Hi
Evaluating Zorro for a new project. Trying to understand how the backtester handles the scenario where a resting stop is straddled by a bar during bar-resolution backtesting.
According to the docs:
When entry, stop, or profit limits are triggered by the high or low of a historical tick or by OrderDelay in realistic fill mode, positions are filled in this way:
Long Entry stop: max of Entry and tick end price.
...
Unless I'm misreading this, it doesn't seem to make sense.
Say price is at 0.01 and I have a long entry stop sitting at 0.02, and the next bar closes at 0.08.
I would expect the backtester to open the trade at 0.02 + the allowance for spread and slippage.
But "the max of Entry and tick end price" would open the trade at 0.08 + spread and slippage.
The docs call this "slightly pessimistic". But it's surely far too conservative, and would distort the backtest results? Especially if the entry stop was at the start of a large bar.
Can someone please clarify. Am I misunderstanding something?
