Discrepancy--Signal buy stop price vs Backtesting fill price

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oakshadows
Posts:33
Joined:01 May 2007
Discrepancy--Signal buy stop price vs Backtesting fill price

Postby oakshadows » 04 Oct 2007

During my back-testing with intra-day data, I noticed that sometimes there was a discrepancy between the Signal's buy stop price for entry and the Back Testing Strategy Performance's entry fill price, even when there was no gap to account for that discrepancy.

To confirm that observation, I ran the following test.

1. TEST SIGNAL

I created the following Signal [a/k/a strategy] called TEST Entry Price:

Value1 = 525.50;

If close < Value1 then
Buy next bar at value1 stop;

setexitonclose;

2. TEST MARKET:

I applied it to 30 minute bars in GOOG going back to the end of June 2007.

3. RESULTS:

Although the Signal's buy stop entry price was set to 525.50 per above, the Entry Price reflected in the Back Testing Strategy Performance Report > Trade Analysis > List of Trades was always 526.25 (unless, of course, there was a gap causing the fill to be even higher).

What have I missed? What accounts for the discrepancy?

I have Multicharts version 2.1.999.999

Thanks.

oakshadows
Posts:33
Joined:01 May 2007

Postby oakshadows » 05 Oct 2007

Update:

The above discrepancy occurred on both daily bars and intra-day bars for GOOG.

User avatar
Marina Pashkova
Posts:2758
Joined:27 Jul 2007

Postby Marina Pashkova » 08 Oct 2007

Hello,

Could you please go to QuoteManager-> Goog -> Edit Symbol -> Settings and check the value for Min. Movement? It should be 125.

Regards.

oakshadows
Posts:33
Joined:01 May 2007

Postby oakshadows » 08 Oct 2007

Marina --

Mystery solved. Many thanks.

User avatar
Marina Pashkova
Posts:2758
Joined:27 Jul 2007

Postby Marina Pashkova » 08 Oct 2007

You're always welcome.

Let us know if you have other questions/problems.



Regards.


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