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Open Feature request MC-1505

More realistic backtest

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Please add feature: the ability before backtest to set spread between the bid and ask.
Most are not available tick data many years ago, so it is not possible do extended backtest with bid ask data.
If there are only minute data for bar magnifier would be a good option
specify the number of ticks above the price for buy executions and the number of ticks below the price for sell executions.
This could simulate the bid ask spread for the backtest.
Ability to set slippage and fees is insufficient for an accurate backtests.

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Comments (2)
user-offline.png  jgutik (Id2)
Jun 02, 2014 - 19:14

Hi Monexx,
I was just wondering when you want MC to add a cost for crossing the spread. Without the historical bid/ask you simply can't know when you've crossed the spread, no?. If last traded is 100 which is the offer, if you buy you will be also trading the last price (100). So adding a spread cross cost here would be wrong. The best solution is historical bid/ask. However I choose to add a fixed cost associated with every executed order. This is a figure that represents slippage and the occassional crossing of the spread. To be honest, unless you've got a low latency setup your estimations for the mentioned cost per trade should easily cover slippage and crossing the spread.

user-offline.png  monexx (monexx)
Jun 03, 2014 - 10:17

In this thread below, it's pretty viewed by MAtricks:
In the fictitious picture of Strategy properties...

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