I'd like to better understand how exactly MultiCharts calculates the fill price for a stop-loss during backtesting.
My current understanding is as follows:
* MultiCharts will assume OHLC, when open is closer to high and OLHC when open is closer to low
* a trailing stop should be re-adjusted according to the maximum value the stock has had
I am using the following statement to set up my trailing stop:
I am looking at a 5-min bar of MYL on 04/16/2015 @ 12:35:
Code: Select all
SetDollarTrailing(HighD(0) * trailingStop); // trailingStop = 0.005
OHLC = 67.19, 68.47, 67.18, 67.32
* As the open is closer to the low, the assumed sequence should be OLHC.
* I have a BUY-STP order, which triggers at 67.55 - which should be executed on the low-to-high leg.
* As the high is 68.47, the trailing stop should be re-adjusted to 68.47 * 0.995 = 68.12
* As the close is much lower than that, I would expect the trailing stop to kick in at 68.12 in the same bar
* however, the trailing stop kicks in the next bar, at a 67-ish price
What am I missing?
best regards, Felix