Joined: Feb 2017
Posts: 1,329
Chicago
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.

Re: Assume fill at worst tick in a bar? [Test] [Train] [Re: AndrewAMD] #484351
10/12/21 16:05
10/12/21 16:05
Joined: Jul 2000
Posts: 27,641
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,641
Frankfurt
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.

Re: Assume fill at worst tick in a bar? [Test] [Train] [Re: jcl] #484352
10/12/21 16:24
10/12/21 16:24
Joined: Feb 2017
Posts: 1,329
Chicago
AndrewAMD Online OP
Serious User
AndrewAMD  Online OP
Serious User

Joined: Feb 2017
Posts: 1,329
Chicago
Originally Posted by jcl
I believe that can be enforced by setting Slippage to the negative bar period time.
Ah yes, I'm not sure how I missed that, thanks.


Moderated by  Petra 

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