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;
2. TEST MARKET:
I applied it to 30 minute bars in GOOG going back to the end of June 2007.
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
Discrepancy--Signal buy stop price vs Backtesting fill price
Questions about MultiCharts and user contributed studies.
5 posts •Page 1 of 1