Hi everyone, I am trying to make the back test results as reliable as possible, using a strategy that implements limit orders. I already added $30 as slippage x trade (trading Gold futures), does anyone have suggestions on what settings should I use with limit orders?
Thank you.
Limit orders setting [SOLVED]
- Svetlana MultiCharts
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Re: Limit orders setting
Hi soacm,
Slippage in Strategy Properties – Properties is not applied to limit orders.
A good method to make backtesting more precise is described in this article.
Also you may want to use Fill limit order when trade price goes beyond limit price by X points option.
Slippage in Strategy Properties – Properties is not applied to limit orders.
A good method to make backtesting more precise is described in this article.
Also you may want to use Fill limit order when trade price goes beyond limit price by X points option.
Re: Limit orders setting
Hi, I am using the following code for my entriesHi soacm,
Slippage in Strategy Properties – Properties is not applied to limit orders.
A good method to make backtesting more precise is describe in this article.
Also you may want to use Fill limit order when trade price goes beyond limit price by X points option.
Code: Select all
var: lowd1(0);
lowd1 = LowS(1);
buy next bar at lowd1 Limit;
Thank you.
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- Svetlana MultiCharts
- Posts: 645
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Re: Limit orders setting
Limit orders never slip in a worse direction; therefore, slippage is not applied by default. The only way to change it is by means of a special option in the registry. If you want to return to the default behaviour, please contact our support directly for the instruction.
Re: Limit orders setting
I wanted to use slippage on limit entries in order to somehow replicate live conditions. I was not aware of the Backtesting assumptions feature, thank you for your answer.Limit orders never slip in a worse direction; therefore, slippage is not applied by default. The only way to change it is by means of a special option in the registry. If you want to return to the default behaviour, please contact our support directly for the instruction.
soacm
Re: Limit orders setting
Interesting topic.
Multicharts is there I way I can achieve the following fill cost assumptions:
1)-Resting stop fill cost
2)-Resting limit fill cost
3)-Aggressor, next bar, fill cost (market/ aggressor limit/ instantly converted stop)
Re the second point: I work to the assumption that I'm filled on touch (using a market if touched synthetic limit order when live).
Would be great if I can input these three fill type costs in MC. Is there a way?
Currently I take an average cost and apply it to all fills.... but if my signals input parameters change, this average value also changes, meaning manual changes to costs keep having to be made.
Multicharts is there I way I can achieve the following fill cost assumptions:
1)-Resting stop fill cost
2)-Resting limit fill cost
3)-Aggressor, next bar, fill cost (market/ aggressor limit/ instantly converted stop)
Re the second point: I work to the assumption that I'm filled on touch (using a market if touched synthetic limit order when live).
Would be great if I can input these three fill type costs in MC. Is there a way?
Currently I take an average cost and apply it to all fills.... but if my signals input parameters change, this average value also changes, meaning manual changes to costs keep having to be made.
- Svetlana MultiCharts
- Posts: 645
- Joined: 19 Oct 2017
- Has thanked: 3 times
- Been thanked: 163 times
Re: Limit orders setting
Hi wilkinsw,Interesting topic.
Multicharts is there I way I can achieve the following fill cost assumptions:
1)-Resting stop fill cost
2)-Resting limit fill cost
3)-Aggressor, next bar, fill cost (market/ aggressor limit/ instantly converted stop)
Re the second point: I work to the assumption that I'm filled on touch (using a market if touched synthetic limit order when live).
Would be great if I can input these three fill type costs in MC. Is there a way?
Currently I take an average cost and apply it to all fills.... but if my signals input parameters change, this average value also changes, meaning manual changes to costs keep having to be made.
Unfortunately there is no such feature.