https://www.multicharts.com/trading-sof ... acktesting
The above link implies running an extended backtest on just ask and bid data streams.
In another post Henry mentions something different. He says:
So if I am using a 1 second chart and want to only have my limit orders filled when ask<=buy limit and when bid>=sell limit and want all variables to calculate as if running on "trade" data, how should I set my chart up? I assume it is as Henry has instructed Don to do in the above quote?Hello Don,
The strategy calculation results are different when it is applied to different data streams (which are asks and bids in your case).
If you want to base your strategy calculation on the Trade data series and get precise backtesting order fill price please create a chart with three data series:
Data1=Trade data;
Data2=Ask data;
Data3=Bid data.
On Extended Backtesting tab select Ask data=data2 of your chart;
Bid data=data3 of your chart/
Now extended backtesting is configured properly.
A chart with just ask and bid is giving very different results to a trade,ask,bid chart.
Many thanks!